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.

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.

Perspective on Debt-and-Equity Decomposition for Investors and Issuers of Real Estate Securities

The separation of commercial real estate into structured investment products as suggested by the debt-and-equity model can enhance property value due to positive net changes in agency costs and tax shields. In many cases this enhancement should be large enough to induce real estate owners to make property available for component separation. The resulting income component has the investment characteristics of a tax-sheltered corporate bond, and should be sold to taxable investors to realize the value enhancement.

Random Disaggregate Appraisal Error in Commercial Property: Evidence from the Russell-NCREIF Database

This paper examines the magnitude of random disaggregate appraisal valuation error in institutional-grade commercial property. Unlike previous transactions-based studies of appraisal error, we use a much larger database that is not restricted to sold properties, and we employ a methodology that focuses on appraisal error rather than the difference between transaction price and previous appraised value. Our model gives a point estimate of 11.07% for the standard error of appraisals in the Russell-NCREIF database, with a robust range of 6% to 13%.

Generalized Berry Conjecture and mode correlations in chaotic plates

We consider a modification of the Berry Conjecture for eigenmode statistics in wave-bearing systems. The eigenmode correlator is conjectured to be proportional to the imaginary part of the Green's function. The generalization is applicable not only to scalar waves in the interior of homogeneous isotropic systems where the correlator is a Bessel function, but to arbitrary points of heterogeneous systems as well. In view of recent experimental measurements, expressions for the intensity correlator in chaotic plates are derived.Comment: 5 pages, 1 figur

Intellectual Property Management in Health and Agricultural Innovation: Executive Guide

Prepared by and for policy-makers, leaders of public sector research establishments, technology transfer professionals, licensing executives, and scientists, this online resource offers up-to-date information and strategies for utilizing the power of both intellectual property and the public domain. Emphasis is placed on advancing innovation in health and agriculture, though many of the principles outlined here are broadly applicable across technology fields. Eschewing ideological debates and general proclamations, the authors always keep their eye on the practical side of IP management. The site is based on a comprehensive Handbook and Executive Guide that provide substantive discussions and analysis of the opportunities awaiting anyone in the field who wants to put intellectual property to work. This multi-volume work contains 153 chapters on a full range of IP topics and over 50 case studies, composed by over 200 authors from North, South, East, and West. If you are a policymaker, a senior administrator, a technology transfer manager, or a scientist, we invite you to use the companion site guide available at http://www.iphandbook.org/index.html The site guide distills the key points of each IP topic covered by the Handbook into simple language and places it in the context of evolving best practices specific to your professional role within the overall picture of IP management

Intellectual Property Management in Health and Agricultural Innovation: A Handbook of Best Practices, Vol. 1

Prepared by and for policy-makers, leaders of public sector research establishments, technology transfer professionals, licensing executives, and scientists, this online resource offers up-to-date information and strategies for utilizing the power of both intellectual property and the public domain. Emphasis is placed on advancing innovation in health and agriculture, though many of the principles outlined here are broadly applicable across technology fields. Eschewing ideological debates and general proclamations, the authors always keep their eye on the practical side of IP management. The site is based on a comprehensive Handbook and Executive Guide that provide substantive discussions and analysis of the opportunities awaiting anyone in the field who wants to put intellectual property to work. This multi-volume work contains 153 chapters on a full range of IP topics and over 50 case studies, composed by over 200 authors from North, South, East, and West. If you are a policymaker, a senior administrator, a technology transfer manager, or a scientist, we invite you to use the companion site guide available at http://www.iphandbook.org/index.html The site guide distills the key points of each IP topic covered by the Handbook into simple language and places it in the context of evolving best practices specific to your professional role within the overall picture of IP management

Default Risk and Required Return in the Commercial Mortgage Market

This study uses published mortgage commitment and delinquency data to compare historical and prospective results of investing in well-diversified commercial mortgage portfolios with corresponding investments in long-term Treasury and corporate bonds. The conclusions are that commercial mortgages have been and continue to be efficiency priced, and that mortgages are similar in risk and expected return to lower rated investment-grade corporate bonds.