Disaggregated Commitment Of Traders Data And Prospective Price Effects

The interplay between speculative levels in futures contracts and prospective price changes is an important issue for hedgers, speculators, consumers, and regulators. The Commodity Futures Trading Commission (CFTC) began the dissemination of disaggregated data in September 2009; which allows for additional analysis that was previously not possible. This study analyzes Disaggregated Commitments of Traders data and prospective price effects in underlying futures markets. The relationship between position changes and subsequent price movements is examined through a series of Granger causality tests in agricultural commodity, energy, and metal markets. Primary findings indicate large traders and hedgers have more influence in future price changes in some commodity markets. In addition, there is limited evidence that changes in the positions of swap dealers and producers can cause subsequent futures prices to change, although the effect is inconsistent across time

Investor Sentiment And Close-End Country Funds?

An innovative method to estimate the duration of investor sentiment is applied to closed-end country fund returns and it finds that U.S. investor sentiment has a short life.  The effects of sentiment on closed-end country fund returns are largely consistent with existing literature however, it is only apparent in daily time-series regressions.  Sentiment rapidly fades at a weekly frequency and virtually disappears using monthly return observations.  These results suggest that the kind of investor sentiment for country fund prices does not have a persistent component

Pricing A Pig In A Poke: Endogenous Valuations And Storage Unit Auctions

Storage unit auctions have recently received widespread attention from reality shows and “get rich easy” business models. This study examines the pitfalls associated with winning storage unit auctions, commonly observed bidding strategies, participant behavior and auction methods. Storage unit auctions present a classic example of endogenous valuation using incomplete information and imperfect secondary markets. The examination of the contents of a storage unit auction yields a novel use for the facility and sheds light on the process that leads to a lien and sale

On the Time-Series Properties of Real Estate Investment Trust Betas

The relation between real estate investment trust (REIT) returns and stock market returns is of significant importance to investors, practitioners and academics. The temporal properties of this relationship have a critical impact on the usefulness of REIT risk estimates and portfolio allocations to this asset class. Recent studies have suggested a decline in the market betas of equity real estate investment trusts (EREITs). This study applies a rigorous statistical test of the hypothesis that the market betas of EREITs have remained unchanged during the 1972 through 2002 time period. There is weak evidence of a downward trend in EREIT betas using a single-factor model; however, the hypothesis is not rejected when using a three-factor model. Copyright 2005 by the American Real Estate and Urban Economics Association

REIT Mimicking Portfolio Analysis

It is well known that expected returns vary by industry (Lyon et al., 1999), and that REIT-based mimicking portfolios may capture the information in real estate investment trust (REIT) prices (Downs, 2000). This study performs REIT-based mimicking portfolio analysis. The results indicate that when the Capital Asset Pricing Model and the Fama-French (1993) three-factor model are used to evaluate the performance of a REIT portfolio, the probability for making Type I error exceeds its significance level. Performance tests are better specified when mimicking portfolios are constructed with the firms from the REIT industry. In addition, the market beta of REIT portfolios appears to converge to the market beta of the NCREIF Index when REIT-based mimicking portfolios are included into the specification. The result is consistent with the notion that there is a strong linkage between REIT returns and the underlying real estate factor (Ziering et al., 1997).REIT; mimicking portfolio; performance evaluation

Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds

Funds of funds (FOFs) are created when investment companies invest in other investment companies. Although the additional layer of fees incurred by FOFs has a negative effect on returns, there is empirical evidence that real estate FOFs generate superior performance net of fees and risk adjustments. The evidence is inconsistent with a growing consensus that most actively managed mutual funds do not, on average, generate excess returns after adjusting for fees and risk. This study explains this apparent contradiction and finds that most real estate FOFs do not outperform their benchmarks under alternative risk adjustment specifications. Copyright 2008 American Real Estate and Urban Economics Association