Rational speculative bubbles: an empirical investigation of the London Stock Exchange

In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.

Non-normal real estate return distributions by property type in the U.K.

Investment risk models with infinite variance provide a better description of distributions of individual property returns in the IPD database over the period 1981 to 2003 than Normally distributed risk models, which mirrors results in the U.S. and Australia using identical methodology. Real estate investment risk is heteroscedastic, but the Characteristic Exponent of the investment risk function is constant across time yet may vary by property type. Asset diversification is far less effective at reducing the impact of non-systematic investment risk on real estate portfolios than in the case of assets with Normally distributed investment risk. Multi-risk factor portfolio allocation models based on measures of investment codependence from finite-variance statistics are ineffectual in the real estate context.

The return due to diversification of real estate to the US mixed-asset portfolio

Booth and Fama (1992) observe that the compound return and so the terminal wealth of a portfolio is greater than the weighted average of the compound returns of the individual investments, a difference referred to as the return due to diversification (RDD). Thus assets that offer high RDD should be particularly attractive investments. This paper test the proposition that US direct real estate is such an asset class using annual data over the period 1951-2001. The results show that adding real estate to an existing mixed-asset portfolio increases the compound return and so the terminal wealth of the fund. However, the results are dependent on the percentage allocation to real estate and the asset class replaced.

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.

Return of the 'Angry Woman': authenticating female physical action in contemporary cinema

In 1999, Elizabeth Hills pointed up the challenges that physically active women on film still posed, in cultural terms, and in relation to certain branches of feminist theory . Since then, a remarkable number of emphatically active female heroes have appeared on screen, from 'Charlie’s Angels' to 'Resident Evil', 'Aeon Flux', and the 'Matrix' and 'X-Men' trilogies. Nevertheless, in a contemporary Western culture frequently characterised as postfeminist, these seem to be the ‘acceptable face’ – and body – of female empowerment: predominantly white, heterosexual, often scantily clad, with the traditional hero’s toughness and resolve re-imagined in terms of gender-biased notions of decorum: grace and dignity alongside perfect hair and make-up, and a body that does not display unsightly markers of physical exertion. The homogeneity of these representations is worth investigating in relation to critical claims that valorise such air-brushed, high-kicking 'action babes' for their combination of sexiness and strength, and the feminist and postfeminist discourses that are refracted through such readings. Indeed, this arguably ‘safe’ set of depictions, dovetailing so neatly with certain postfeminist notions of ‘having it all’, suppresses particular kinds of spectacles in relation to the active female body: images of physical stress and extension, biological consequences of violence and dangerous motivations are all absent. I argue that the untidy female exertions refused in popular “action babe” representations are now erupting into view in a number of other contemporaneous movies – 'Kill Bill' Vols 1 & 2, 'Monster', and 'Hard Candy' – that mark the return of that which is repressed in the mainstream vision of female power – that is, a more viscerally realistic physicality, rage and aggression. As such, these films engage directly with the issue of how to represent violent female agency. This chapter explores what is at stake at a representational level and in terms of spectatorial processes of identification in the return of this particularly visceral rendering of the female avenger.

Improved predictability of the troposphere using stratospheric final warmings

The final warming of the stratospheric polar vortex at the end of northern hemisphere winter is examined in ECMWF ERA-Interim reanalysis data and an ensemble of chemistry climate models, using 20 years of data from each. In some years the final warming is found to occur first in the mid-stratosphere, and in others to occur first in the upper stratosphere. The strength of the winter stratospheric polar vortex, refraction of planetary waves, and the altitudes at which the planetary waves break in the northern extratropics lead to this difference in the vertical profile of the final warming. Years in which the final warming occurs first in the mid-stratosphere show, on average, a more negative NAO pattern in April mean sea level pressure than years in which the warming occurs first in the upper stratosphere. Thus, in the northern hemisphere, additional predictive skill of tropospheric climate in April can be gained from a knowledge of the vertical profile of the stratospheric final warming.