Serial Persistence in Equity REIT Returns

Annual and monthly REIT returns display statistically significant serial persistence, although the two types of persistence behavior are qualitatively different. By contrast, quarterly REIT returns do not display serial persistence. This strongly suggests that linear multifactor market models cannot describe REIT investment behavior. Annual REIT returns fail to reflect corresponding persistence behavior in underlying real estate returns precisely when the REITs are large enough to attract institutional investor interest. Institutional investors move in and out of large-capitalization REITs in ways that negatively impact investment returns.

The Magnitude of Random Appraisal Error in Commercial Real Estate Valuation

Analysis of more than seven hundred pairs of simultaneous independent appraisals of institutional-grade commercial properties shows that the standard deviation of the random component of appraisal error is approximately 2%. Random appraisal error appears constant across both time and the institutional-grade investment universe, except during infrequent periods of real estate market gridlock. Most appraisal error is deterministic in nature, even though it usually appears random in routine cross-sectional analysis. Such appraisal error can be constrained and reduced by investment management control systems.

Systematic Behavior in Real Estate Investment Risk: Performance Persistence in NCREIF Returns

Serial dependence of total annual returns in the NCREIF database is shown to be statistically significant in the first and fourth quartiles of disaggregated data between 1978 and 1994. More precisely, superior performance is generally followed by continued superior performance, and inferior performance is generally followed by continued inferior performance. In contrast, there is virtually no evidence to support serial dependence in the second or third quartiles, whether combined or taken separately. The empirical rejection of serial independence among real estate returns calls into question the conclusions of research based upon models that incorporate the assumption of serial independence.

AN ECONOMIC EVALUATION OF THE COLORADO RIVER BASIN SALINITY CONTROL PROGRAM

Dissolved salts (salinity) adversely affect numerous urban and agricultural users of Colorado River water in California and Arizona. Congress in 1974 authorized a major salinity control program. Studies of general economic benefits from salinity abatement and the cost per unit of salinity reduction expected from specific proposed projects have been developed by the responsible federal agencies, but no project-by-project evaluation has been published. We find a conceptual basis for a substantial downward revision of prospective economic benefits of salinity abatement. Revised benefits are compared with estimated costs, and only for five of the nineteen projects do economic benefits appear to exceed costs.Resource /Energy Economics and Policy,

Association Between Embedded Cellular Phone Calls and Vehicle Crashes Involving Airbag Deployment

A study was done of a cellular telephone system embedded in a vehicle by the vehicle manufacturer. This study examined voice calls to a service advisor made with a single button press (an OnStar call). The OnStar system also automatically places a call to an advisor notifying of an airbag deployment (an airbag call). The main objective of this study was to determine the probability of an airbag-deployment crash, given that an OnStar call was in progress. The complete OnStar database from October 1996 to May 2001 was searched for all occurrences of OnStar calls associated with airbag calls. In the total population of about eight million OnStar calls, there were eight cases of an OnStar voice conversation being followed in less than 10 minutes by an airbag call. The advisor’s written comments in these eight cases indicated there were even fewer cases, likely only two, in which the phone was actually in use at the time of the crash. The comments contained no specific indications that the OnStar calls contributed to causing the crashes, but did contain indications of other possible causes, such as a driver’s selfreport of drowsiness. The conclusions are: (1) An embedded cell phone call with an advisor followed by airbag-deployment crash within 10 minutes is rare, occurring at a frequency of one event per million calls during the fiveyear period of the study; (2) An embedded cell phone in use at the time of an airbag-deployment crash is even more rare, occurring at a frequency of one event per four million calls; (3) Embedded cell phone usage uniquely causing an airbag-deployment crash occurs even more rarely

Naturalistic Studies of Driver Distraction: Effects of Analysis Methods on Odds Ratios and Population Attributable Risk

When analyzing naturalistic driver performance data, different analysis methods can have large impacts on safety estimates for the condition being assessed. To illustrate, this paper reanalyzed the data for a secondary task (conversation on a hand-held cell phone) from the recently-released Virginia Tech Transportation Institute (VTTI) 100-Car databases, using a standard method for epidemiological analysis. It found substantially lower estimates for the odds ratio (OR), population exposure percent (Pe%), and population attributable risk percent (PAR%) than with the VTTI analysis method. The crash/near-crash OR was reported by VTTI as 1.29, but was found to be 0.78 with the standard method, a reversal in direction from a potentially crash-increasing to a potentially crash-reducing effect. The Pe% for crashes/near-crashes was 12.5% using the VTTI method, but declined to 6.7% with the standard method. The PAR% was reported as 3.6% but a population preventive fraction of 1.5% (a protective effect) was estimated by the standard method. The OR difference was traced to an “assumption bias” in the VTTI method that had unequal effects for the unexposed vs. exposed cases. The Pe% and PAR% differences were traced to an error in the VTTI calculation of Pe%. This bias and error were systemic in the VTTI analysis methods, overestimating OR, Pe%, and PAR% for all tasks examined. Future research should seek to better understand the epidemiologic analysis methods that are most appropriate in the new and emerging field of naturalistic driving research

The Shape of Australian Real Estate Return Distributions and Comparisons to the United States

Investment risk models with variance provide a better description of distribution of individual property returns in the Property Council of Australia data base from 1985 to 1996 than normally distributed risk models. The shape of the distribution of Australian property returns is virtually indistinguishable from the shape of United States property returns in the NCREIF Property Index for the years 1980 to 1992. Australian real estate investment risk is heteroscedastic, like its US counterpart, but the characteristic exponent of the investment risk function is constant across time and property type. It follows that portfolio management and asset diversification techniques that rely upon finite-variance statistics are as ineffectual for the Australian real estate market as they have been found to be for the United States.

Need for Revised Total Eyes-Off-Road Criterion in the NHTSA Distraction Guidelines: Track Radio-Tuning Data

This study re-analyzes participant-level glance data from a NHTSAsponsored test track study of nine radio-tuning tasks in five radios. NHTSA stated that in its judgment, all nine tasks met the definition of traditional manual radio tuning, and so collapsed the data across all participants to estimate an 85th percentile. NHTSA further stated that it combined that track percentile with the 85th percentile from a radio-tuning task in a separate simulator study, to set its total-eyes-off-road time (TEORT) acceptance criterion. Given NHTSA’s statements, individual radio-tuning tasks should, in general, meet the criteria created from them. This study performed such an analysis, and found that this expectation was not met. Four out of nine radio-tuning tasks did not meet the criterion. One problem is that NHTSA did not allow for variability in its 85th percentile estimate. Additionally, TEORT values were higher in the simulator than track for the same task with age-matched data, meaning that if the track tasks had been run in the simulator then the 85th percentile TEORT may have been higher. These issues illustrate the need for revising the criteria based on an improved analysis of the data that NHTSA used to set those criteria. Without doing so, many commonly-accepted secondary tasks (including manual radio tuning in many vehicles) would not meet the current NHTSA Guidelines glance criteria. Revised criteria should be derived in a way that would provide the needed consistency with age-balance requirements of task-acceptability testing, as well as allowing robustness for variability in the percentile estimates

NiO Exchange Bias Layers Grown by Direct Ion Beam Sputtering of a Nickel Oxide Target

A new process for fabricating NiO exchange bias layers has been developed. The process involves the direct ion beam sputtering (IBS) of a NiO target. The process is simpler than other deposition techniques for producing NiO buffer layers, and facilitates the deposition of an entire spin-valve layered structure using IBS without breaking vacuum. The layer thickness and temperature dependence of the exchange field for NiO/NiFe films produced using IBS are presented and are similar to those reported for similar films deposited using reactive magnetron sputtering. The magnetic properties of highly textured exchange couples deposited on single crystal substrates are compared to those of simultaneously deposited polycrystalline films, and both show comparable exchange fields. These results are compared to current theories describing the exchange coupling at the NiO/NiFe interface.Comment: 9 pages, Latex 2.09, 3 postscript figures. You can also this manuscript at http://www.wsrcc.com/alison/fixed-nio/manuscript.html To be published in _IEEE Trans. Magn._, Nov. 199