Systematic Property Risk: Quantifying UK Property Betas 1983-2005

The increased frequency in reporting UK property performance figures, coupled with the acceptance of the IPD database as the market standard, has enabled property to be analysed on a comparable level with other more frequently traded assets. The most widely utilised theory for pricing financial assets, the Capital Asset Pricing Model (CAPM), gives market (systematic) risk, beta, centre stage. This paper seeks to measure the level of systematic risk (beta) across various property types, market conditions and investment holding periods. This paper extends the authors’ previous work on investment holding periods and how excess returns (alpha) relate to those holding periods. We draw on the uniquely constructed IPD/Gerald Eve transactions database, containing over 20,000 properties over the period 1983-2005. This research allows us to confirm our initial findings that properties held over longer periods perform in line with overall market performance. One implication of this is that over the long-term performance may be no different from an index tracking approach.Real Estate, Risk, Property, Betas

Capturing UK Real Estate Volitility

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative pricing and in the application of real option models in development analysis. There has been relatively little work on volatility in real terms of its application to property derivatives and the real options analysis. Most research on volatility stems from investment performance (Nathakumaran & Newell (1995), Brown & Matysiak 2000, Booth & Matysiak 2001). Historic standard deviation is often used as a proxy for volatility and there has been a reliance on indices, which are subject to valuation smoothing effects. Transaction prices are considered to be more volatile than the traditional standard deviations of appraisal based indices. This could lead, arguably, to inefficiencies and mis-pricing, particularly if it is also accepted that changes evolve randomly over time and where future volatility and not an ex-post measure is the key (Sing 1998). If history does not repeat, or provides an unreliable measure, then estimating model based (implied) volatility is an alternative approach (Patel & Sing 2000). This paper is the first of two that employ alternative approaches to calculating and capturing volatility in UK real estate for the purposes of applying the measure to derivative pricing and real option models. It draws on a uniquely constructed IPD/Gerald Eve transactions database, containing over 21,000 properties over the period 1983-2005. In this first paper the magnitude of historic amplification associated with asset returns by sector and geographic spread is looked at. In the subsequent paper the focus will be upon model based (implied) volatility.Real Estate, Volatility

Implications for Policy

macroeconomics, tax-based income policy, TIP, economic stability, economic growth

Chemical Transport of Neutral Atmospheric Constituents by Waves and Turbulence: Theory and Observations

Vertical chemical transport occurs when the density fluctuations of a species, caused by perturbations of its chemistry, are strongly correlated with the vertical wind fluctuations. Chemical transport can exceed dynamical and eddy transport of chemically active species. Theoretical expressions are derived for the chemical fluxes and transport velocities and used to characterize the vertical transport of mesospheric O3 and meteoric Na and Fe between 85 and 100 km. Chemical transport is dependent on the intrinsic frequency spectrum of the temperature fluctuations and on the chemical cutoff periods of the species. For O3 only high-frequency fluctuations contribute to chemical transport because slower, larger-amplitude density perturbations are damped by chemistry. The cutoff periods for O3 range from ~15 min during the day when photolysis is important to ~200 min at night. The chemical transport velocities of Na and Fe are proportional to the O3, O2+, and NO+ densities above 85 km. For O3, Na, and Fe the magnitudes of the vertical transport velocity can be as large as 10 cm/s, and they exhibit strong diurnal variations. O3 chemical transport is downward at night and upward during the day. Na and Fe chemical transport are largely upward with the strongest upward velocities at night near 85 and 100 km

Redefining government's role in agriculture in the nineties

The authors argue that government policies in agriculture have been costly and misdirected worldwide. For them, this inefficiency need not continue. The Urugauy Round is an ideal opportunity for developed and developing nations to strike a bargain. They suggest 1) making agricultural trade subject to the full discipline of the GATT by eliminating waivers and exemptions that have set agricultural commodities apart from other products in their treatment under the GATT, 2) bringing developing countries fully into the GATT, by eliminating their special status, 3) getting all countries to reform their agricultural policies, to reduce the many policy-induced distortions that plague the sector. The authors claim that such a bargain would result in a redefinition of governments'role in agriculture, increased sectoral efficiency nationally, and a more smoothly functioning and tightly knit world agricultural trading system.Crops&Crop Management Systems,Environmental Economics&Policies,Agricultural Knowledge&Information Systems,Economic Theory&Research,Agricultural Research

Frequency of Technical Problems Encountered in the Measurement of Pulmonary Artery Wedge Pressure

journal articleBiomedical Informatic

Vertical Dynamical Transport of Mesospheric Constituents by Dissipating Gravity Waves

Over 400 h of Na wind/temperature lidar observations, obtained at the Star5re Optical Range, NM, are used to study the vertical dynamical transport of Na in the mesopause region between 85 and 100 km. Dynamical transport occurs when dissipating, non-breaking gravity waves impart a net vertical displacement in atmospheric constituents as they propagate through a region. We show that the vertical constituent flux can be related in a simple way to the vertical heat flux. Breaking gravity waves also contribute to eddy transport by generating turbulence. Because eddy transport is a mixing process, it only occurs in the presence of a gradient in the concentration profile of the constituent, while dynamical transport can be sustained even in the absence of such a gradient. The dynamical Na flux is compared with the predicted eddy flux. The maximum downward dynamical flux of Na is −280 m/s cm3 at 88 km. The maximum downward eddy flux is −160 m/s cm3 at the same altitude assuming the diffusion coefficient is 200 m2/s. The observational results are consistent with theoretical predictions below 93 km and show that dynamical transport often exceeds the vertical transport associated with eddy diffusion. The theoretical models are used to predict the dynamical and eddy fluxes of atomic oxygen and show that for this constituent, dynamical transport is also a signifcant transport mechanism

Dynamic Response and the Essentials of Invasive Blood Pressure Monitoring

pamphletBiomedical Informatic

Vertical Heat and Constituent Transport in the Mesopause Region by Dissipating Gravity Waves at Maui, Hawaii (20.7ºN), and Starfire Optical Range, New Mexico (35ºN)

Vertical heat flux profiles induced by dissipating gravity waves in the mesopause region (85–100 km altitude) are derived from Na lidar measurements of winds and temperatures at Maui (20.7ºN, 156.3ºW), Hawaii, and compared with earlier results from Starfire Optical Range (SOR, 35.0ºN, 106.5ºW), New Mexico. The heat flux profile at SOR has a single downward maximum of 2.25 ± 0.3 K m/s at 88 km, while the profile at Maui has two downward maxima of 1.25 ± 0.5 K m/s and 1.40 ± 0.5 K m/s at 87 and 95 km, respectively. The common maximum below 90 km can be attributed to high probability of convective instability. Comparison of the horizontal wind shear suggests that the second maximum at 95 km at Maui may be associated with dynamic instability. The measured Na flux and predicted Na flux based on measured heat flux at Maui agree well, further confirming earlier findings using SOR data. The dynamical flux of atomic oxygen estimated from the heat flux is smaller at Maui compared with that at SOR, but both are comparable to or larger than the eddy flux. The results also suggest that weaker gravity wave dissipation at Maui may cause two opposite effects on the energy balance in the mesopause region, a reduced cooling from heat transport and reduced chemical heating from atomic oxygen transport