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 Economic Virtues of SRI and CSR

Financial markets and company managers are increasingly acknowledging the concepts of socially responsible investing (SRI) and corporate social responsibility (CSR), but not without reservations. These hesitations are largely attributable to ongoing debates about a potential conflict between social responsibility goals and the traditional financial objectives of investors and companies. This thesis bundles six empirical studies that deepen our understanding of the economic value of SRI and CSR. Several empirical questions underlie these studies, such as: do CSR practices improve a firm’s profitability? Do financial markets value corporate social responsibility? Do SRI criteria constrain investment portfolio optimization, or do they help investors in their hunt for underpriced securities? This thesis shows that SRI and CSR can be studied in new ways to answer these questions. We examine unique SRI stock portfolios with superior return/risk profiles, and provide a fresh look at strategies for investors in SRI mutual funds. By analyzing a wide range of pathways that lead CSR to interrelated measures of corporate financial performance, we further explain whether CSR carries value-relevant information. Taken together, the six studies discuss the channels of transmission from CSR to operating performance, the cost of capital, firm value, analysts’ earnings expectations, and stock return. The conclusions from this dissertation are that (i) integrating SRI criteria into portfolio construction does not negatively affect investment performance; (ii) investors can use information on firms’ eco-efficiency to make investment decisions that improve the return/risk profile of their portfolios; (iii) common CSR attributes, such as corporate environmental responsibility, and human capital management, have a significant association with traditional measures of corporate performance. We recommend making CSR salient to investors in the form of extra-financial information, with an emphasis on environmental, social, and corporate governance themes.Jeroen Derwall (1978) is an Assistant Professor of Financial Management at RSM Erasmus University, and Assistant Professor of Finance at Maastricht University, The Netherlands. He is also co-initiator of the European Centre for Corporate Engagement (ECCE). Before starting his doctoral research at ERIM, he studied at Maastricht University to obtain his Master’s degree in economics. His research has been published in international journals and presented at international academic meetings. His current research interest includes sustainable investment, empirical asset pricing, and mutual funds. His work on SRI has been awarded the 2005 Moskowitz Prize, and the 2005 European Finance & Sustainability Research Award. On behalf of ECCE, he is currently involved with sustainable investment research projects for the Foundation for Strategic Environmental Research (Sweden), and with similar projects sponsored by institutional investors

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

Recovery index, attentiveness and state of memory after xenon or isoflurane anaesthesia: a randomized controlled trial

<p>Abstract</p> <p>Background</p> <p>Performance of patients immediately after anaesthesia is an area of special interest and so a clinical trial was conducted to compare Xenon with Isoflurane anaesthesia. In order to assess the early cognitive recovery the syndrome short test (SST) according to Erzigkeit (Geromed GmbH) was applied.</p> <p>Methods</p> <p>ASA I and II patients undergoing long and short surgical interventions were randomised to receive either general anaesthesia with Xenon or Isoflurane. The primary endpoint was the validated SST which covering memory disturbances and attentiveness. The test was used on the day prior to intervention, one and three hours post extubation. The secondary endpoint was the recovery index (RI) measured after the end of the inhalation of Xenon or Isoflurane. In addition the Aldrete score was evaluated up to 180 min. On the first post-operative day the patients rated the quality of the anaesthetic using a scoring system from 1-6.</p> <p>Results</p> <p>The demographics of the groups were similar. The sum score of the SST delivered a clear trend one hour post extubation and a statistically significant superiority for Xenon three hours post extubation (p < 0.01). The RI likewise revealed a statistically significant superiority of Xenon 5 minutes post extubation (p < 0.01). The Aldrete score was significantly higher for 45 min. The scoring system results were also better after Xenon anaesthesia (p < 0.001).</p> <p>Conclusions</p> <p>The results show that recovery from anaesthesia and the early return of post-operative cognitive functions are significantly better after Xenon anaesthesia compared to Isoflurane. The results of the RI for Xenon are similar with the previously published results.</p> <p>Trial Registration</p> <p>The trial was registered with the number ISRCTN01110844 <url>http://www.controlled-trials.com/isrctn/pf/01110844</url>.</p

Blood Levels of Macrophage Migration Inhibitory Factor after Successful Resuscitation from Cardiac Arrest

Introduction: Ischemia-reperfusion injury following cardiopulmonary resuscitation (CPR) is associated with a systemic inflammatory response, resulting in post-resuscitation disease. In the present study we investigated the response of the pleiotropic inflammatory cytokine macrophage migration inhibitory factor (MIF) to CPR in patients admitted to the hospital after out-of-hospital cardiac arrest (OHCA). To describe the magnitude of MIF release, we compared the blood levels from CPR patients with those obtained in healthy volunteers and with an aged- and gender-matched group of patient

On the price of morals in markets: an empirical study of the Swedish AP-Funds and the Norwegian Government Pension Fund

This study empirically analyses the exclusion of companies from investors’ investment universe due to a company’s business model (sector-based exclusion) or due to a company’s violations of international norms (normbased exclusion). We conduct a time-series analysis of the performance implications of the exclusion decisions of two leading Nordic investors, Norway’s Government Pension Fund-Global (GPFG) and Sweden’s AP-funds. We find that their portfolios of excluded companies do not generate an abnormal return relative to the funds’ benchmark index. While the exclusion portfolios show higher risk than the respective benchmark, this difference is only statistically significant for the case of GPFG. These findings suggest that the exclusion of the companies generally does not harm funds’ performance. We interpret these findings as indicative that with exclusionary screening, as practiced by the sample funds, asset owners can meet the ethical objectives of their beneficiaries without compromising financial returns

State pension funds and corporate social responsibility: do beneficiaries’ political values influence funds’ investment decisions?

This study explores the underlying drivers of US public pension funds’ tendency to tilt their portfolios towards companies with stronger corporate social responsibility (CSR). Studying the equity holdings of large, internally-managed US state pension funds, we find evidence that the political leaning of their beneficiaries and political pressures by state politicians affect funds’ investment decisions. State pension funds from states with Democratic-leaning beneficiaries tilt their portfolios more strongly towards companies that perform well on CSR issues, and this tendency is intensified when the state government is dominated by Democratic state politicians. Moreover, we find that funds which tilt their portfolios towards companies with superior CSR scores generate a slightly higher return compared with their counterparts. Overall, our findings indicate that funds align their investment choices with the financial and non-financial interests of their beneficiaries when deciding whether to incorporate CSR into their equity allocations