ON DEMAND: CROSS-COUNTRY EVIDENCE FROM COMMERCIAL REAL ESTATE ASSET MARKETS

Using over 25 years of quarterly U.S. and Japanese time series data, this paper examines the determinants of demand for an important class of real assets: commercial real estate. We specify a structural model of market equilibrium that considers direct effects of real investment on built asset price. Our empirical findings are consistent across countries and produce several new results. First, we find that real investment exerts a significant positive direct effect on asset price, which in turn feeds back to impact investment decisions. Second, idiosyncratic risk is found to be strongly positively related to asset price, and to complement supply effects. Third, systematic risk is priced as expected, where the strength of the relation between asset price and systematic risk is found to be higher than in previous studies of capital asset prices. Fourth, lagged values of price determinants (of up to two years) are consistently important in real asset demand estimation. Alternative explanations for our findings are analyzed and discussed. Implications for asset pricing model specification and interpretation are also considered.equity REIT; IPO; interest-rate sensitivity; risk-adjusted return performance

Universal Impedance Fluctuations in Wave Chaotic Systems

We experimentally investigate theoretical predictions of universal impedance fluctuations in wave chaotic systems using a microwave analog of a quantum chaotic infinite square well potential. Our approach emphasizes the use of the radiation impedance to remove the non-universal effects of the particular coupling from the outside world to the scatterer. Specific predictions that we test include the probability distribution functions (PDFs) of the real (related to the local density of states in disordered metals) and imaginary parts of the normalized cavity impedance, the equality of the variances of these PDFs, and the dependence of the universal PDFs on a single control parameter characterizing the level of loss. We find excellent agreement between the statistical data and theoretical predictions.Comment: 5 pages, 3 figures, submitted to Phys. Rev. Let

Universal Statistics of the Scattering Coefficient of Chaotic Microwave Cavities

We consider the statistics of the scattering coefficient S of a chaotic microwave cavity coupled to a single port. We remove the non-universal effects of the coupling from the experimental S data using the radiation impedance obtained directly from the experiments. We thus obtain the normalized, complex scattering coefficient whose Probability Density Function (PDF) is predicted to be universal in that it depends only on the loss (quality factor) of the cavity. We compare experimental PDFs of the normalized scattering coefficients with those obtained from Random Matrix Theory (RMT), and find excellent agreement. The results apply to scattering measurements on any wave chaotic system.Comment: 10 pages, 8 Figures, Fig.7 in Color, Submitted to Phys. Rev.

Computation and visualization of photonic quasicrystal spectra via Blochs theorem

Previous methods for determining photonic quasicrystal (PQC) spectra have relied on the use of large supercells to compute the eigenfrequencies and/or local density of states (LDOS). In this manuscript, we present a method by which the energy spectrum and the eigenstates of a PQC can be obtained by solving Maxwells equations in higher dimensions for any PQC defined by the standard cut-and-project construction, to which a generalization of Blochs theorem applies. In addition, we demonstrate how one can compute band structures with defect states in the higher-dimensional superspace with no additional computational cost. As a proof of concept, these general ideas are demonstrated for the simple case of one-dimensional quasicrystals, which can also be solved by simple transfer-matrix techniques.Comment: Published in Physical Review B, 77 104201, 200

Experimental Test of Universal Conductance Fluctuations by means of Wave-Chaotic Microwave Cavities

The mathematical equivalence of the time-independent Schrodinger equation and the Helmholtz equation is exploited to provide a novel means of studying universal conductance fluctuations in ballistic chaotic mesoscopic systems using a two-dimensional microwave-cavity. The classically chaotic ray trajectories within a suitably-shaped microwave cavity play a role analogous to that of the chaotic dynamics of non-interacting electron transport through a ballistic quantum dot in the absence of thermal fluctuations. The microwave cavity is coupled through two single-mode ports and the effect of non-ideal coupling between the ports and cavity is removed by a previously developed method based on the measured radiation impedance matrix. The Landauer-Buttiker formalism is applied to obtain the conductance of a corresponding mesoscopic quantum-dot device. We find good agreement for the probability density functions (PDFs) of the experimentally derived surrogate conductance, as well as its mean and variance, with the theoretical predictions of Brouwer and Beenakker. We also observe a linear relation between the quantum dephasing parameter and the cavity ohmic loss parameter.Comment: 7 Pages,5 Figures (all figures in Color). Submitted to Phys. Rev. B. Updated with Referee/Editor comment