The Integration of Securitized Real Estate and Financial Assets

Empirical evidence suggests that U.S. REITs are integrated with common stocks, but not with bonds. The design of the real estate security is likely to impact upon results, however, and it would seem important to analyze the topic of integration for another type of real estate security. Swiss real estate funds constitute an ideal candidate for such an examination as their institutional and legal setup differs substantially from that of other countries. We analyze the integration of such funds with both the stock and bond markets using an APT framework. We employ both the Xu (2003) method and an innovative procedure to determine endogenous and exogenous factors, respectively. Integration is assessed by means of two alternative tests. Our results suggest that Swiss real estate funds are more integrated with stocks than with bonds. Further, we show that the degree of integration between real estate and stocks is due to a stock market factor and changes in expected inflation. No integrating factor is found between real estate and bond funds. Finally, it is found that unexpected inflation is a segmenting factor between real estate securities and financial assets.Securitized Real Estate; Statistical APT; Macroeconomic APT; Market Integration; Risk Factors

The Determinants of Stock Returns in a Small Open Economy

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market.Statistical APT, Macroeconomic APT, Market integration, Risk factors

Ir-CPI, a coagulation contact phase inhibitor from the tick Ixodes ricinus, inhibits thrombus formation without impairing hemostasis

Blood coagulation starts immediately after damage to the vascular endothelium. This system is essential for minimizing blood loss from an injured blood vessel but also contributes to vascular thrombosis. Although it has long been thought that the intrinsic coagulation pathway is not important for clotting in vivo, recent data obtained with genetically altered mice indicate that contact phase proteins seem to be essential for thrombus formation. We show that recombinant Ixodes ricinus contact phase inhibitor (Ir-CPI), a Kunitz-type protein expressed by the salivary glands of the tick Ixodes ricinus, specifically interacts with activated human contact phase factors (FXIIa, FXIa, and kallikrein) and prolongs the activated partial thromboplastin time (aPTT) in vitro. The effects of Ir-CPI were also examined in vivo using both venous and arterial thrombosis models. Intravenous administration of Ir-CPI in rats and mice caused a dose-dependent reduction in venous thrombus formation and revealed a defect in the formation of arterial occlusive thrombi. Moreover, mice injected with Ir-CPI are protected against collagen- and epinephrine-induced thromboembolism. Remarkably, the effective antithrombotic dose of Ir-CPI did not promote bleeding or impair blood coagulation parameters. To conclude, our results show that a contact phase inhibitor is an effective and safe antithrombotic agent in vivo

The determinants of stock returns in a small open economy

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market

The Integration of Securitized Real Estate and Financial Assets

Empirical evidence suggests that U.S. REITs are integrated with common stocks, but not with bonds. The design of the real estate security is likely to impact upon results, however, and it would seem important to analyze the topic of integration for another type of real estate security. Swiss real estate funds constitute an ideal candidate for such an examination as their institutional and legal setup differs substantially from that of other countries. We analyze the integration of such funds with both the stock and bond markets using an APT framework. We employ both the Xu (2003) method and an innovative procedure to determine endogenous and exogenous factors, respectively. Integration is assessed by means of two alternative tests. Our results suggest that Swiss real estate funds are more integrated with stocks than with bonds. Further, we show that the degree of integration between real estate and stocks is due to a stock market factor and changes in expected inflation. No integrating factor is found between real estate and bond funds. Finally, it is found that unexpected inflation is a segmenting factor between real estate securities and financial assets

The Determinants of Stock Returns in a Small Open Economy (new version May 2003)

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market