Dynamic linkages of real estate and stock markets in Finland

Traditionally real estate has been seen as a good diversification tool for a stock portfolio due to the lower return and volatility characteristics of real estate investments. However, the diversification benefits of a multi-asset portfolio depend on how the different asset classes co-move in the short- and long-run. As the asset classes are affected by the same macroeconomic factors, interrelationships limiting the diversification benefits could exist. This master’s thesis aims to identify such dynamic linkages in the Finnish real estate and stock markets. The results are beneficial for portfolio optimization tasks as well as for policy-making. The real estate industry can be divided into direct and securitized markets. In this thesis the direct market is depicted by the Finnish housing market index. The securitized market is proxied by the Finnish all-sectors securitized real estate index and by a European residential Real Estate Investment Trust index. The stock market is depicted by OMX Helsinki Cap index. Several macroeconomic variables are incorporated as well. The methodology of this thesis is based on the Vector Autoregressive (VAR) models. The long-run dynamic linkages are studied with Johansen’s cointegration tests and the short-run interrelationships are examined with Granger-causality tests. In addition, impulse response functions and forecast error variance decomposition analyses are used for robustness checks. The results show that long-run co-movement, or cointegration, did not exist between the housing and stock markets during the sample period. This indicates diversification benefits in the long-run. However, cointegration between the stock and securitized real estate markets was identified. This indicates limited diversification benefits and shows that the listed real estate market in Finland is not matured enough to be considered a separate market from the general stock market. Moreover, while securitized real estate was shown to cointegrate with the housing market in the long-run, the two markets are still too different in their characteristics to be used as substitutes in a multi-asset portfolio. This implies that the capital intensiveness of housing investments cannot be circumvented by investing in securitized real estate.

A Psychosocial Approach to Understanding Causality Assessment in Early Phase Oncology Clinical Trials: A Phenomenological Study

Research Question: What are the psychosocial factors that affect causality assessment in early phase oncology clinical trials? Methods: Thirty-two qualitative interviews were explicated with the aid of “Naturalistic Decision Making”. Data explication consisted of phenomenological reduction, delineating and clustering meaning units, forming themes, and creating a composite summary. Participants were members of the National Cancer Institute of Canada’s Clinical Trial Group Investigative New Drug committee. Results: The process of assigning causality is extremely subjective and full of uncertainty. Physicians had no formal training, nor a tool to assist them with this process. Physicians were apprehensive about their decisions and felt pressure from their patients, as well as the pharmaceutical companies sponsoring the trial. Conclusions: There are many problem areas when attributing causality, all of which have serious consequences, but clinicians used a variety of methods to cope with these problem areas.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number of lags or the number of equations is not small, we propose a general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In particular, we show that maximized Monte Carlo tests [Dufour (2002)] can provide provably exact tests for such models, whether they are stationary or integrated. Applications to order selection and causality testing are considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money, interest rates and prices, over the period 1965-1996.

Variance in Bioethics Services: Challenges and Opportunities in Canada with a Focus on In-house vs. Outsourced Health Care Ethics Consultations

Étude de cas / Case study

Development and/or change of the notion of permanent object and operative causality: empirical evidence in the first year of life

This study examines the notion of permanent object during the first year of life, taking into account the controversy of two approaches about the nature of change: developmental change and cognitive change. Using a longitudinal/cross-sectional design, tasks adapted of the subscale of permanent object and operative causality of the Uzgiris-Hunt Scale (Uzgiris and Hunt, 1975) (Uzgiris & Hunt, 1975) were presented to 110 infants of 0, 3, 6 and 9 months-old, which reside in three cities of Colombia. The results showed three types of strategies: (a) Not resolution; (b) Exploratory and (c) Resolution, which follow different trajectories in children’s performance. This allows affirming that adaptive conquests of the cognitive development stay together with the variety of strategies. Using strategies reveals adjustments and transformations of action programs that consolidate the notion of permanent object not necessarily with age, but with self-regulatory processes. Empirical evidence contributes to the understanding of the relations between the emergence of novelty in the development and performance variability

Granger causality of coupled climate processes: Ocean feedback on the North Atlantic oscillation

This study uses a Granger causality time series modeling approach to quantitatively diagnose the feedback of daily sea surface temperatures (SSTs) on daily values of the North Atlantic Oscillation (NAO) as simulated by a realistic coupled general circulation model (GCM). Bivariate vector autoregressive time series models are carefully fitted to daily wintertime SST and NAO time series produced by a 50-yr simulation of the Third Hadley Centre Coupled Ocean-Atmosphere GCM (HadCM3). The approach demonstrates that there is a small yet statistically significant feedback of SSTs oil the NAO. The SST tripole index is found to provide additional predictive information for the NAO than that available by using only past values of NAO-the SST tripole is Granger causal for the NAO. Careful examination of local SSTs reveals that much of this effect is due to the effect of SSTs in the region of the Gulf Steam, especially south of Cape Hatteras. The effect of SSTs on NAO is responsible for the slower-than-exponential decay in lag-autocorrelations of NAO notable at lags longer than 10 days. The persistence induced in daily NAO by SSTs causes long-term means of NAO to have more variance than expected from averaging NAO noise if there is no feedback of the ocean on the atmosphere. There are greater long-term trends in NAO than can be expected from aggregating just short-term atmospheric noise, and NAO is potentially predictable provided that future SSTs are known. For example, there is about 10%-30% more variance in seasonal wintertime means of NAO and almost 70% more variance in annual means of NAO due to SST effects than one would expect if NAO were a purely atmospheric process.

Vertical velocity variance and skewness in clear and cloud-topped boundary layers as revealed by Doppler lidar

In this paper, observations by a ground-based vertically pointing Doppler lidar and sonic anemometer are used to investigate the diurnal evolution of boundary-layer turbulence in cloudless, cumulus and stratocumulus conditions. When turbulence is driven primarily by surface heating, such as in cloudless and cumulus-topped boundary layers, both the vertical velocity variance and skewness follow similar profiles, on average, to previous observational studies of turbulence in convective conditions, with a peak skewness of around 0.8 in the upper third of the mixed layer. When the turbulence is driven primarily by cloud-top radiative cooling, such as in the presence of nocturnal stratocumulus, it is found that the skewness is inverted in both sign and height: its minimum value of around −0.9 occurs in the lower third of the mixed layer. The profile of variance is consistent with a cloud-top cooling rate of around 30Wm−2. This is also consistent with the evolution of the thermodynamic profile and the rate of growth of the mixed layer into the stable nocturnal boundary layer from above. In conditions where surface heating occurs simultaneously with cloud-top cooling, the skewness is found to be useful for diagnosing the source of the turbulence, suggesting that long-term Doppler lidar observations would be valuable for evaluating boundary-layer parametrization schemes. Copyright c 2009 Royal Meteorological Society

Quantitative genetic divergence and standing genetic (co)variance in thermal reaction norms along latitude

Although the potential to adapt to warmer climate is constrained by genetic trade-offs, our understanding of how selection and mutation shape genetic (co)variances in thermal reaction norms is poor. Using 71 isofemale lines of the fly Sepsis punctum, originating from northern, central, and southern European climates, we tested for divergence in juvenile development rate across latitude at five experimental temperatures. To investigate effects of evolutionary history in different climates on standing genetic variation in reaction norms, we further compared genetic (co)variances between regions. Flies were reared on either high or low food resources to explore the role of energy acquisition in determining genetic trade-offs between different temperatures. Although the latter had only weak effects on the strength and sign of genetic correlations, genetic architecture differed significantly between climatic regions, implying that evolution of reaction norms proceeds via different trajectories at high latitude versus low latitude in this system. Accordingly, regional genetic architecture was correlated to region-specific differentiation. Moreover, hot development temperatures were associated with low genetic variance and stronger genetic correlations compared to cooler temperatures. We discuss the evolutionary potential of thermal reaction norms in light of their underlying genetic architectures, evolutionary histories, and the materialization of trade-offs in natural environments.

Sodomy laws and gender variance in Tahiti and Hawai‘i

In both Hawaiian and Tahitian, the central meaning of mahu denotes gender-variant individuals, particularly male-bodied persons who have a significant investment in femininity. However, in Hawai‘i, unlike Tahiti, the word mahu is now more commonly used as an insult against gay or transgender people. The negative connotation of the term in Hawaiian indexes lower levels of social acceptability for mahu identity on O‘ahu (Hawai‘i’s most populous island) as compared to Tahiti. The article argues that these differences are partly due to a historical legacy of sexually repressive laws. The article traces the history of sodomy laws in these two Polynesian societies and argues that this history supports the hypothesis that sodomy laws (in conjunction with such social processes as urbanisation and Christianisation) are partially to blame for the diminished social status of mahu on O‘ahu. A different social and legal history in Tahiti accounts for the fact that the loss of social status experienced by Tahitian mahu has been lesser than that of their Hawaiian counterparts.

Variance in male reproductive success and sexual size dimorphism in pinnipeds: testing an assumption of sexual selection theory

The theory of evolution by sexual selection for sexual size dimorphism (SSD) postulates that SSD primarily reflects the adaptation of males and females to their different reproductive roles. For example, competition among males for access to females increases male body size because larger males are better able to maintain dominant status than smaller males. Larger dominant males sire most offspring while smaller subordinate males are unsuccessful, leading to skew in reproductive success. Therefore, species with male-biased SSD are predicted to have greater variance in male reproductive success than those in which both sexes are similar in size. We tested this prediction among the Pinnipedia, a mammalian group with a great variation in SSD. From a literature review, we identified genetic estimates of male reproductive success for 10 pinniped taxa (eight unique species and two subspecies of a ninth species) that range from seals with similarly sized males and females to species in which males are more than four times as large as females. We found no support for a positive relationship between variance in reproductive success and SSD among pinnipeds after excluding the elephant seals Mirounga leonina and Mirounga angustirostris, which we discuss as distinctive cases. Several explanations for these results are presented, including the revival of one of Darwin's original ideas. Darwin proposed that natural selection may explain SSD based on differences in energetic requirements between sexes and the potential for sexual niche segregation. Males may develop larger bodies to exploit resources that remain unavailable to females due to the energetic constraints imposed on female mammals by gestation and lactation. The importance of this alternative explanation remains to be tested.

Jump and variance risk premia in the S&P 500

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations.

Likelihood ratio tests for variance components in linear mixed models

Although the asymptotic distributions of the likelihood ratio for testing hypotheses of null variance components in linear mixed models derived by Stram and Lee [1994. Variance components testing in longitudinal mixed effects model. Biometrics 50, 1171-1177] are valid, their proof is based on the work of Self and Liang [1987. Asymptotic properties of maximum likelihood estimators and likelihood tests under nonstandard conditions. J. Amer. Statist. Assoc. 82, 605-610] which requires identically distributed random variables, an assumption not always valid in longitudinal data problems. We use the less restrictive results of Vu and Zhou [1997. Generalization of likelihood ratio tests under nonstandard conditions. Ann. Statist. 25, 897-916] to prove that the proposed mixture of chi-squared distributions is the actual asymptotic distribution of such likelihood ratios used as test statistics for null variance components in models with one or two random effects. We also consider a limited simulation study to evaluate the appropriateness of the asymptotic distribution of such likelihood ratios in moderately sized samples. (C) 2008 Elsevier B.V. All rights reserved.