The case for REITs in the mixed-asset portfolio in the short and long run

The poor performance of the Stock Market in the US up to the middle of 2003 has meant that REITs are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play a role in the mixed-asset portfolio over different investment horizons. The results highlight that REITs do play a significant role over both different time horizons and holding periods. The findings show that REITs attractiveness as a diversification asset increase as the holding period increases. In addition, their diversification qualities span the entire efficient frontier, providing return enhancement properties at the lower end, switching to risk reduction qualities at the top end of the frontier.

Techniques for image analysis of movement of juveniles of root-knot nematodes encumbered with Pasteuria penetrans spores

Root-knot nematodes (Meloidogyne spp.) are the most significant plant-parasitic nematodes that damage many crops all over the world. The free-living second stage juvenile (J2) is the infective stage that enters plants. The J2s move in the soil water films to reach the root zone. The bacterium Pasteuria penetrans is an obligate parasite of root-knot nematodes, is cosmopolitan, frequently encountered in many climates and environmental conditions and is considered promising for the control of Meloidogyne spp. The infection potential of P. penetrans to nematodes is well studied but not the attachment effects on the movement of root-knot nematode juveniles, image analysis techniques were used to characterize movement of individual juveniles with or without P. penetrans spores attached to their cuticles. Methods include the study of nematode locomotion based on (a) the centroid body point, (b) shape analysis and (c) image stack analysis. All methods proved that individual J2s without P. penetrans spores attached have a sinusoidal forward movement compared with those encumbered with spores. From these separate analytical studies of encumbered and unencumbered nematodes, it was possible to demonstrate how the presence of P. penetrans spores on a nematode body disrupted the normal movement of the nematode.

Ornamental Mediterranean plants in the UK: root adaptations to hypoxia and anoxia

Mediterranean species are popular landscape plants in the UK and well suited to the predicted climate change scenarios of hotter, drier summers. What is less clear is how these species will respond to the more unpredictable rainfall patterns also anticipated, where soil water-logging may become more prevalent, especially in urban environments where soil sealing can restrict drainage. Pot experiments on flooding of four Mediterranean species (Cistus × hybridus, Lavandula angustifolia ‘Munstead’, Salvia officinalis and Stachys byzantina) showed that the effects of waterlogging were only severe when the temperature was high and flooding prolonged. All plants survived the flooding in winter, but during the summer a 17-day flood resulted in the death of 30-40% of the Salvia officinalis and Cistus × hybridus. To examine the response of roots to oxygen deprivation over a range of conditions from total absence of oxygen (anoxia), low oxygen (hypoxia) and full aeration, rooted cuttings of Salvia officinalis were grown in a hydroponic-based system and mixtures of oxygen and nitrogen gases bubbled through the media. Anoxia was found to reduce root development dramatically. When the plants were subjected to a period of hypoxia they responded by increasing the production of lateral roots close to the surface thus enabling them to acclimate to subsequent anoxia. This greatly increased their chances of survival.

Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit root in the presence of a structural break. We assessthe impact of degeneracy and integratedness of the conditional varianceindividually and find that, apart from in the limit, the testing procedure isinsensitive to the degree of degeneracy but does exhibit an increasingover-sizing as the process becomes more integrated. When we consider the GARCHspecifications that we are likely to encounter in empirical research, we findthat the Perron tests are reasonably robust to the presence of GARCH and donot suffer from severe over-or under-rejection of a correct null hypothesis.

Fine root turnover

Fine roots constitute an interface between plants and soils and thus play a crucial part in forest carbon, nutrient and water cycles. Their continuous growth and dieback, often termed turnover of fine roots, may constitute a major carbon input to soils and significantly contribute to belowground carbon cycle. For this reason, it is of importance to accurately estimate not only the standing biomass of fine roots, but also its rate of turnover. To date, no direct and reliable method of measuring fine root turnover exists. The main reason for this is that the two component processes of root turnover, namely growth and dieback of fine roots, nearly always happen in the same place and at the same time. Further, the estimation of fine root turnover is complicated by the inaccessibility of tree root systems, its labour intensiveness and is often compounded by artefacts created by soil disturbance. Despite the fact that the elucidation of the patterns and controls of forest fine root turnover is of utmost importance for the development of realistic carbon cycle models, our knowledge of the contribution of fine root turnover to carbon and nutrient cycles in forests remains uncertain. This chapter will detail all major methods currently used for estimating fine root turnover and highlight their advantages, as well as drawbacks.

Does regional infrastructure investment stimulate extra housing and commercial building supply? Long-run evidence across the English regions

This paper uses long-term regional construction data to investigate whether increases infrastructure investment in the English regions leads to subsequent rises in housebuilding and new commercial property, using time series modeling. Both physical (roads and harbours) and social infrastructure (education and health) impacts are investigated across nine regions in England. Significant effects for physical infrastructure are found across most regions and, also, some evidence of a social infrastructure effect. The results are not consistent across regions, which may be due to geographical differences and to network and diversionary effects. However, the results do suggest that infrastructure does have some impact but follows differential lag structures. These results provide a test of the hypothesis of the economic benefits of infrastructure investment in an approach that has not been used before.

Long run relationships between City office rents and the economy in the UK: creating a database for research

This paper sets out progress during the first eighteen months of doctoral research into the City of London office market. The overall aim of the research is to explore relationships between office rents and the economy in the UK over the last 150 years. To do this, a database of lettings has been created from which a long run index of City office rents can be constructed. With this index, it should then be possible to analyse trends in rents and relationships with their long run determinants. The focus of this paper is on the creation of the rent database. First, it considers the existing secondary sources of long run rental data for the UK. This highlights a lack of information for years prior to 1970 and the need for primary data collection if earlier periods are to be studied. The paper then discusses the selection of the City of London and of the time period chosen for research. After this, it describes how a dataset covering the period 1860-1960 has been assembled using the records of property companies active in the City office market. It is hoped that, if successful, this research will contribute to existing knowledge on the long run characteristics of commercial real estate. In particular, it should add a price dimension (rents) to the existing long run information on stock/supply and investment. Hence, it should enable a more complete picture of the development and performance of commercial real estate through time to be gained.

The case for property in the long run: a cointegration test

The benefits of property in the mixed asset portfolio has been the subject of a number of studies both in the UK and around the world. The traditional way of investigating this issue is to use MPT with the results suggesting that Property should play a significant role in the mixed asset portfolio. These results are not without criticism and generally revolve around quality and quantity of the property data series. To overcome these deficiencies this paper uses cointegration methodology which examines the longer term time series behaviour of various asset markets using a very long run desmoothed data series. Using a number of different cointegration tests, both pair-wise and multivariate, the results show, in unambiguous terms, that there is no contemporous cointegration between the major asset classes Property, Equities and Bonds. The implications of which are that Property does indeed have a risk reducing place to play in the long-run strategic mixed-asset portfolio. A result of particular relevance to institutions such as pension funds and life insurance companies who would wish to hold investments for the long-term.