Cointegration and Price Discovery between Equity and Mortgage REITs

This study analyzes the relationship between equity and mortgage real estate investment trust (REIT) stock prices by performing cointegration tests and causality tests, and estimating an error correction model. Evidence is found that a stable long-run linear relationship exists based on their common reactions to changes in market returns, interest rates and other additional factors. Geweke causality test results indicate a causal relationship running from EREIT stock prices to MREIT stock prices. This may reflect the quicker response of equity REIT stock prices to changes including real estate returns. In addition, the results suggest overall linear dependence (total linear causality) and instantaneous linear feedback between changes in EREIT and MREIT stock prices. The results of the error correction model not only indicate a significant increase in the explanatory power of the model compared with the vector autoregression model but also reveals how the price discovery processes in REIT security markets maintain long-run equilibrium.

Decay of weak turbulence

Weak turbulence fields generated by single and multiple stage grids covering Reynolds numbers between 7 and 70 showing decay of energy spectr

Discrete gravity and and its continuum limit

Recently Gambini and Pullin proposed a new consistent discrete approach to quantum gravity and applied it to cosmological models. One remarkable result of this approach is that the cosmological singularity can be avoided in a general fashion. However, whether the continuum limit of such discretized theories exists is model dependent. In the case of massless scalar field coupled to gravity with $\Lambda=0$, the continuum limit can only be achieved by fine tuning the recurrence constant. We regard this failure as the implication that cosmological constant should vary with time. For this reason we replace the massless scalar field by Chaplygin gas which may contribute an effective cosmological constant term with the evolution of the universe. It turns out that the continuum limit can be reached in this case indeed.Comment: 16 pages,revised version published in MPL

A charging model for three-axis stabilized spacecraft

A charging model was developed for geosynchronous, three-axis stabilized spacecraft when under the influence of a geomagnetic substorm. The differential charging potentials between the thermally coated or blanketed outer surfaces and metallic structure of a spacecraft were determined when the spacecraft was immersed in a dense plasma cloud of energetic particles. The spacecraft-to-environment interaction was determined by representing the charged particle environment by equivalent current source forcing functions and by representing the spacecraft by its electrically equivalent circuit with respect to the plasma charging phenomenon. The charging model included a sun/earth/spacecraft orbit model that simulated the sum illumination conditions of the spacecraft outer surfaces throughout the orbital flight on a diurnal as well as a seasonal basis. Transient and steady-state numerical results for a three-axis stabilized spacecraft are presented

Effects of alcohol on subjective ratings of prospective and everyday memory deficits

Background: Research has shown that heavy alcohol use has a detrimental effect on retrospective memory. Less is known about the effect of alcohol on everyday memory. Methods: This study examined self-ratings of two aspects of memory performance: prospective memory (for example, forgetting to pass on a message) and everyday memory (measured by cognitive failures, such as telling someone a joke that you have told them before). To ensure anonymity and expand on the numbers of participants used in previous studies, data were collected by using the Internet. Data from 763 participants remained after data screening. Results: After controlling for other drug and strategy use, there was clear evidence that differential use of alcohol was associated with impairments in the long-term aspect of prospective memory and with an increased number of cognitive failures. Conclusions: These results support and extend the findings of previous research: our findings are consistent with the idea that heavy use of alcohol does have a significant and negative effect on everyday cognitive performance. Possible causes of these impairments are discussed

Self-rated everyday prospective memory abilities of cigarette smokers and non-smokers: a web based study

The present study examined self-ratings of two aspects of everyday memory performance: long-term prospective memory—measured by the prospective memory questionnaire (PMQ), and everyday memory—measured by the everyday memory questionnaire (EMQ). Use of other substances was also measured and used as covariates in the study. To ensure confidentiality and to expand the numbers used in previous studies, an Internet study was carried out and data from 763 participants was gathered. After controlling for other drug use and strategy use, the data from the PMQ revealed that smokers reported a greater number of long-term prospective memory errors than non-smokers. There were also differences between light and heavier smokers in long-term prospective memory, suggesting that nicotine may have a dose-dependent impact upon long-term prospective memory performance. There was also a significant ANOVA group effect on the EMQ, although the trend for more memory errors amongst the heavier smokers was statistically only borderline (p = .057). These findings suggest there are selective memory deficits associated with smoking and that long-term prospective memory deficits should be added to the growing list of problems associated with cigarette use

Interest Rate Sensitivities of REIT Returns

In order to identify effective interest rate proxies for equity and mortgage REITs, this study analyzes seven different interest rate proxies that have been widely used in the REIT literature. They are the monthly holding period returns on long-term U.S. government bonds and high-grade corporate bonds, the percentage changes in yields for long-term U.S. government bonds and high-yield (Baa) corporate bonds, the difference between returns on long-term U.S. government bonds and T-bill rates, the spread between yields on high-yield (Baa) corporate bonds and returns on long-term U.S. government bonds, and the spread between returns on high-grade corporate bonds and returns on long-term U.S. government bonds. The overall OLS results suggest that mortgage REITs are sensitive to all proxies, while equity REITs are significantly affected by only changes in yields on long-term U.S. government bonds and high-yield corporate bonds. The time variation paths for sensitivities indicate that all interest rate sensitivities are time specific. Overall, the changes in yields on high-yield corporate bonds (Baa) has the strongest explanatory power for returns of equity and mortgage REITs for most of the 27-year sample period (1972 through 1998).

Application of computational physics within Northrop

An overview of Northrop programs in computational physics is presented. These programs depend on access to today's supercomputers, such as the Numerical Aerodynamical Simulator (NAS), and future growth on the continuing evolution of computational engines. Descriptions here are concentrated on the following areas: computational fluid dynamics (CFD), computational electromagnetics (CEM), computer architectures, and expert systems. Current efforts and future directions in these areas are presented. The impact of advances in the CFD area is described, and parallels are drawn to analagous developments in CEM. The relationship between advances in these areas and the development of advances (parallel) architectures and expert systems is also presented

The Sensitivity of Bank Stocks to Mortgage Portfolio Composition

Previous studies have found that bank stock returns are very sensitive to changes in real estate returns in general. But how the composition and quality of bank real estate portfolios affect the sensitivity of bank stocks to real estate returns has not been rigorously examined. The purpose of this study is to empirically examine this important question. The results indicate that commercial mortgages contribute the most to the sensitivity of bank stock returns. Farmland loans have a negative impact on bank real estate return sensitivity. Thus, farmland loans could play a diversification role in terms of reducing the sensitivity of banks to real estate returns, if used appropriately.