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

Full embeddings of (α,β)-geometries in projective spaces—Part II

AbstractThe incidence structures known as (α,β)-geometries are a generalization of partial geometries and semipartial geometries. In a previous paper, a classification of (α,β)-geometries fully embedded in PG(n,q), q odd and α>1, assuming that every plane of PG(n,q) containing an antiflag of S is either an α-plane or a β-plane, is given. The case that there is a so-called mixed plane and that β=q+1, is also treated there. In this paper we will treat the case β=q. This completes the classification of all proper (α,β)-geometries fully embedded in PG(n,q), q odd and α>1, such that PG(n,q) contains at least one α- or one β-plane. For q even, some partial results are obtained

Seismic Noise by Wind Farms: A Case Study from the Virgo Gravitational Wave Observatory, Italy

We present analyses of the noise wave field in the vicinity of Virgo, the Italian–French gravitational wave observatory located close to Pisa, Italy, with special reference to the vibrations induced by a nearby wind farm. The spectral contribution of the wind turbines is investigated using (1) onsite measurements, (2) correlation of spectral amplitudes with wind speed, (3) directional properties determined via multichannel measurements, and (4) attenuation of signal amplitude with distance. Among the different spectral peaks thus discriminated, the one at frequency 1.7 Hz is associated with the greatest power, and under particular conditions it can be observed at distances as large as 11 km from the wind farm. The spatial decay of amplitudes exhibits a complicated pattern, which we interpret in terms of the combination of direct surface waves and body waves refracted at a deep (≈800 m) interface between the Plio-Pleistocenic marine, fluvial, and lacustrine sediments and the Miocene carbonate basement. We develop a model for wave attenuation that allows determining the amplitude of the radiation from individual turbines, which is estimated on the order of 300–400 μms_1/ √Hz for wind speeds over the 8–14 m=s range. On the basis of this model, we then develop a predictive relationship for assessing the possible impact of future wind farm projects

While of Unsound Mind? Narratives of Responsibility in Suicide Notes from the Twentieth Century

Between 1892 and 1960, most suicide verdicts rendered during coroners’ inquests labelled death by a person’s own hand as “suicide while of unsound mind.” During this period, psychiatrists increasingly determined the degree to which individuals who attempted to kill themselves could be considered criminally responsible for their actions or not responsible by reason of mental illness. To elucidate this gradual transition from state to medical authority over suicide in Canada, we analyse narratives of responsibility found in “suicide notes” appended to coroners’ inquests, particularly ways in which the act of suicide was construed by individuals who committed suicide as a rational decision or an individual right and not as a moment of madness or a criminal act. Entre 1892 et 1960, la plupart des verdicts de suicide attribués à la fin d’une enquête du coroner nomment le fait de se donner la mort comme « un suicide dans un moment de folie ». Au cours de cette même période, les psychiatres vont être amenés à déterminer de plus en plus le niveau de responsabilité de personnes qui ont attenté à leur vie, à savoir si ces dernières peuvent être tenues criminellement responsable de leur geste ou au contraire déresponsabilisé pour cause de troubles mentaux. Pour tenter de réfléchir plus en avant sur cette transition graduelle de la gestion pénale à la gestion médicale du suicide au Canada, nous avons analysé les récits de responsabilité dans les « lettres de suicide » jointes au dossier de l’enquête du coroner, particulièrement la manière dont le geste suicidaire a été construit comme un acte rationnel ou basé sur la base de droits individuels par les personnes qu

A Code-Based Group Signature Scheme

International audienceIn this work we propose the first code-based group signature. As it will be described below, its security is based on a relaxation of the model of Bel-lare, Shi and Zhang [3] (BSZ model) verifying the properties of anonymity, traceability and non-frameability. Furthermore, it has numerous advantages over all existing post-quantum constructions and even competes (in terms of properties) with pairing based constructions: it allows to dynamically add new members and signature and public key sizes are constant with respect to the number of group members. Last but not least, our scheme can be extended into a traceable signature according to the definition of Kiayias, Tsiounis and Yung [19] (KTY model) and handles membership revocation. The main idea of our scheme consists in building a collision of two syndromes associated to two different matrices: a random one which enables to build a random syndrome from a chosen small weight vector; and a trapdoor matrix for the syndrome decoding problem, which permits to find a small weight preimage of the previous random syndrome. These two small weight vectors will constitute the group member's secret signing key whose knowledge will be proved thanks to a variation of Stern's authentication protocol. For applications , we consider the case of the code-based CFS signature scheme [11] of Courtois, Finiasz and Sendrier

Seismic Noise by Wind Farms: A Case Study from the VIRGO Gravitational Wave Observatory, Italy.

We present analyses of the noise wavefield in the vicinity of VIRGO, the Italy-France gravitational wave observatory located close to Pisa, Italy, with special reference to the vibrations induced by a nearby wind park. The spectral contribution of the wind turbines is investigated using (i) on-site measurements, (ii) correlation of spectral amplitudes with wind speed, (iii) directional properties determined via multichannel measurements, and (iv) attenuation of signal amplitude with distance. Among the different spectral peaks thus discriminated, the one at frequency 1.7 Hz has associated the greatest power, and under particular conditions it can be observed at distances as large as 11 km from the wind park. The spatial decay of amplitudes exhibits a complicate pattern, that we interpret in terms of the combination of direct surface waves and body waves refracted at a deep (_ 800 m) interface between the plio-pleistocenic marine, fluvial and lacustrine sediments and the Miocene carbonate basement. We develop a model for wave attenuation which allows determining the amplitude of the radiation from individual turbines, which is estimated on the order of 300-400 μms−119 /pHz for wind speeds over the 8-14 m/s range. On the base of this model, we then develop a predictive relationship for assessing the possible impact of future, project wind farms

Decrypting geophysical signals at Stromboli Volcano (Italy): Integration of seismic and Ground-Based InSAR displacement data

We present the integration of seismic and Ground‐Based Interferometric Synthetic Aperture Radar system (GBInSAR) displacement data at Stromboli Volcano. Ground deformation in the area of summit vents is positively correlated with both seismic tremor amplitude and cumulative amplitudes of very long period (VLP) signals associated with Strombolian explosions. Changes in VLP amplitudes precede by a few days the variations in ground deformation and seismic tremor. We propose a model where the arrival of fresh, gas‐rich magma from depth enhances gas slug formation, promoting convection and gas transfer throughout the conduit system. At the shallowest portion of the conduit, an increase in volatile content causes a density decrease, expansion of the magmatic column and augmented degassing activity, which respectively induce inflation of the conduit, and increased tremor amplitudes. The temporal delay between increase of VLP and tremor amplitudes/conduit inflation can be interpreted in terms of the different timescales characterizing bulk gas transfer versus slug formation and ascent