3,598 research outputs found
Open-end real estate funds : danger or diamond?
Both banks and open end real estate funds effectuate liquidity transformation in large amounts and high scales. Because of this similarity the latter should be analyzed using the same methodologies as usually applied for banks. We show that the work in the tradition of Diamond and Dybvig (1983), especially Allen and Gale (1998) and Diamond and Rajan (2001), provides an applicable theoretical framework. We used this as the basis for our model for open end real estate funds. We then examined the usefulness of the modeling structure in analyzing open end real estate funds. First, we could show that withdrawing of capital resulting in a run is not always inefficient. Instead, withdrawing can as well be referred to the situation where the low return of an open end fund unit in comparison to other opportunities makes, (partial) withdrawal viewed from the risk-sharing perspective optimal. Even with costly liquidation, this result will hold, though we will have deadweight losses in such a situation. Second, introducing a secondary market in our model does, not in general, resolve the problem of deadweight losses associated with foreclosure. If assets are sold during a run, we do not only have a transfer of value but it can also create an economic cost. Because funds are forced to liquidate the illiquid asset in order to fulfill their obligations, the price of the real estate asset is forced down making the crisis worse. Rather than providing insurance, such that investors receive a transfer in negative outcomes, the secondary market does the opposite. It provides a negative insurance instead. Third, our model proves that the open end structure provides a monitoring function which serves as an efficient instrument to discipline the funds management. Therefore, we argue that an open end structure can represent a more adequate solution to securitize real estate or other illiquid assets. Instead of transforming open end in closed end structures, fund runs should be accepted as a normal phenomenon to clear the market from funds with mismanagement
Inflation Risk Analysis of European Real Estate Securities
Real estate is an important asset, but as direct investment linked with several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the inflation risks of European real estate securities. An overview for institutional frameworks regarding these companies is given. The returns from securitised real estate in France, Germany, Switzerland and the United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk measurements have been used. In this context, transaction costs in particular have been taken into account.
The Integration of Connectionism and First-Order Knowledge Representation and Reasoning as a Challenge for Artificial Intelligence
Intelligent systems based on first-order logic on the one hand, and on
artificial neural networks (also called connectionist systems) on the other,
differ substantially. It would be very desirable to combine the robust neural
networking machinery with symbolic knowledge representation and reasoning
paradigms like logic programming in such a way that the strengths of either
paradigm will be retained. Current state-of-the-art research, however, fails by
far to achieve this ultimate goal. As one of the main obstacles to be overcome
we perceive the question how symbolic knowledge can be encoded by means of
connectionist systems: Satisfactory answers to this will naturally lead the way
to knowledge extraction algorithms and to integrated neural-symbolic systems.Comment: In Proceedings of INFORMATION'2004, Tokyo, Japan, to appear. 12 page
Unified Description for Network Information Hiding Methods
Until now hiding methods in network steganography have been described in
arbitrary ways, making them difficult to compare. For instance, some
publications describe classical channel characteristics, such as robustness and
bandwidth, while others describe the embedding of hidden information. We
introduce the first unified description of hiding methods in network
steganography. Our description method is based on a comprehensive analysis of
the existing publications in the domain. When our description method is applied
by the research community, future publications will be easier to categorize,
compare and extend. Our method can also serve as a basis to evaluate the
novelty of hiding methods proposed in the future.Comment: 24 pages, 7 figures, 1 table; currently under revie
Asset meltdown : fact or fiction?
This paper analyzes the relation between demographic structure and real asset returns on treasury bills, bonds and stocks for the G7-countries (United States, Canada, Japan, Italy, France, the United Kingdom and Germany). A macroeconomic multifactor model is used to examine a variety of different demographic factors from 1951 to 2002. There was no robust relationship found between shocks in demographic variables and asset returns in the framework of these models, which suggests that Asset Meltdown is rather fiction than fact
Inflation convergence after the introduction of the Euro
Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged after the introduction of a single currency. Since the assumption of non-stationary variables represents the pivotal point in cointegration analyses we pay special attention to the appropriate identification of non-stationary inflation rates by the application of six different unit root tests. We compare two periods, the first ranging from 1993 to 1998 and the second from 1993 to 2002 with monthly observations. The Johansen test only finds partial convergence for the former period and no convergence for the latter.Unit root, Cointegration, Inflation convergence
Inflation Risk Analysis of European Real Estate Securities
The focus of this paper is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold: First, to examine the causal influence of inflation on short- and long-term asset returns, we employ different regression approaches based on the methodology of Fama/Schwert 1977. Hedging capacities against expected inflation are found only for German open-end funds. Furthermore, different shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative real return at the end of a given investment period.
Hedonic Price Indices for the Paris Housing Market
In this paper, we calculate a transaction-based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box-Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01-1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio
Equity and Efficiency in Multi-Worker Firms: Insights from Experimental Economics
In this paper, we discuss recent evidence from economic experiments that study the impact of social preferences on workplace behavior. We focus on situations in which a single employer interacts with multiple employees. Traditionally, equity and efficiency have been seen as opposing aims in such work environments: individual pay-for-performance schemes maximize efficiency but might lead to inequitable outcomes. We present findings from laboratory experiments that show under which circumstances partially incomplete contracts can create equitable work environments while at the same time reaching surprisingly efficient outcomes.laboratory experiments, wage setting, equity, gift exchange, reciprocity, incomplete contracts, incentives, organizational economics
Solving the TTC 2011 Compiler Optimization Task with metatools
The authors' "metatools" are a collection of tools for generic programming.
This includes generating Java sources from mathematically well-founded
specifications, as well as the creation of strictly typed document object
models for XML encoded texts. In this context, almost every computer-internal
structure is treated as a "model", and every computation is a kind of model
transformation.
This concept differs significantly from "classical model transformation"
executed by specialized tools and languages. Therefore it seemed promising to
the organizers of the TTC 2011, as well as to the authors, to apply metatools
to one of the challenges, namely to the "compiler optimization task". This is a
report on the resulting experiences.Comment: In Proceedings TTC 2011, arXiv:1111.440
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