Momentum and Contrarian Stock-Market Indices

We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the index provider to trade-off the distinctiveness of the momentum/contrarian strategies with portfolio turnover. Momentum investment styles in particular typically entail a high level of turnover, and hence high associated transaction costs. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995- 2007 we find that short term momentum and long term contrarian indices outperform the reference Russell 1000 index. We also document the changing interaction between the momentum/contrarian and value/growth styles.Momentum index; Contrarian index; Performance measurement; Turnover; Momentum factor; Behavioral finance

Improving International Comparisons of Real Output: The ICP 2005 Benchmark and its Implications for China

The latest round of the International Comparisons Program (ICP 2005) compares the purchasing power of currencies and real output of 146 countries. Using price quote data from nine countries in the Asia-Pacific region, we consider ways of improving the methods used in ICP 2005 and new applications of these methods (e.g., for calculating rural-urban price differentials). The most striking result in ICP 2005 was that China came out 40 percent smaller than previously thought. We also evaluate the extent to which this finding can be attributed to excessive sampling of prices in China from urban areas or of unrepresentative products.International Comparisons Program; Country-Product-Dummy Method; Price Index; Basic Heading; Urban-Rural Price Differences; Representative and Unrepresentative Products; Asia-Pacific Region

Measuring Housing Affordability: Looking Beyond the Median

We draw a distinction between the concepts of purchase affordability (whether a household is able to borrow enough funds to purchase a house) and repayment affordability (the burden imposed on a household of repaying the mortgage). We operationalize this distinction in the context of a new methodology for constructing affordability measures that draws on the value-at-risk concept and takes account of the whole distribution of household income and house prices rather than just the median. Empirically we find that the distinction between purchase and repayment affordability can be pronounced. In the Sydney prime mortgage market over the period 1996 to 2006, repayment affordability deteriorated very significantly while purchase affordability remained quite stable. This difference can be attributed to the loosening of credit constraints in the mortgage market which it seems has carried through primarily into higher house prices. We also consider how median house-price-to-income ratio measures of affordability can be extended to take account of the whole distribution of income and house prices. We propose a new quantile based measure which indicates that the housing affordability problem may be systematically worse than suggested by standard median measures.Housing affordability; Affordability at risk; Affordable limit; Mortgage market; Price-to-income ratio

Flexible Spatial and Temporal Hedonic Price Indexes for Housing in the Presence of Missing Data

We propose a flexible hedonic methodology for computing house price indexes that uses multiple imputation (MI) to account for missing data (a huge problem in housing data sets). Ours is the first study to use MI in this context. We also allow for spatial correlation, include interaction terms between characteristics, between regions and periods, and between regions and characteristics, and break the regressions up into overlapping blocks of five consecutive periods (quarters in our case). These features ensure that the shadow prices are flexible both across regions and time. This flexible structure makes the derivation of price indexes from the estimated regression equations far from straightforward. We develop innovative methods for resolving this problem and for splicing the overlapping blocks together to generate the overall panel results. We then use our methodology to construct temporal and spatial price indexes for 15 regions in Sydney, Australia on a quarterly basis from 2001 to 2006 and combine them to obtain an overall price index for Sydney. Our hedonic indexes differ quite significantly from the official index for Sydney published by the Australian Bureau of Statistics. We also find clear evidence of convergence in prices across regions from 2001-3 (while prices were rising), and divergence thereafter. We conclude by exploring some of the implications of these empirical findings.Real estate; House prices; Hedonic price index; Missing data; Multiple imputation; Spatial correlation

Menacing Feminism, Educating Sisters

Menacing Feminism, Educating Sister

From Motherhood to Sister-Solidarity: Home-making as a Counterdiscourse to Corporate Environmental Polluting

This presentation examines the conjunction between women-homemakers and contaminated spaces, both public and private. Learning for the women was embedded in concerns about motherhood and domesticity. Although the women never expressed their solidarity in terms of sisterhood or feminist language, they functioned as a cohesive group consciously aware of their marginalized status as women. But the girls solidarity was not the source of political action, rather it was the context for it. Domesticity and motherhood was a substantially stronger antecedent for action that enabled the women to build the notion that they could challenge power relations, values and beliefs of the dominant culture in the community

The Impact of Culture and Race on Environmental Worldviews: A Study from the Southeastern U.S.

This qualitative study investigated the influences of race and culture on environmental worldviews of adult educator/activists in the southeastern U.S. It explored the roles of specific cultural practices and race relations which have been—and continue to be—significant factors affecting agency for environmental social transformation