Return Movement Research Articles

The short-run dynamics of Australian real estate investment trusts and direct real estate at the subsector level

PurposeThis paper examines the extent of the short-run relationship between Australian real estate investment trusts (A-REITs) and direct real estate returns on both a commercial property sector and a prime and secondary grade basis, i.e. a subsector basis.Design/methodology/approachTwo-step methodology is used. First, we identify the dynamic interdependencies between A-REITs and each commercial property subsector to determine whether the returns of A-REITs lead each subsector or vice versa. Second, short-run deviations between these asset returns are estimated by measuring their individual response behaviours to changes in key economic and financial market factors that are expected to influence these returns.FindingsResults suggest that each subsector shares a unique relationship to A-REITs, given each prime and secondary grade commercial property return series varies in behaviour. Some property subsector returns can be predicted by movements in A-REIT returns, whereas returns for others move independent to changes in A-REITs. Similarly, some subsectors commove with A-REITs in response to changes in certain market factors, whereas others diverge. As such, these findings have practical significance to fund managers and portfolio selection, as each commercial subsector embodies its own exposure to A-REITs and vulnerabilities to market forces. Subsectors that commove with A-REITs in response to certain market forces may be used as substitutes in a portfolio. Alternatively, subsectors that diverge from A-REITs in response to market forces may offer diversification benefits when combined.Practical implicationsThese findings extend beyond existing research to offer critical decision-making guidance at the acquisition level, as fund managers may more closely consider the impact that prime or secondary grade properties within a given commercial sector may have on a portfolio that consists of public and private Australian real estate. Ultimately, a more informed acquisition may be carried out as consideration of a property's asset grade allows for a deeper insight into the property's risk profile and its anticipated short-run impact on a portfolio.Originality/valueThis paper extends previous studies that focus mostly on aggregate or sector-level returns by measuring REIT and real estate dynamics at the subsector level, allowing for practical significance at not only the portfolio level but crucially at the acquisition level, a pivotal decision-making stage for fund managers. This is also the first paper to study REIT and real estate causality and response patterns to changes in market factors at the Australian sector level.

Richard Kearney’s Relevance for Psychology: A Review Essay

Abstract This essay argues that Richard Kearney’s philosophical work has something important to say to phenomenological psychology and, in turn, has something important to learn from it. It begins by highlighting a movement of return after deconstruction, consistent throughout Kearney’s oeuvre, that emerges clearly in the recently published Imagination Now collection—which contains some of Kearney’s most important writings. It then shows how this movement is a fundamentally therapeutic endeavor. A quick review of several recent volumes about Kearney’s work makes clear how his philosophy suggests an embodied and not simply a linguistic approach to therapy. As such, a certain phenomenological psychology is revealed as being implicitly operative in Kearney’s work. The essay then ends by highlighting three possible benefits of having phenomenological psychologists engage with Kearney’s work: a revaluation of the non-cognitive aspects of subjective constitution, a renewed look at the role of both the narrative and carnal dimensions in psychological research and psychotherapy, and an even more enhanced socio-cultural role for phenomenological psychology.

Empirical Analysis of Investors’ Herding Behaviours during the Market Structural Changes and Crisis Events: Evidence from Thailand

ABSTRACT This study investigates herding behaviour of investors in Thailand under different market conditions, crisis periods, and major market structural changes. The results show that herding behaviour occurs during an extreme market movement of negative or positive returns, in the declining market environment, on days with high trading volume, and during economic downturn as measured by negative GDP output gap. The structural break point analysis and rolling regression technique further shows that herding behaviour gathered heavily around 1997 Asian crisis. The establishments of internet trading platform, bond electronic trading exchange, and future electronic exchanges in Thailand do not make investors herd.

Herding in Fast Moving Consumer Group Sector: Equity Market Asymmetry and Crisis

This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

After All

Through a close reading of Freud’s last major work, Moses and Monotheism (1939), this article considers the socio-political and literary stakes of a central element of Freud’s oeuvre, which reaches its fullest elaboration in the Moses text: belatedness. Belatedness, or deferred action (Nachträglichkeit), which structures the movement of repression and return in the individual psychology of Freud’s earlier work, is aggravated and intensified in this late modernist text. Now, it is an entire people (the Jews) and (Judeo-Christian) civilization founded upon the temporal predicament of trauma, latency, and the return of the repressed. What is most innovative about Moses—its fragmentary style, its rewriting of biblical origins, its daring conjectures and methods of recording history—gestures back, after all, to the singular problem that both Freudian psychoanalysis and modernism are destined to repeat: the constitutive belatedness of all experience.

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence

PurposeThis paper aims to examine the behaviour, both contemporaneous and causal, of stock and bond markets across four major international countries.Design/methodology/approachThe authors generate volatility and correlations using the realised volatility approach and implement a general vector autoregression approach to examine causality and spillovers.FindingsWhile results confirm that same asset-cross country return correlations and spillovers increase over time, the same in not true with variance and covariance behaviour. Volatility spillovers across countries exhibit a substantial amount of time variation; however, there is no evidence of trending in any direction. Equally, cross asset – same country correlations exhibit both negative and positive values. Further, the authors report an inverse relation between same asset – cross country return correlations and cross asset – same country return correlations, i.e. the stock return correlation across countries increases at the same time the stock and bond return correlation within each country declines. Moreover, the results show that the stock and bond return correlations exhibit commonality across countries. The results also demonstrate that stock returns lead movement in bond returns, while US stock and bond returns have predictive power other country stock and bond returns. In terms of the markets analysed, Japan exhibits a distinct nature compared with those of Germany, the UK and USA.Originality/valueThe results presented here provide a detailed characterisation of how assets interact both with each other and cross-countries and should be of interest to portfolio managers, policy-makers and those interested in modelling cross-market behaviour. Notably, the authors reveal key differences between the behaviour of stocks and bonds and across different countries.

Yehudah Ben Samuel Halevi: el exilio como redención

In medieval poetry of the Spanish Jews, both sacred and profane, late nostalgia for a lost and saved by the tongue homeland. She is his firmer ground, which can restore from the wreck of a hostile situation the fullness of collective memory. In the case of tudelano poet Judah Halevi, whose wanderings took him to visit different courts, Zaragoza, Toledo, Cordoba, Sevilla, Granada, but without settling permanently in any, the exile experience led him to feel like axis of history among the nations, live with the hope of returning to a land identified with paradise. Because poetry involved herself in this double movement of expulsion and return out put than usual and back source, the only point that awakens the to the meaning of live.

Penerapan Model Garch Untuk Menguji Efisiensi Pasar Bentuk Lemah

The purpose of this study is to determine whether returns follow a random pattern and test the market efficiency of a weak form using ARCH-GARCH. The population in this study is all shares that are incorporated in the Kompas 100 index group on the Indonesia Stock Exchange with a sample used in this study amounting to 83 shares using purposive sampling technique. The analysis technique used in applying the GARCH model in this study uses the help of the Eviews 8 program software. The results of this study are that the movement of returns follows a random pattern during the 2015-2018 period, the efficient market is in a weak form during the 2015-2018 period, so investors do not can use stock movement data in the past for consideration of investment.

The Emergent Yo-yo Movement of Nuclei Driven by Cytoskeletal Remodeling in Pseudo-synchronous Mitotic Cycles

Many aspects in tissue morphogenesis are attributed to a collective behavior of the participating cells. Yet, the mechanism for emergence of dynamic tissue behavior is not well understood. Here, we report that the "yo-yo"-like nuclear movement in the Drosophila syncytial embryo displays emergent features indicative of collective behavior. Following mitosis, the array of nuclei moves away from the wave front by several nuclear diameters only to return to its starting position about 5min later. Based on experimental manipulations and numerical simulations, we find that the ensemble of elongating and isotropically oriented spindles, rather than individual spindles, is the main driving force for anisotropic nuclear movement. ELMO-dependent F-actin restricts the time for the forward movement and ELMO- and dia-dependent F-actin is essential for the return movement. Our study provides insights into how the interactions among the cytoskeleton as individual elements lead to collective movement of the nuclear array on a macroscopic scale.

Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach

This study explores the degree and change of informational efficiency of the European Union (EU) carbon emission trading market using an asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method, which allows asymmetry. For this purpose, we analysed the daily price series of the European Emissions Market, which is operated according to the European Union Emissions Trading Scheme. This carbon market is the most active and has the largest trading volume. The data covers the period (from 4 August 2005 to 31 December 2019). The main results are summarised as follows. First, there is a multifractal feature in the price return movements of the EU carbon trading market, which behaves differently in the upward and downward periods of the market. Second, the informational efficiency of the carbon emission market has changed over time, with Phase I having the lowest informational efficiency and Phase III having the highest informational efficiency. These results indicate that informational efficiency has increased as the carbon emission market matures. Third, from the result of the market deficiency measure (MDM), Phase I showed the lowest market efficiency, whereas Phase III showed the highest efficiency. During Phase III, the MDM values of the upward period were higher than that of the downward period, implying higher market inefficiency during the upward period.

Non-visual homing and the current status of navigation in scorpions

Within arthropods, the investigation of navigational aspects including homing abilities has mainly focused on insect representatives, while other arthropod taxa have largely been ignored. As such, scorpions are rather underrepresented concerning behavioral studies for reasons such as low participation rates and motivational difficulties. Here, we review the sensory abilities of scorpions related to navigation. Furthermore, we present an improved laboratory setup to shed light on navigational abilities in general and homing behavior in particular. We tracked directed movements towards home shelters of the lesser Asian scorpion Mesobuthus eupeus to give a detailed description of their departure and return movements. To do so, we analyzed the departure and return angles as well as measures of directness like directional deviation, lateral displacement, and straightness indices. We compared these parameters under different light conditions and with blinded scorpions. The motivation of scorpions to leave their shelter depends strongly upon the light condition and the starting time of the experiment; highest participation rates were achieved with infrared conditions or blinded scorpions, and close to dusk. Naïve scorpions are capable of returning to a shelter object in a manner that is directionally consistent with the home vector. The first-occurring homing bouts are characterized by paths consisting of turns about 10 cm to either side of the straightest home path and a distance efficiency of roughly three-quarters of the maximum efficiency. Our results show that neither chemosensation nor vision, but rather path integration based on proprioception, plays a superior role in the homing of scorpions.

Non-Stationary in Extreme Share Return: World Indices Application

This paper investigates the behaviour of the extreme share return for the 26 different major indices shares by exploring their stationarity. Extreme return for weekly and monthly series is generated by using block maxima method. Four-employed test permits us to spot non-stationarity in extreme movement. The Augmented Dickey-Fuller and Kwiatkowski Phillips Schmidt Shin (KPSS) test scanned the unit root and the stationarity, and Mann-Kendall and Spearman's test inspected the trend and correlation in the series. Our approach approximates global stock returns for weekly and monthly series market activity. We find most of the extreme stock to be active in shift movement, and we have confirmed that the movement of extreme share return for the majority of the stock indices in the weekly and monthly interval is non-stationary. This testified statistical property in the series can be used as the first crucial appraisal when scrutinizing extreme share return for future research. Keywords: Extreme share returns; block maxima method; non-stationary; stock market; major indices

Granular Uncertainty and Disastrous Misallocation

We develop an endogenous growth model with heterogeneous firms, intermediate goods, and financial frictions, in which misallocation emerges analytically as a crucial state variable. In equilibrium, misallocation endogenously generates long-run uncertainty about economic growth by distorting innovation decisions, leading to significant welfare losses and risk premia in capital markets. Empirically, we construct a misallocation measure motivated by our model. We find evidence for misallocation-driven low-frequency movements in both aggregate growth and stock returns. A two-factor model with market and misallocation factors prices size, book-to-market, momentum, and bond portfolios with an R-squared and a mean absolute pricing error close to the Fama-French three-factor model.

The Time-series Linkages between US Fiscal Policy and Asset Prices

This article studies the interplay of fiscal policy and asset price returns of the United States in a time-varying parameter vector autoregressive (VAR) model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy on asset returns and asset returns on fiscal policy. Distinguishing between low-volatility (bull market) and high-volatility (bear market) regimes together with a time-varying parameter VAR model enables us to isolate the different sizes and signs of responses to shocks during different time periods. The results indicate that increases in the primary surplus-to-gross-domestic-product ratio decrease house returns over the entire sample and at each impulse horizon. Unlike the house return responses, stock returns only decrease in the first year after the fiscal shock but then increase for the following eight years. Furthermore, the findings show that asset return movements affect fiscal policy, whereby fiscal policy responds more to equity returns than to house returns. The response of fiscal policy to asset returns proves relatively stable and constant over time while controlling for various asset return regimes. Asset returns respond uniformly to fiscal policy shocks since the 1900s.

Semantic Originality of the Nest *MORK- in Russian Dialects

The article analyzes the semantic structure of the nest * mork - ‘flicker’ in Russian dialects. Extensive lexical material extracted from dialect dictionaries, as well as unpublished card indexes containing materials from field collections of the Toponymic expedition of Ural University (Russian North and Upper Volga Region). A hypothesis is proposed and proved that the values of the * mork - continuants turn out to be related to different stages of flickering, which is a return movement, when either one of the extreme points (darkness or light) comes to the fore, or the intermediate stage is actualized - movement from light to complete darkness and vice versa. A thematic and motivational classification of dialect vocabulary is carried out, during which two main semantic blocks are distinguished: “Nature” and “Man” (there is a third block - “The subject world” - but it is extremely small and contains values derived from the sphere “Man”). It is emphasized that the first block implements primarily meteorological semantics, while the second one shows a wide range of meanings (behavioral, communicative, perceptual, related to the field of physiology, mental, intellectual activity, etc.). Contamination processes are analyzed, the actants of which become elements of the nest being studied (during attraction to the extensions of mor -, smorod -, morsh -, etc.). An explanation of the phenomenon of enantiosemia observed in the semantic space of the studied nest is proposed.

The impact of El Nio-Southern Oscillation on U.S. food and agricultural stock returns

Abstract The paper examines the response of twelve U.S. agricultural stock returns to El Nino-Southern Oscillation (ENSO) shocks using a recursive VAR model. Baseline results indicate that for seven of the stock returns, an ENSO shock has positive and significant effects. The effects, however, are shortlived, generally becoming statistically indistinguishable from zero three to six months after the shock. Variance decomposition analyses show that ENSO shocks have little explanatory power for fluctuations in U.S. agricultural stock returns. We also provide evidence that historically, movements in the stock returns of U.S. food and agricultural companies have been driven by other shocks, rather than ENSO shocks.

Forecasting U.S. stock returns

We forecast quarterly US stock returns using a breadth of forecast variables, methods and metrics, including linear and non-linear regressions, rolling and recursive techniques, forecast combinations and statistical and economic evaluation. Thus, extending research in terms of the range of predictor series and the scope of analysis. Consistent with much of literature, a broad view over the full set of predictor variables indicates that such models are unable to beat the historical mean model. However, nuances reveal forecast success varies according to how the forecasts are evaluated and over time. Results reveal that the term structure of interest rates consistently provides the preferred forecast performance, especially when evaluated using the Sharpe ratio. The purchasing managers index also consistently provides a strong forecast performance. Further results reveal that forecast combinations over the full set of variables do not outperform the preferred single variable forecasts, while an interest rate forecast combination subset does perform well. The success of the term structure and the purchasing managers index highlights the importance of, respectively, investor and firm expectations of future economic performance in providing valuable stock return forecasts and is consistent with asset pricing models that indicate movements in returns are conditioned by such expectations.

Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment

This paper examines the predictive ability of housing-related sentiment on housing market volatility for 50 states, District of Columbia, and the aggregate US economy, based on quarterly data covering 1975:3 and 2017:3. Given that existing studies have already shown housing sentiment to predict movements in aggregate and state-level housing returns, we use a k-th order causality-in-quantiles test for our purpose, since this methodology allows us to test for predictability for both housing returns and volatility simultaneously. In addition, this test being a data-driven approach accommodates the existing nonlinearity (as detected by formal tests) between volatility and sentiment, besides providing causality over the entire conditional distribution of (returns and) volatility. Our results show that barring 5 states (Connecticut, Georgia, Indiana, Iowa, and Nebraska), housing sentiment is observed to predict volatility barring the extreme ends of the conditional distribution. As far as returns are concerned, except for California, predictability is observed for all of the remaining 51 cases.

Россия: общество “позднего старта” в водовороте мировой политики

Russia is regarded as a “late take-off” society (other participants in this “cohort” – Germany, Japan, Italy), the modernization of which was guided from above, by the state and its agencies, indirectly reflecting the lack of alternative, spontaneous modernization option. The author, while exploring the phenomenon of modern Russian society in the unity of historical, economic, sociocultural and political forms of existence, tries to identify the similarities as well as differences between the domestic society, on the one hand, and the “classical” West, that is Northwest Europe, on the other. The comparison demonstrates: Russia is the most complex organism among the “late take-off” societies, in the modernization of which the state has played and continues to play a pivotal role in its various historical and political forms and manifestations. The paper outlines the main stages of the “guided” transformation of Russian society. Fundamental to the modernization of Russia were: Peter and Catherine’s societal transformations, the first industrial revolution in the country (1850–1890s), emergence of the “organized capitalism” system in Germany, Japan, and later in the USA, the October Revolution, World War II, Soviet-American bipolarity. The accelerated transition of Russia from rural to industrial society was accompanied by deformations (deviations from the West European “standard”), return movements (“counter-reforms”), and impediments to reception of representative institutions and practices by the masses. External pressure reinforced the tendency of state domination over society, which subsequently transformed into paternalistic behavior patterns. Migration flows were not accompanied by social and professional diversification of Russian society. From now on, the logic of the accelerated development of Russia was shaped by competition with the West that was undergoing the industrial revolution. This competition endangered the homeostatic equilibrium of traditional society. The World War I revealed the peripheral, subordinate position of Russia in the international system. The most radical approach to regaining a major power status in world politics was proposed by the Bolshevik Party, who led the October Revolution of 1917. The Communist model has become instrumental of advancing transformation of traditional/rural society into a modern, urban one. Subsequently, the exhaustion of the communist model’s internal resources gave rise to a painful search for a new modernization and development paradigm. Currently, Russia’s existential task is to accelerate the pace of economic growth, help society enter the trajectory of sustainable development and, consequentially, participate in the world system on the basis of “strategic autonomy” that is unconditional sovereignty.

International Real Estate Review

This study examines the causal relationship between gold and real estate investment trust (REIT) returns. In particular, the paper uses a nonparametric causality-in-quantile approach to explore whether gold could serve as a hedging tool against movements in REIT returns. The results provide supportive evidence of bidirectional and asymmetric causality-in-variance between gold and REIT returns. There is evidence of asymmetric causality-in-mean between gold and All REITs, and equity REIT returns. The results from the full sample nonlinear Granger causality test indicate that gold and REIT returns have a causal influence on each other. Taken together, the results imply that gold investment could serve as a hedge against volatilities in the REIT market and vice versa.