A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited

This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four initially developed by Dagenais and Dagenais (1997) and lated generalized to financial models by Racicot (2003). Our results show that our technique has great and significant consequences on the measure of the cost of equity. We obtain ipso facto a new estimator of the Jensen alpha.Errors in the variables, cumulants, higher moments, instrumental variables, cost of equity, Jensen alpha.

Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced data. We also compare the out sample performances of ACD GARCH models with the realized volatility method. We propose a procedure to take into account the time deformation and show how to use these models for computing daily VaR.Realized volatility, Ultra High Frequency GARCH, time deformation, financial markets, Daily VaR.

International money supply and real estate risk premium: The case of the London office market

The main purpose of this study is to deeply investigate the determinants of the risk premium for the Central London market between Q2-2002 and Q3-2015 using a vector autoregression (VAR) model. We shed new light on the role of central banks in the historical level of the commercial real estate risk premium. Indeed, since the global financial crisis (GFC), central banks have used unconventional monetary policies, increasing the quantity of money available in the economy and creating structural changes. Therefore, we have described the link between monetary policies and real estate using a theoretical IS/LM Mundell-Fleming framework for a small open economy with a flexible exchange rate. To empirically explore this phenomenon, we have constructed a monetary index adapted to the office market. We find that throughout the whole period (2002–2015), the vacancy rate, the employment in services, the FTSE 100, the new monetary index and the autoregressive parameter are the main determinants of the historical risk premium. However, this result hides the complex realities of different sub-periods. Finally, we study the structural changes introduced by the monetary policy using a structural VAR model and impulse-response function

Defective transcription-coupled repair in Cockayne syndrome B mice is associated with skin cancer predisposition.

A mouse model for the nucleotide excision repair disorder Cockayne syndrome (CS) was generated by mimicking a truncation in the CSB(ERCC6) gene of a CS-B patient. CSB-deficient mice exhibit all of the CS repair characteristics: ultraviolet (UV) sensitivity, inactivation of transcription-coupled repair, unaffected global genome repair, and inability to resume RNA synthesis after UV exposure. Other CS features thought to involve the functioning of basal transcription/repair factor TFIIH, such as growth failure and neurologic dysfunction, are present in mild form. In contrast to the human syndrome, CSB-deficient mice show increased susceptibility to skin cancer. Our results demonstrate that transcription-coupled repair of UV-induced cyclobutane pyrimidine dimers contributes to the prevention of carcinogenesis in mice. Further, they suggest that the lack of cancer predisposition in CS patients is attributable to a global genome repair process that in humans is more effective than in rodents

Immunological and Metabolomic Impacts of Administration of Cry1Ab Protein and MON 810 Maize in Mouse

We have investigated the immunological and metabolomic impacts of Cry1Ab administration to mice, either as a purified protein or as the Cry1Ab-expressing genetically modified (GM) MON810 maize. Humoral and cellular specific immune responses induced in BALB/cJ mice after intra-gastric (i.g.) or intra-peritoneal (i.p.) administration of purified Cry1Ab were analyzed and compared with those induced by proteins of various immunogenic and allergic potencies. Possible unintended effects of the genetic modification on the pattern of expression of maize natural allergens were studied using IgE-immunoblot and sera from maize-allergic patients. Mice were experimentally sensitized (i.g. or i.p. route) with protein extracts from GM or non-GM maize, and then anti-maize proteins and anti-Cry1Ab–induced immune responses were analyzed. In parallel, longitudinal metabolomic studies were performed on the urine of mice treated via the i.g. route. Weak immune responses were observed after i.g. administration of the different proteins. Using the i.p. route, a clear Th2 response was observed with the known allergenic proteins, whereas a mixed Th1/Th2 immune response was observed with immunogenic protein not known to be allergenic and with Cry1Ab. This then reflects protein immunogenicity in the BALB/c Th2-biased mouse strain rather than allergenicity. No difference in natural maize allergen profiles was evidenced between MON810 and its non-GM comparator. Immune responses against maize proteins were quantitatively equivalent in mice treated with MON810 vs the non-GM counterpart and no anti-Cry1Ab–specific immune response was detected in mice that received MON810. Metabolomic studies showed a slight “cultivar” effect, which represented less than 1% of the initial metabolic information. Our results confirm the immunogenicity of purified Cry1Ab without evidence of allergenic potential. Immunological and metabolomic studies revealed slight differences in mouse metabolic profiles after i.g. administration of MON810 vs its non-GM counterpart, but no significant unintended effect of the genetic modification on immune responses was seen

International listed real estate returns: evidence from the global financial crisis

Purpose The purpose of this paper is to analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis, in presence of errors-in-variables (EIV) and illiquidity (measured by serial correlation, following Getmansky et al. (2004)). Design/methodology/approach The authors extend the seminal work of Bond et al. (2003), and shed a new light on the relative performance of listed real estate before and after the GFC. First, the authors suggest the use of various asset pricing models (APM) including the Fama and French (2015) five-factor APM with global and country-level factors. Second, the authors implement unbiased estimators to correct for the econometric bias induced by EIV in APM. Third, the authors deal with the impact of illiquidity (measured by serial correlation) on the risk properties of international securitized real estate returns. Findings The findings show that post-GFC, a radical change in international listed real estate risk factors has resulted in more homogeneous markets internationally and less diversification opportunities for international investors. Practical implications The authors suggest the use of robust linear APM (including the Fama and French (2015) five-factor APM) to analyze the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015. Originality/value The authors analyze and revisit the risk and performance of publicly traded real estate companies from 14 countries over the period 2000–2015, marked by the unprecedented Global Financial Crisis

Risk and performance of international listed real estate returns

This article studies the performances of publicly traded real estate companies (real estate investment trusts and listed property companies) from 14 countries covering North America, Europe, and Asia as proxied by FTSE EPRA/NAREIT Global Real Estate Indexes over the period 2000 to 2015. We implement robust normalized risk-adjusted performance measures and compare nine performance indicators before, during, and after the global financial crisis (GFC). Our findings show that the GFC had a huge impact on the ranking of international listed real estate securities’ relative performance. The study also stresses the importance of applying various performance measures to get a full picture of international listed real estate returns