A Multi-Factor Analysis of AREIT Returns

Since 1990, the Australian Real Estate Investment Trust (AREIT) sector has experienced substantial growth and popularity. While the AREIT sector had benefit from the increased flow of funds from institutional investors during the 1997 Asian financial crisis, the recent impact of the 2008 global financial crisis has been a negative one. In this paper, we examine the sensitivities of annualised AREIT returns against a set of seven firm-specific variables and four market-wide risk variables. Balanced and unbalanced panel regressions are conducted on three sub-periods during 1990 - 2008 corresponding to the major phases in evolution of the AREIT sector. Our regression results find that size has a negative impact on returns, and this effect has been diminishing over time. Overall market risk was also found to be significant and positive only since 2003, suggesting that recently AREITs behave more like stocks and less like defensive assets. The relationship with exchange rate risk has been positive in recent years, due to more AREITs choosing to diversify internationally, particularly in the U.S. property markets. Our findings on the relationship between market-to-book ratios and AREIT returns depart from standard finance literature. In comparison to REITs in other countries, AREITs have shifted their preferences away from property-type diversification and into more specialised investment strategies. We also find contrasting evidence on the impact of international diversification, and that domestic AREITs provide better returns than internationally diversified counterparts. The relationship between returns and short term interest rates was found to be positive and significant prior to 2002, and the relationship with long-term interest rates was found to be negative and significant since 2003, suggesting that AREITs exhibit less bond-like characteristics in the past five years.AREITs, AREIT returns, Property-type diversification, International diversification, Panel regressions

Pinning modes and interlayer correlation in high magnetic field bilayer Wigner solids

We report studies of pinning mode resonances in the low total Landau filling (\nu) Wigner solid of a series of bilayer hole samples with negligible interlayer tunneling, and with varying interlayer separation d. Comparison of states with equal layer densities (p,p) to single layer states (p,0) produced {in situ} by biasing, indicates that there is interlayer quantum correlation in the solid at small d. Also, the resonance frequency at small d is decreased just near \nu=1/2 and 2/3, indicating the importance in the solid of correlations related to those in the fractional quantum Hall effects

Path integrals and symmetry breaking for optimal control theory

This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a linear equation. The transformation is similar to the transformation used to relate the classical Hamilton-Jacobi equation to the Schr\"odinger equation. As a result of the linearity, the usual backward computation can be replaced by a forward diffusion process, that can be computed by stochastic integration or by the evaluation of a path integral. It is shown, how in the deterministic limit the PMP formalism is recovered. The significance of the path integral approach is that it forms the basis for a number of efficient computational methods, such as MC sampling, the Laplace approximation and the variational approximation. We show the effectiveness of the first two methods in number of examples. Examples are given that show the qualitative difference between stochastic and deterministic control and the occurrence of symmetry breaking as a function of the noise.Comment: 21 pages, 6 figures, submitted to JSTA

Prokineticin 2 Is a Target Gene of Proneural Basic Helix-Loop-Helix Factors for Olfactory Bulb Neurogenesis

Prokineticin 2, a cysteine-rich secreted protein, regulates diverse biological functions including the neurogenesis of olfactory bulb. Here we show that the PK2 gene is a functional target gene of proneural basic helix-loop-helix (bHLH) factors. Neurogenin 1 and MASH1 activate PK2 transcription by binding to E-box motifs on the PK2 promoter with the same set of E-boxes critical for another pair of bHLH factors, CLOCK and BMAL1, in the regulation of circadian clock. Our results establish PK2 as a common functional target gene for different bHLH transcriptional factors in mediating their respective functions

Algebraic and geometric aspects of generalized quantum dynamics

\noindent We briefly discuss some algebraic and geometric aspects of the generalized Poisson bracket and non--commutative phase space for generalized quantum dynamics, which are analogous to properties of the classical Poisson bracket and ordinary symplectic structure.Comment: 10pages,revtex, IASSNSHEP-93/5