An Examination of Informed Traders and the Market Microstructure of Real Estate Investment Trusts

A significant body of research exists documenting that REITs perform differently from other types of equity securities, although the reasons for these differences are unclear. This study examines the intraday trading behavior of Real Estate Investment Trusts (REITs). Specifically, intraday REIT returns, volume, trading activity, and bid/ask spread are examined in an attempt to better understand the patterns of intraday information flow for a sample of REITs trading on the NYSE. After controlling for differences in market capitalization, share price, and institutional holdings, this paper analyzes differences between REITs and non-REITs, and between REITs that are widely held by institutions and those that are not. The results suggest that, as a group, REITs exhibit lower average volumes and number of trades than do similar non-REITs. In addition, the findings suggest that mortgage REITs trade at spreads that are wider. Surprisingly, the analysis of institutional ownership suggests that equity REITs that are widely held by institutions exhibit the largest divergence from non-REITs in terms of both intraday trading activity and volume, but at the same time trade closer to non-REITs in terms of bid/ask spread. Overall, the results of this study confirm that REITs are treated differently by investors than similar non-REITs, and the institutional ownership findings suggest that trading activity is less important as a determinant of REIT performance than is the level of institutional ownership.

REIT Pricing Efficiency; Should Investors Still Be Concerned?

This study examines the impact of the REIT boom on the market microstructure of REIT common stocks. We analyze NYSE-traded REITs during the pre-boom period (1992) and the post-boom period (1994), and find significant reductions in bid/ask spreads over the period. We also find that the bid/ask spread differential between REITs and non-REITs has been roughly halved between 1991 and 1994. These reductions provide a direct benefit to REIT investors in terms of reduction in transaction costs and improved liquidity, and suggest that the level of uncertainty on the part of the REIT specialist has been reduced.

LCDG4 and DigiSim - Simulation activities at NICADD/NIU

We present two software packages developed to support detector R&D studies for the International Linear Collider. LCDG4 is a full-detector simulator that provides energy deposits from particles traversing the sensitive volumes of the detector. It has been extensively used within the American ILC community, providing data for algorithm development and detector optimization studies. DigiSim models real-life digitization effects, converting the idealized response into simulated detector readout. It has many useful features to improve the realism in modeling detector response. The main characteristics of these two complementary packages are discussed.Comment: 8 pages, 7 figures, submitted to LCWS05 conference proceedings. Uses slac_one.rt

Temperature dependent carrier lifetime studies on Ti-doped multicrystalline silicon

Carrier lifetimemeasurements were performed on deliberately Ti-doped multicrystalline silicon wafers using a temperature controlled photoconductance device. The dominant recombination center was found to be the double-donor level associated with interstitial titanium. The interstitial Ti concentrations in multicrystalline silicon wafers were determined by measuring the Shockley–Read–Hall time constant for holes and using the known values of the thermal velocity and capture cross section for holes of the double-donor level at different temperatures. The measured values of the Ti concentration were then used to determine the electron capture cross section of the double-donor level over the temperature range of 140–270 °C via the measured values of the Shockley–Read–Hall time constant for electrons and the known thermal velocity. Multiphonon emission was found to be the most likely capture mechanism for this temperature range for electron capture into the double-donor level of Ti in silicon. The effective segregation coefficient for Ti was estimated by fitting Scheil’s equation to the measured values of the Ti concentrations and their respective vertical positions in the ingot. If all Ti were present as the interstitial double-donor, a lower limit of 1.8×10⁻⁶ can be ascribed to the segregation coefficient, which is very close to the equilibrium value.This work was funded by an Australian Research Council Linkage Grant between the Australian National University, SierraTherm Production Furnaces, and SunPower Corporation. D.H.M. is supported by an Australian Research Council fellowship

Causal connectivity of evolved neural networks during behavior

To show how causal interactions in neural dynamics are modulated by behavior, it is valuable to analyze these interactions without perturbing or lesioning the neural mechanism. This paper proposes a method, based on a graph-theoretic extension of vector autoregressive modeling and 'Granger causality,' for characterizing causal interactions generated within intact neural mechanisms. This method, called 'causal connectivity analysis' is illustrated via model neural networks optimized for controlling target fixation in a simulated head-eye system, in which the structure of the environment can be experimentally varied. Causal connectivity analysis of this model yields novel insights into neural mechanisms underlying sensorimotor coordination. In contrast to networks supporting comparatively simple behavior, networks supporting rich adaptive behavior show a higher density of causal interactions, as well as a stronger causal flow from sensory inputs to motor outputs. They also show different arrangements of 'causal sources' and 'causal sinks': nodes that differentially affect, or are affected by, the remainder of the network. Finally, analysis of causal connectivity can predict the functional consequences of network lesions. These results suggest that causal connectivity analysis may have useful applications in the analysis of neural dynamics

Novel technique to extract experimental symmetry free energy information of nuclear matter

A new method of accessing information on the symmetry free energy from yields of fragments produced in Fermi-energy heavy-ion collisions is proposed. Furthermore, by means of quantum fluctuation analysis techniques, correlations between extracted symmetry free-energy coefficients with temperature and density were studied. The obtained results are consistent with those of commonly used isoscaling techniques.Comment: 6 pages, 3 figures Heavy-ion nuclear reactions at Fermi energies, Nuclear equation of State, Fragmentatio

Aggregated initiators: defining their role in the ROP of <i>rac</i>-lactide

Reported examples of aggregated initiators for the ring-opening polymerisation (ROP) of lactide often lack detailed investigations as to the nature of the active species, making it difficult to reconcile ligand design with performance.</p