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

Bayesian estimation of Cox model with non-nested random effects: an application to the ratification of ILO conventions by developing countries

We use a multivariate hazard model for the analysis of data on the timing of ratifications of different conventions. The model accounts for two random effects, one at the country level and the other at the convention level. We use a semi-parametric Bayesian approach, based on the partial likelihood. Our findings confirm the results of preceding studies that ratification behaviour varies substantially across members states and conventions. Furthermore, the results yield insights on the impact of unobserved heterogeneity on the ratification process. --gibbs sampling,partial likelihood,frailties,duration analysis

The Impact of State Fiscal Policy on States\u27 Resilience Entering the Great Recession

The U.S. economy entered the Great Recession in December 2007 and exited in June 2009. This national statistic obscures a wealth of state-level data shedding light on the policies and conditions that helped some states withstand that recessionary shock for a time. In this study, we used that state-level data in a parametric regression model, known as survival analysis, to estimate the effects that a state’s fiscal policy had on the timing of its entry into the Great Recession. Consistent with earlier, more general, studies focusing on economic growth, we found that taxes have the potential to hasten the start of a state’s recession, while expenditures could defer that event. However, not all types of taxes and expenditures were equivalent in terms of their effect on recessionary timing. Most notably, our results showed that corporate income taxes had a different timing effect than sales, property, and individual income taxes. In addition, although total expenditures tended to delay the Great Recession’s onset, relatively few individual expenditure types had a statistically-significant impact on recessionary timing. Overall, our results suggest that, while taxes likely increase a state’s recessionary risk and expenditures likely decrease it, that narrative is an oversimplification of the complex role played by fiscal policy in determining a state\u27s ability to resist a negative economic shock like the Great Recession

Marriage Patterns in the United States

This paper analyzes cohort marriage patterns in the United States in order to determine whether declining rates of first marriage are due to changes in the timing of marriage, the incidence of marriage, or both. Parametric models, which are well-suited to the analysis of censored or truncated data, are fit separately to information on age at first marriage derived from three data sets which were collected independently and at different points in time. Extended versions of the models are also estimated in which the parameters of the model distributions are allowed to depend on social and, economic variables.The results provide evidence that the incidence of first marriage is declining and that there is only a slight tendency for women to delay marriage. In addition, education is the most important correlate of decisions about the timing of first marriage whereas race is the most important correlate of decisions about its incidence.

Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence.

Funds under management by Danish mutual funds have increased by 25% annually during the last 10 years and measured per capita Denmark has the third largest mutual fund industry in Europe. This paper provides the first independent performance analysis of Danish mutual funds. We analyse selectivity applying a single index model and a multi-factor model, respectively. Furthermore, we analyse the timing ability of the Danish mutual funds pursuing both the quadratic regressions of Treynor and Mazuy (1966) and the option approach suggested by Henriksson and Merton (1981). Finally, we analyse performance persistence using parametric as well as non-parametric methodologies. We conclude that in general Danish mutual funds perform neutrally, returns are non-persistent and Danish mutual funds have no timing ability.Mutual funds; Performance evaluation; Market timing; Performance persistence

Context-sensitive Parametric WCET Analysis

In this paper, we propose aWCET analysis that focuses on two aspects. First, it supports contextsensitive hardware and software timing effects, meaning that it is sensitive to the execution history of the program and thus can account for effects like cache persistence, triangular loop, etc. Second, it supports the introduction of parameters in both the software model (e.g. parametric loop bounds) and the hardware model (e.g. number of cache misses). WCET computation by static analysis is traditionally handled by the Implicit Path Enumeration Technique (IPET), using an Integer Linear Program (ILP) that is difficult to resolve parametrically. We suggest an alternative tree-based approach. We define a context-sensitive CFG format to express these effects, and we provide an efficient method to process it, giving a parametric WCET formula. Experimental results show that this new method is significantly faster and more accurate than existing parametric approaches