Who benefits from reducing the cost of formality? Quantile regression discontinuity analysis

This paper studies the effects of increasing formality via tax reduction and simplification schemes on micro-firm performance. It uses the 1997 Brazilian SIMPLES program. We develop a simple theoretical model to show that SIMPLES has an impact only on a segment of the micro-firm population, for which the effect of formality on firm performance can be identified, and that can be analyzed along the single dimensional quantiles of the conditional firm revenues. To estimate the effect of formality, we use an econometric approach that compares eligible and non-eligible firms, born before and after SIMPLES in a local interval about the introduction of SIMPLES. We use an estimator that combines both quantile regression and the regression discontinuity identification strategy. The empirical results corroborate the positive effect of formality on microfirms' performance and produce a clear characterization of who benefits from these programs.

Style analysis in real estate markets: beyond the sectors and regions dichotomy

While style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Most previous real estate studies on this topic have identified three investment categories (rather than styles): sectors, administrative regions and economic regions. However, the low explanatory power reveals the need to extend this analysis to other investment styles. We identify four main real estate investment styles and apply a multivariate model to randomly generated portfolios to test the significance of each style in explaining portfolio returns. Results show that significant alpha performance is significantly reduced when we account for the new investment styles, with small vs. big properties being the dominant one. Secondly, we find that the probability of obtaining alpha performance is dependent upon the actual exposure of funds to style factors. Finally we obtain that both alpha and systematic risk levels are linked to the actual characteristics of portfolios. Our overall results suggest that it would be beneficial for real estate fund managers to use these style factors to set benchmarks and to analyze portfolio returns.

Office rent determinants: a hedonic panel analysis

It has been frequently observed that office markets are subject to particularly high fluctuations in rents and vacancy levels, thus exposing real estate investors to considerable risk regarding expected future income streams. This paper analyzes the determinants of office rents and their variability over time and across sub-markets to gain insight into the rent price formation and its stability across space and over time. No support is found for the single-market hypothesis which states that arbitrage opportunities effectively align real estate pricing schemes in various parts of city. Instead, the results suggest that the importance of hedonic pricing factors varies both over time and across submarkets.

Mouse movements of motion-impaired users: a submovement analysis

Understanding human movement is key to improving input devices and interaction techniques. This paper presents a study of mouse movements of motion-impaired users, with an aim to gaining a better understanding of impaired movement. The cursor trajectories of six motion-impaired users and three able-bodied users are studied according to their submovement structure. Several aspects of the movement are studied, including the frequency and duration of pauses between submovements, verification times, the number of submovements, the peak speed of submovements and the accuracy of submovements in two-dimensions. Results include findings that some motion-impaired users pause more often and for longer than able-bodied users, require up to five times more submovements to complete the same task, and exhibit a correlation between error and peak submovement speed that does not exist for able-bodied users.

A meta analysis of real estate fund performance

This paper provides evidence regarding the risk-adjusted performance of 19 UK real estate funds in the UK, over the period 1991-2001. Using Jensen’s alpha the results are generally favourable towards the hypothesis that real estate fund managers showed superior risk-adjusted performance over this period. However, using three widely known parametric statistical procedures to jointly test for timing and selection ability the results are less conclusive. The paper then utilises the meta-analysis technique to further examine the regression results in an attempt to estimate the proportion of variation in results attributable to sampling error. The meta-analysis results reveal strong evidence, across all models, that the variation in findings is real and may not be attributed to sampling error. Thus, the meta-analysis results provide strong evidence that on average the sample of real estate funds analysed in this study delivered significant risk-adjusted performance over this period. The meta-analysis for the three timing and selection models strongly indicating that this out performance of the benchmark resulted from superior selection ability, while the evidence for the ability of real estate fund managers to time the market is at best weak. Thus, we can say that although real estate fund managers are unable to outperform a passive buy and hold strategy through timing, they are able to improve their risk-adjusted performance through selection ability.

The location of executive suites and business centers in the United States: an exploratory analysis

Increasingly, corporate occupiers seek more flexible ways of meeting their accommodation needs. One consequence of this process has been the growth of the executive suite, serviced office or business centre market. This paper, the final report of a research project funded by the Real Estate Research Institute, focuses upon the geographical distribution of business centers offering executive suites within the US. After a brief review of the development of the market, the paper examines the availability of data, provides basic descriptive statistics of the distribution of executive suites by state and by metropolitan statistical area and then attempts to model the distribution using demographic and socio-economic data at MSA level. The distribution reflects employment in key growth sectors and the position of the MSA in the urban hierarchy. An appendix presents a preliminary view of the global distribution of suites.

Advanced global optimisation for mission analysis and design

This report describes the analysis and development of novel tools for the global optimisation of relevant mission design problems. A taxonomy was created for mission design problems, and an empirical analysis of their optimisational complexity performed - it was demonstrated that the use of global optimisation was necessary on most classes and informed the selection of appropriate global algorithms. The selected algorithms were then applied to the di®erent problem classes: Di®erential Evolution was found to be the most e±cient. Considering the speci¯c problem of multiple gravity assist trajectory design, a search space pruning algorithm was developed that displays both polynomial time and space complexity. Empirically, this was shown to typically achieve search space reductions of greater than six orders of magnitude, thus reducing signi¯cantly the complexity of the subsequent optimisation. The algorithm was fully implemented in a software package that allows simple visualisation of high-dimensional search spaces, and e®ective optimisation over the reduced search bounds.

Time complexity analysis of the stochastic diffusion search

The Stochastic Diffusion Search algorithm -an integral part of Stochastic Search Networks is investigated. Stochastic Diffusion Search is an alternative solution for invariant pattern recognition and focus of attention. It has been shown that the algorithm can be modelled as an ergodic, finite state Markov Chain under some non-restrictive assumptions. Sub-linear time complexity for some settings of parameters has been formulated and proved. Some properties of the algorithm are then characterised and numerical examples illustrating some features of the algorithm are presented.

Relaxing the Tropics to an ‘observed’ state: analysis using a simple baroclinic model

The technique of relaxation of the tropical atmosphere towards an analysis in a month-season forecast model has previously been successfully exploited in a number of contexts. Here it is shown that when tropical relaxation is used to investigate the possible origin of the observed anomalies in June–July 2007, a simple dynamical model is able to reproduce the observed component of the pattern of anomalies given by an ensemble of ECMWF forecast runs. Following this result, the simple model is used for a range of experiments on time-scales of relaxation, variables and regions relaxed based on a control model run with equatorial heating in a zonal flow. A theory based on scale analysis for the large-scale tropics is used to interpret the results. Typical relationships between scales are determined from the basic equations, and for a specified diabatic heating a chain of deductions for determining the dependent variables is derived. Different critical time-scales are found for tropical relaxation of different dependent variables to be effective. Vorticity has the longest critical time-scale, typically 1.2 days. For temperature and divergence, the time-scales are 10 hours and 3 hours, respectively. However not all the tropical fields, in particular the vertical motion, are reproduced correctly by the model unless divergence is heavily damped. To obtain the correct extra-tropical fields, it is crucial to have the correct rotational flow in the subtropics to initiate the Rossby wave propagation from there. It is sufficient to relax vorticity or temperature on a time-scale comparable or less than their critical time-scales to obtain this. However if the divergent advection of vorticity is important in the Rossby Wave Source then strong relaxation of divergence is required to accurately represent the tropical forcing of Rossby waves.

Persistence of UK Real Estate returns: a Markov chain analysis

The persistence of investment performance is a topic of perennial interest to investors. Efficient Markets theory tells us that past performance can not be used to predict future performance yet investors appear to be influenced by the historical performance in making their investment allocation decisions. The problem has been of particular interest to investors in real estate; not least because reported returns from investment in real estate are serially correlated thus implying some persistence in investment performance. This paper applies the established approach of Markov Chain analysis to investigate the relationship between past and present performance of UK real estate over the period 1981 to 1996. The data are analysed by sector, region and size. Furthermore some variations in investment performance classification are reported and the results are shown to be robust.

Attribution analysis of property portfolios

This paper aims to clarify the potential confusion about the application of attribution analysis to real estate portfolios. Its three primary objectives are: · To review, and as far as possible reconcile, the varying approaches to attribution analysis evident in the literature. · To give a clear statement of the purposes of attribution analysis, and its meaning for real-world property managers. · To show, using real portfolio data from IPD's UK performance measurement service, the practical implications of applying different attribution methods.

International investment, ownership and risk in the City of London office market: an analysis of trends 1972-1997

Office returns in the City of London are more volatile than in other UK markets. This volatility may reflect fluctuations in capital flows associated with changing patterns of ownership and the growing linkage between real estate and financial markets in the City. Using current and historical data, patterns of ownership in the City are investigated. They reveal that overseas ownership has grown markedly since 1985, that owners are predominantly FIRE sector firms and that there are strong links between ownership and occupation. This raises concerns about future volatility and systemic risk.

Fuzzy analysis: a vague way of dealing with uncertainty in real estate analysis?

Risk and uncertainty are, to say the least, poorly considered by most individuals involved in real estate analysis - in both development and investment appraisal. Surveyors continue to express 'uncertainty' about the value (risk) of using relatively objective methods of analysis to account for these factors. These methods attempt to identify the risk elements more explicitly. Conventionally this is done by deriving probability distributions for the uncontrolled variables in the system. A suggested 'new' way of "being able to express our uncertainty or slight vagueness about some of the qualitative judgements and not entirely certain data required in the course of the problem..." uses the application of fuzzy logic. This paper discusses and demonstrates the terminology and methodology of fuzzy analysis. In particular it attempts a comparison of the procedures with those used in 'conventional' risk analysis approaches and critically investigates whether a fuzzy approach offers an alternative to the use of probability based analysis for dealing with aspects of risk and uncertainty in real estate analysis

A note on the use of spreadsheet optimisers in real estate analysis

Modern Portfolio Theory (MPT) has been advocated as a more rational approach to the construction of real estate portfolios. The application of MPT can now be achieved with relative ease using the powerful facilities of modern spreadsheet, and does not necessarily need specialist software. This capability is to be found in the use of an add-in Tool now found in several spreadsheets, called an Optimiser or Solver. The value in using this kind of more sophisticated analysis feature of spreadsheets is increasingly difficult to ignore. This paper examines the use of the spreadsheet Optimiser in handling asset allocation problems. Using the Markowitz Mean-Variance approach, the paper introduces the necessary calculations, and shows, by means of an elementary example implemented in Microsoft's Excel, how the Optimiser may be used. Emphasis is placed on understanding the inputs and outputs from the portfolio optimisation process, and the danger of treating the Optimiser as a Black Box is discussed.