El acceso abierto (en la Universidad del Minho - UMinho - y en el mundo): donde estamos y por donde vamos?

O acesso aberto à literatura científica, que se definiu e formalizou, tal como hoje o entendemos, há 12 anos através da Declaração de Budapeste, conheceu um significativo desenvolvimento na última década. A Universidade do Minho foi uma das instituições pioneiras na implementação do acesso aberto. O seu repositório institucional ̶ o RepositóriUM, criado em 2003 ̶ afirmou-se e consolidou-se, dentro e fora da instituição, como um caso de sucesso, para o qual contribuiu decisivamente o estabelecimento de uma política institucional de autoarquivo da sua produção científica. A partir da experiência da Universidade do Minho nos últimos dez anos, bem como da análise do desenvolvimento global do acesso aberto no mesmo período, este artigo pretende avaliar e discutir o atual momento do acesso aberto em todo o mundo. Afirmamos que o acesso aberto se afigura já como inevitável, mas que existe ainda muita incerteza sobre a forma e o ritmo da transição para o acesso aberto e que essa transição poderá ser dirigida pela comunidade científica e as suas instituições ou pela indústria da publicação científica. Concluímos apresentando algumas das principais orientações da estratégia para o acesso aberto que a Universidade do Minho irá prosseguir nos próximos anos.Open access, which has been defined, as we know it today, twelve years ago through the Budapest Declaration, had a significant development in the last decade. University of Minho was one of the pioneering institutions in the implementation of open access. Its institutional repository (RepositóriUM), created in 2003, has grown and established itself within and outside the institution as a success story. The establishment of an institutional policy of self-archiving of UMinho scientific production has contributed decisively to this success. Taking into consideration the experience of the University of Minho in the last ten years, as well as the analysis of the overall development of open access in the same period, this article aims to review and discuss the current situation of open access worldwide. We affirm that open access already appears to be inevitable, but there is still much uncertainty about the shape and pace of the transition to it. This transition can be driven by the scientific community and its institutions, or by the scientific publishing industry. We conclude by presenting some of the main directions of the strategy for open access that UMinho will continue in the coming years

Using Cash Flow Dynamics to Price Thinly Traded Assets: The Case of Commercial Real Estate

Previous studies of share repurchase have primarily focused on examining announcement effects and long-term operating performance in order to distinguish among the diverse possible hypotheses for repurchase. One of the most important rationales they have studied is the over-investment hypothesis: firms repurchase in order to avoid investing in negative net present value projects. While the recent empirical analyses have presented some indirect evidence in support of the over-investment hypothesis, this study examines this rationale for repurchase from a unique perspective, empirically showing that project returns have an important influence on the decision to repurchase shares. Our sample of firms consists of 125 real estate investment trusts (REITs) in order to utilize a time series of real estate capitalization rates (property ROAs) from market transactions on different property types. These cap rates proxy for a REIT’s project opportunity set. Using a both Logit and Tobit models that corrects for other possible buyback rationales, we show that during periods with relatively low cap rates, REITs are more likely to both repurchase shares and repurchase larger amounts of shares than when cap rates are high

Measuring the Value Added of REIT Managers Using MSA Benchmarks: A Return-Based Attribution Analysis Approach

An interesting, important, and challenging financial question both in academic research and in practice is how to determine asset managers’ investment performance. That is, how much can be attributed to luck or serendipitous timing and how much is skill? In this paper we demonstrate how return-based style analysis, known as attribution analysis, can be used to ascertain the extent to which managers of REITs add value to their firm’s stock returns. Developed by William F. Sharpe, a Nobel Laureate, the attribution analysis technique was originally used to analyze a manager’s investment style based on the individual’s equity portfolio (e.g., large cap growth versus large cap value) by comparing returns on various indices.1 The manager’s style would be inferred according to the extent to which a weighted combination of indices most closely replicated the actual performance of the manager’s portfolio over a specified time period. In this way, a fund manager’s style is determined by finding the mix of indices that provides returns that are the most similar to the manager’s portfolio’s returns. The manager’s performance can then be assessed from the resulting benchmark portfolio, which is constructed using the various indices. The unmanaged benchmark reflects how an investor would do if he or she owned a portfolio comprising the same indices but didn’t have the manager

Using Cash Flow Dynamics to Price Thinly Traded Assets

Are cash flows informative and predictive in valuing thinly traded assets? We investigate the extent to which cash-flow and discount-factor information plays a role in pricing thinly traded assets. We focus on pricing the various traded tranches in commercial mortgage-backed securities (CMBS) by developing an adaptation of the Campbell-Shiller dynamic Gordon growth model, which we term a Self-Propagating Rolling-Window VAR. We apply this to cash flows and actual bond prices. In contrast to stocks, we find that cash flows are informative in valuing thinly traded assets. Our predicted cash flow yields closely resemble ex-post realized transaction yields, and these predicted yields even outperform yields based on matrix prices especially for subordinated tranches. We also find that discount-factor information, while important is not as informative as cash flows in this setting, except after the financial crisis where the impact of discount-factor information increases somewhat. Our results provide a good representation of CMBS yields; investors can readily apply this algorithm to infer values of other types of thinly traded assets where cash flows are observable

On the Hybrid Nature of REITs

The consensus that emerges from the current research on the linkage between securitized and direct investment in real estate is that direct (private) real estate returns play a relatively minor role in the real estate investment trust (REIT) return generating process. However, this result may at least partially be due to the coarseness of the measures of direct real estate returns or the relatively short return horizons used in previous studies. This study takes a different and unique perspective. Unlike earlier studies we do not use aggregated, average appraisal based returns on direct real estate investment. Instead, we use the MIT TBI indexes, which are transaction based price indexes, available both on the aggregate and sub-index levels. We find that the relation between REIT and direct real estate returns appears to be stronger at longer horizons. More specifically, using a cointegration framework, we find robust evidence that REITs and the underlying real estate are related and that they share a long run equilibrium. Interestingly, we find that both REITs and direct real estate returns adjust towards this long run relationship. When we examine property type level data we find similar results

On the Hybrid Nature of REITs

The consensus that emerges from the current research on the linkage between securitized and direct investment in real estate is that direct (private) real estate returns play a relatively minor role in the real estate investment trust (REIT) return generating process. However, this result may at least partially be due to the coarseness of the measures of direct real estate returns or the relatively short return horizons used in previous studies. This study takes a different and unique perspective. Unlike earlier studies we do not use aggregated, average appraisal based returns on direct real estate investment. Instead, we use the MIT TBI indexes, which are transaction based price indexes, available both on the aggregate and sub-index levels. We find that the relation between REIT and direct real estate returns appears to be stronger at longer horizons. More specifically, using a cointegration framework, we find robust evidence that REITs and the underlying real estate are related and that they share a long run equilibrium. Interestingly, we find that both REITs and direct real estate estate returns adjust towards this long run relationship. When we examine property-type level data we find similar results

On Indexing Commercial Real Estate Properties and Portfolios

Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the returns on portfolios of commercial properties is an open issue. Our study addresses this topic by analyzing a sample of 12,427 repeat sales transactions between Q4 2000 and Q2 2011. We find that the aggregate real estate indices (Moody’s REAL CPPI) do a good job of tracking real returns when portfolios of more than 20 properties are considered. At this level, tracking is somewhat less effective than our benchmark of the S&P500 and its component stocks. Compared to the average root mean squared deviation (RMSD) from one asset, randomly selected portfolios with 20 assets reduce the RMSD by 75% for the S&P500 compared to 66% for the aggregate index. These results suggest that the aggregate indices can be effective in hedging and evaluating the performance of direct real estate investment. We further find that tracking at the property type level provides little benefit over using an aggregate index. However, indexing using a property type and location matched index provides lower tracking error for any level of diversification

“What Do Commercial Real Estate Price Indices Really Measure?”

Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the price appreciation on individual commercial real estate properties is an open issue. Our study addresses this topic by analyzing a sample of 8864 repeat sales transactions between 1998 and 2010. We find that aggregate real estate indices do a modest job of explaining individual property price appreciation. We find some evidence that this performance is improved by very tightly focused indices. However, controlling for property level cash flow, nearly half the variation in property price appreciation is still unexplained. Our findings cast some doubt on the applicability of these indices for performance evaluation and as a vehicle to hedge commercial real estate

The AGASA/SUGAR Anisotropies and TeV Gamma Rays from the Galactic Center: A Possible Signature of Extremely High-energy Neutrons

Recent analysis of data sets from two extensive air shower cosmic ray detectors shows tantalizing evidence of an anisotropic overabundance of cosmic rays towards the Galactic Center (GC) that ``turns on'' around $10^{18}$ eV. We demonstrate that the anisotropy could be due to neutrons created at the Galactic Center through charge-exchange in proton-proton collisions, where the incident, high energy protons obey an $\sim E^{-2}$ power law associated with acceleration at a strong shock. We show that the normalization supplied by the gamma-ray signal from EGRET GC source 3EG J1746-2851 -- ascribed to pp induced neutral pion decay at GeV energies -- together with a very reasonable spectral index of 2.2, predicts a neutron flux at $\sim 10^{18}$ eV fully consistent with the extremely high energy cosmic ray data. Likewise, the normalization supplied by the very recent GC data from the HESS air-Cerenkov telescope at \~TeV energies is almost equally-well compatible with the $\sim 10^{18}$ eV cosmic ray data. Interestingly, however, the EGRET and HESS data appear to be themselves incompatible. We consider the implications of this discrepancy. We discuss why the Galactic Center environment can allow diffusive shock acceleration at strong shocks up to energies approaching the ankle in the cosmic ray spectrum. Finally, we argue that the shock acceleration may be occuring in the shell of Sagittarius A East, an unusual supernova remnant located very close to the Galactic Center. If this connection between the anisotropy and Sagittarius A East could be firmly established it would be the first direct evidence for a particular Galactic source of cosmic rays up to energies near the ankle.Comment: 57 pages, 2 figure