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).

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.

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 Wealth Effects of Domestic vs International Joint Ventures: The Case of Real Estate

This study examines the wealth effect of international versus domestic real estate joint ventures on the U.S. participating firm's shareholders. This is done using traditional even study methodology for real estate joint venture announcements. The results suggest that domestic real estate joint ventures generally result in a significant increase in the firm's value, while international real estate joint ventures usually have a much less significant to nonsignificant wealth impact. This may be due to the immovability of real properties in foreign countries and the large amount of initial investment in real estate that increase both political and economic risks for international real estate joint ventures. This study also finds that hotel joint ventures generally have a weaker wealth effect than non-hotel real estate joint ventures.

Spectral responses in granular compaction

The slow compaction of a gently tapped granular packing is reminiscent of the low-temperature dynamics of structural and spin glasses. Here, I probe the dynamical spectrum of granular compaction by measuring a complex (frequency-dependent) volumetric susceptibility $\tilde{\chi}_v$. While the packing density $\rho$ displays glass-like slow relaxations (aging) and history-dependence (memory) at low tapping amplitudes, the susceptibility $\tilde{\chi}_v$ displays very weak aging effects, and its spectrum shows no sign of a rapidly growing timescale. These features place $\tilde{\chi}_v$ in sharp contrast to its dielectric and magnetic counterparts in structural and spin glasses; instead, $\tilde\chi_v$ bears close similarities to the complex specific heat of spin glasses. This, I suggest, indicates the glass-like dynamics in granular compaction are governed by statistically rare relaxation processes that become increasingly separated in timescale from the typical relaxations of the system. Finally, I examine the effect of finite system size on the spectrum of compaction dynamics. Starting from the ansatz that low frequency processes correspond to large scale particle rearrangements, I suggest the observed finite size effects are consistent with the suppression of large-scale collective rearrangements in small systems.Comment: 18 pages, 17 figures. Submitted to PR

Landscape of standing variation for tandem duplications in Drosophila yakuba and Drosophila simulans

We have used whole genome paired-end Illumina sequence data to identify tandem duplications in 20 isofemale lines of D. yakuba, and 20 isofemale lines of D. simulans and performed genome wide validation with PacBio long molecule sequencing. We identify 1,415 tandem duplications that are segregating in D. yakuba as well as 975 duplications in D. simulans, indicating greater variation in D. yakuba. Additionally, we observe high rates of secondary deletions at duplicated sites, with 8% of duplicated sites in D. simulans and 17% of sites in D. yakuba modified with deletions. These secondary deletions are consistent with the action of the large loop mismatch repair system acting to remove polymorphic tandem duplication, resulting in rapid dynamics of gain and loss in duplicated alleles and a richer substrate of genetic novelty than has been previously reported. Most duplications are present in only single strains, suggesting deleterious impacts are common. D. simulans shows larger numbers of whole gene duplications in comparison to larger proportions of gene fragments in D. yakuba. D. simulans displays an excess of high frequency variants on the X chromosome, consistent with adaptive evolution through duplications on the D. simulans X or demographic forces driving duplicates to high frequency. We identify 78 chimeric genes in D. yakuba and 38 chimeric genes in D. simulans, as well as 143 cases of recruited non-coding sequence in D. yakuba and 96 in D. simulans, in agreement with rates of chimeric gene origination in D. melanogaster. Together, these results suggest that tandem duplications often result in complex variation beyond whole gene duplications that offers a rich substrate of standing variation that is likely to contribute both to detrimental phenotypes and disease, as well as to adaptive evolutionary change.Comment: Revised Version- Accepted at Molecular Biology and Evolutio

A momentum-conserving, consistent, Volume-of-Fluid method for incompressible flow on staggered grids

The computation of flows with large density contrasts is notoriously difficult. To alleviate the difficulty we consider a consistent mass and momentum-conserving discretization of the Navier-Stokes equation. Incompressible flow with capillary forces is modelled and the discretization is performed on a staggered grid of Marker and Cell type. The Volume-of-Fluid method is used to track the interface and a Height-Function method is used to compute surface tension. The advection of the volume fraction is performed using either the Lagrangian-Explicit / CIAM (Calcul d'Interface Affine par Morceaux) method or the Weymouth and Yue (WY) Eulerian-Implicit method. The WY method conserves fluid mass to machine accuracy provided incompressiblity is satisfied which leads to a method that is both momentum and mass-conserving. To improve the stability of these methods momentum fluxes are advected in a manner "consistent" with the volume-fraction fluxes, that is a discontinuity of the momentum is advected at the same speed as a discontinuity of the density. To find the density on the staggered cells on which the velocity is centered, an auxiliary reconstruction of the density is performed. The method is tested for a droplet without surface tension in uniform flow, for a droplet suddenly accelerated in a carrying gas at rest at very large density ratio without viscosity or surface tension, for the Kelvin-Helmholtz instability, for a falling raindrop and for an atomizing flow in air-water conditions

A note on entropic force and brane cosmology

Recently Verlinde proposed that gravity is an entropic force caused by information changes when a material body moves away from the holographic screen. In this note we apply this argument to brane cosmology, and show that the cosmological equation can be derived from this holographic scenario.Comment: 5 pages, no figures;references adde

Quasinormal modes prefer supersymmetry ?

One ambiguity in loop quantum gravity is the appearance of a free parameter which is called Immirzi parameter. Recently Dreyer has argued that this parameter may be fixed by considering the quasinormal mode spectrum of black holes, while at the price of changing the gauge group to SO(3) rather than the original one SU(2). Physically such a replacement is not quite natural or desirable. In this paper we study the relationship between the black hole entropy and the quasi normal mode spectrum in the loop quantization of N=1 supergravity. We find that a single value of the Immirzi parameter agrees with the semiclassical expectations as well. But in this case the lowest supersymmetric representation dominates, fitting well with the result based on statistical consideration. This suggests that, so long as fermions are included in the theory, supersymemtry may be favored for the consistency of the low energy limit of loop quantum gravity.Comment: 3 page

Analysis of endometrial blood flow with color Doppler energy in predicting outcome in GnRH antagonist down regulated ICSI/IVF cycles: a prospective cohort study setting

Background: The study was conducted to assess the association between endometrial blood flow pattern assessed with colour Doppler around the day of HCG administration and IVF outcome following GnRH antagonist down regulated cycles.Methods: It was a prospective, cohort study. Total of sixty-eight patients undergoing IVF-ET/ICSI were recruited in the study. All the patients underwent controlled ovarian stimulation with a step-up protocol, and GnRH antagonists were used for down-regulation. Transvaginal ultrasound measurements of all patients were performed on the day of HCG injection. A 6.5 MHz pulsed Doppler system was used for blood flow analysis. Bilateral uterine arteries, pulsatility index and resistance index were calculated along with uterine artery peak systolic velocity on both sides. Endometrial blood flow was analysed by detecting flow in the intra-endometrial or the adjacent sub-endometrial regions.Results: Baseline FSH in pregnant group was lower (6.29) than non-pregnant group (7.36). The overall pregnancy rate was 45.6% (n=31) and the ongoing pregnancy rate was 41.1% (n=28). Total of 57 patients out of 68 patients had both good endometrial and sub-endometrial blood flow. The overall pregnancy rate in this group was 47.3%. Similarly, in patients who had minimal endometrial and sub-endometrial blood flow the pregnancy rate was 37.5%. There was no significant correlation between pregnancy outcomes and the color flow Doppler parameters such as average uterine PI, average uterine RI and right/left uterine peak systolic velocity.Conclusion: Uterine artery PI, RI and PSV has no role in predicting endometrial receptivity and thus pregnancy outcome in IVF-ET cycle, however those patient with good endometrial and sub-endometrial flow have higher pregnancy rate than those with minimal flow rate