The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

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 impact of real estate on the mixed-asset portfolio in periods of financial stress

The case for holding real estate in the mixed-asset portfolio is typically made on its stabilising effect as a result of its diversification benefits. However, portfolio diversification often fails when it is most needed, i.e. during periods of financial stress. In these periods, the variability of returns for most asset classes increases thus reducing the stabilising effect of a diversified portfolio. This paper applies the approach of Chow et al (1999) to the US domestic mixed-asset portfolio to establish whether real estate, represented by REITs, is especially useful in times of financial stress. To this end monthly returns data on five assets classes: large cap stocks, small cap stocks, long dated government bonds, cash (T-Bills) and real estate (REITs) are evaluated over the period January 1972 to December 2001. The results indicate that the inclusion of REITs in the mixed-asset portfolio can lead to increases or decreases in returns depending on the asset class replaced and whether the period is one of calm or stress. However, the inclusion of REITs invariably leads to reductions in portfolio risk that are greater than any loss in return, especially in periods of financial stress. In other words, REITs acts as a stabilising force on the mixed-asset portfolio when it is most needed, i.e. in periods of financial stress.

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.

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.

Do preference reversals generalise? Results on ambiguity and loss aversion

Preference reversals are frequently observed in the lab, but almost all designs use completely transparent prospects, which are rarely features of decision making elsewhere. This raises questions of external validity. We test the robustness of the phenomenon to gambles that incorporate realistic ambiguity in both payoffs and probabilities. In addition, we test a recent explanation of preference reversals by loss aversion, which would also restrict the incidence of reversals outside the lab. According to this account, reversals occur largely because the valuation task endows subject with a gamble, activating loss aversion. This contrasts with the choice task, where the reference point is pre-experiment wealth. We test this explanation by holding the reference point constant. Our evidence suggests that reversals are only slightly diminished with ambiguity. We find no evidence supporting their explanation by loss aversion.

Evidence both L-type and non-L-type voltage-dependent calcium channels contribute to cerebral artery vasospasm following loss of NO in the rat

We recently found block of NO synthase in rat middle cerebral artery caused spasm, associated with depolarizing oscillations in membrane potential (Em) similar in form but faster in frequency (circa 1 Hz) to vasomotion. T-type voltage-gated Ca2+ channels contribute to cerebral myogenic tone and vasomotion, so we investigated the significance of T-type and other ion channels for membrane potential oscillations underlying arterial spasm. Smooth muscle cell membrane potential (Em) and tension were measured simultaneously in rat middle cerebral artery. NO synthase blockade caused temporally coupled depolarizing oscillations in cerebrovascular Em with associated vasoconstriction. Both events were accentuated by block of smooth muscle BKCa. Block of T-type channels or inhibition of Na+/K+-ATPase abolished the oscillations in Em and reduced vasoconstriction. Oscillations in Em were either attenuated or accentuated by reducing [Ca2+]o or block of KV, respectively. TRAM-34 attenuated oscillations in both Em and tone, apparently independent of effects against KCa3.1. Thus, rapid depolarizing oscillations in Em and tone observed after endothelial function has been disrupted reflect input from T-type calcium channels in addition to L-type channels, while other depolarizing currents appear to be unimportant. These data suggest that combined block of T and L-type channels may represent an effective approach to reverse cerebral vasospasm.