REIT Momentum and the Performance of Real Estate Mutual Funds

REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to performance attribution models for REIT portfolios. Using this factor, this study finds that REIT momentum explains a great deal of the abnormal returns that actively managed REIT mutual funds earn in aggregate. Accounting for exposure to REIT momentum also materially influences cross-sectional comparisons of the performances of REIT mutual funds. This study has important implications for performance evaluation, alpha--beta separation, and manager selection and compensation

The Eco-Efficiency Premium Puzzle

There exists a widespread consensus among mainstream academics and investors that socially responsible investing (SRI) leads to inferior, rather than superior, portfolio performance. Using Innovest’s well-established corporate ecoefficiency scores, we provide evidence to the contrary. We compose two equity portfolios that differ in eco-efficiency characteristics and find that our highranked portfolio provided substantially higher average returns compared to its low-ranked counterpart over the period 1995-2003. Using a wide range of performance attribution techniques to address common methodological concerns, we show that this performance differential cannot be explained by differences in market sensitivity, investment style, or industry-specific components. We finally investigate whether this eco-efficiency premium puzzle withstands the inclusion of transaction costs scenarios, and evaluate how excess returns can be earned in a practical setting via a best-in-class stock selection strategy. The results remain significant under all levels of transactions costs, thus suggesting that the incremental benefits of SRI can be substantial

Deletion of the Sequence Encoding the Tail Domain of the Bone Morphogenetic Protein type 2 Receptor Reveals a Bone Morphogenetic Protein 7-Specific Gain of Function

The bone morphogenetic protein (BMP) type II receptor (BMPR2) has a long cytoplasmic tail domain whose function is incompletely elucidated. Mutations in the tail domain of BMPR2 are found in familial cases of pulmonary arterial hypertension. To investigate the role of the tail domain of BMPR2 in BMP signaling, we generated a mouse carrying a Bmpr2 allele encoding a non-sense mediated decay-resistant mutant receptor lacking the tail domain of Bmpr2. We found that homozygous mutant mice died during gastrulation, whereas heterozygous mice grew normally without developing pulmonary arterial hypertension. Using pulmonary artery smooth muscle cells (PaSMC) from heterozygous mice, we determined that the mutant receptor was expressed and retained its ability to transduce BMP signaling. Heterozygous PaSMCs exhibited a BMP7‑specific gain of function, which was transduced via the mutant receptor. Using siRNA knockdown and cells from conditional knockout mice to selectively deplete BMP receptors, we observed that the tail domain of Bmpr2 inhibits Alk2‑mediated BMP7 signaling. These findings suggest that the tail domain of Bmpr2 is essential for normal embryogenesis and inhibits Alk2‑mediated BMP7 signaling in PaSMCs

Разработка информационной системы планирования энергоресурсов производственного предприятия OOO "Завод ТехноНИКОЛЬ-Сибирь"

OBJECTIVE: The expression of bone morphogenetic proteins (BMPs) is enhanced in human atherosclerotic and calcific vascular lesions. While genetic gain- and loss-of-function experiments in mice have supported a causal role of BMP signaling in atherosclerosis and vascular calcification, it remains uncertain whether BMP signaling might be targeted pharmacologically to ameliorate both of these processes. METHODS AND RESULTS: We tested the impact of pharmacologic BMP inhibition upon atherosclerosis and calcification in low density lipoprotein receptor-deficient (LDLR(−/−)) mice. LDLR(−/−) mice fed a high-fat diet developed abundant vascular calcification within twenty weeks. Prolonged treatment of LDLR(−/−) mice with the small molecule BMP inhibitor LDN-193189 was well-tolerated and potently inhibited development of atheroma, as well as associated vascular inflammation, osteogenic activity, and calcification. Administration of recombinant BMP antagonist ALK3-Fc replicated the anti-atherosclerotic and anti-inflammatory effects of LDN-193189. Treatment of human aortic endothelial cells with LDN-193189 or ALK3-Fc abrogated the production of reactive oxygen species (ROS) induced by oxidized LDL, a known early event in atherogenesis. Unexpectedly, treatment of mice with LDN-193189 lowered LDL serum cholesterol by 35% and markedly decreased hepatosteatosis without inhibiting HMG-CoA reductase activity. Treatment with BMP2 increased, whereas LDN-193189 or ALK3-Fc inhibited apolipoprotein B100 secretion in HepG2 cells, suggesting that BMP signaling contributes to the regulation of cholesterol biosynthesis. CONCLUSIONS: These results definitively implicate BMP signaling in atherosclerosis and calcification, while uncovering a previously unidentified role for BMP signaling in LDL cholesterol metabolism. BMP inhibition may be helpful in the treatment of atherosclerosis and associated vascular calcification

«ЩОБ ХОЧ НЕ СИДЯЧОГО ТАТАРИ БРАЛИ…»

Одним із вагомих (не в останню чергу з точки зору суспільної ваги) напрямків в колі наукових зацікавлень Ганни Кирилівни є краєзнавство, до якого не завжди «прихильно» ставиться академічна наука. Саме з краєзнавчої актуальності виводить Автор у передмові потребу у написанні роботи, присвяченої досить знаковій постаті на загальноукраїнському тлі і абсолютно виключній особистості на регіональному рівні – Михайлові Федоровичу Комарову (1844-1913) (с.4-5

The Ethical Mutual Fund Performance Debate: New Evidence from Canada

Although the academic interest in ethical mutual fund performance has developed steadily, the evidence to date is mainly sample-specific. To tackle this critique, new research should extend to unexplored countries. Using this as a motivation, we examine the performance and risk sensitivities of Canadian ethical mutual funds vis-à-vis their conventional peers. In order to overcome the methodological deficiencies most prior papers suffered from, we use performance measurement approaches in the spirit of Carhart (1997, Journal of Finance 52(1): 57–82) and Ferson and Schadt (1996, Journal of Finance 51(2): 425–461). In doing so, we investigate the aggregated performance and investment style of ethical and conventional mutual funds and allow for time variation in the funds’ systematic risk. Our␣Canadian evidence supports the conjecture that any␣performance differential between ethical mutual funds and their conventional peers is statistically insignificant