Housing risk and return: Evidence from a housing asset-pricing model

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a multi-factor housing asset pricing model. In that model, we evaluate whether the market factor as well as other measures of risk, including idiosyncratic risk, momentum, and MSA size effects, have explanatory power for metropolitan-specific housing returns. Further, we test the robustness of the asset pricing results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. We find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show that market betas have varied substantially over time. Also, results are largely robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of model validity using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller survey research indicating the importance of speculative forces in the determination of U.S. housing returns

Boundary rigidity for Lagrangian submanifolds, non-removable intersections, and Aubry-Mather theory

We consider Lagrangian submanifolds lying on a fiberwise strictly convex hypersurface in some cotangent bundle or, respectively, in the domain bounded by such a hypersurface. We establish a new boundary rigidity phenomenon, saying that certain Lagrangians on the hypersurface cannot be deformed (via Lagrangians having the same Liouville class) into the interior domain. Moreover, we study the "non-removable intersection set" between the Lagrangian and the hypersurface, and show that it contains a set with specific dynamical behavior, known as Aubry set in Aubry-Mather theory.Comment: The main new point of this revised and substantially enlarged version, with G.P. Paternain as new co-author, is the relation between non-removable intersections and Aubry-Mather theor

Sentiment Analysis on New York Times Articles Data

Sentiment Analysis on New York Times Coverage Data Departmental Affiliation: Data Science/ Political Science College of Arts and Sciences The extant political science literature examines media coverage of immigration and assesses the effect of that coverage on partisanship in the United States. Immigration is believed to be a unique factor that induces large- scale changes in partisanship based on race and ethnicity. The negative tone of media coverage pushes non-Latino Whites into the Republican Party, while Latinos trend toward the Democratic Party. The aim for this project is to look at New York time data in order to identify how much immigration is covered in newspaper outlets, specifically Latino immigration, and to determine the overall tone of these stories. In this research, we seek to determine individual articles take a positive, neutral or negative stance. We achieve this using a dictionary-based approach, meaning we look at individual words to assess if it has a positive, neutral or negative connotation. We train our data using publicly accessible sentiment dictionaries such as VADER (Valence Aware Dictionary and Sentiment Reasoner). However, this task can be difficult because certain words can be dynamic and may pertain to a positive or negative sentiment in context of the article. In order to resolve this issue, we use reliability measures to ensure that the words of high frequencies are in the correct sphere of negative, neutral, and positive light. Information about the Author(s): Faculty Sponsor(s): Professor Gregg B. Johnson and Professor Karl Schmitt Student Contact: Gabriel Carvajal – [email protected]

Housing Risk and Return: Evidence From a Housing Asset-Pricing Model

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset pricing model (H-CAPM), whereby expected returns of metropolitan-specific housing markets are equated to the market return, as represented by aggregate US house price time-series. We augment the model by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum, and Metropolitan Statistical Area (MSA) size effects. Further, we test the robustness of H-CAPM results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. Consistent with the traditional CAPM, we find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show that market betas have varied substantially over time. Also, we find the basic housing CAPM results are robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller behavioral research indicating the importance of speculative forces in the determination of U.S. housing returns.asset pricing, house price returns, risk factors

Wealth and asset price effects on economic activity

Do asset prices affect real activity? This question has taken on a new importance in recent years, as asset values first surged at the end of 1990s and, thereafter, dramatically retreated. This report reviews the available theoretical and empirical evidence regarding asset price and wealth effects in Europe and some other major economies. The main focus of this report is on consumption effects via the wealth channel, reflecting the bulk of literature on the effects of asset prices. However, asset price effects on investment via the Tobin’s-Q channel, balance sheet and confidence channels are also reviewed. The available evidence supports the view that the wealth channel is the most important of various channels. There is little empirical evidence indicating that the Tobin’s-Q, balance-sheet and confidence channels play any major independent role in the transmission of asset price effects to economic activity.household wealth, wealth channel, asset price, marginal propensity to consume, cost of capital.

Kinetics and cellular site of glycolipid loading control

CD1d-restricted natural killer T cells (NKT cells) possess a wide range of effector and regulatory activities that are related to their ability to secrete both T helper 1 (Th1) cell- and Th2 cell-type cytokines. We analyzed presentation of NKT cell activating α galactosylceramide (αGalCer) analogs that give predominantly Th2 cell-type cytokine responses to determine how ligand structure controls the outcome of NKT cell activation. Using a monoclonal antibody specific for αGalCer-CD1d complexes to visualize and quantitate glycolipid presentation, we found that Th2 cell-type cytokinebiasing ligands were characterized by rapid and direct loading of cell-surface CD1d proteins. Complexes formed by association of these Th2 cell-type cytokine-biasing αGalCer analogs with CD1d showed a distinctive exclusion from ganglioside-enriched, detergent-resistant plasma membrane microdomains of antigen-presenting cells. These findings help to explain how subtle alterations in glycolipid ligand structure can control the balance of proinflammatory and antiinflammatory activities of NKT cells

Insights into manufacturing techniques of archaeological pottery: Industrial X-ray computed tomography as a tool in the examination of cultural material

The application of X-radiography in ceramic studies is becoming an increasingly valued method. Using the potential of industrial X-ray computed tomography (CT) for non-destructive testing as an archaeometric or archaeological method in pottery studies, especially regarding aspects such as manufacturing techniques or pottery abrics, requires controlled data-acquisition and post-processing by scientific computing adjusted to archaeological issues. The first results of this evaluation project show that, despite the difficulties inherent in CT technology, considerable information can be extracted for pottery analysis. The application of surface morphology reconstructions and volumetric measurements based on CT data will open a new field in future non-invasive archaeology

Mild cognitive impairment, degenerative and vascular dementia as predictors of intra-hospital, short- and long-term mortality in the oldest old

Background and aims: The relative weight of various etiologies of dementia and mild cognitive impairment (MCI) as predictors of intra-hospital, short- and long-term mortality in very old acutely ill patients suffering from multiple comorbid conditions remains unclear. We investigated intra-hospital, 1- and 5-year mortality risk associated with dementia and its various etiologies in a very old population after discharge from acute care. Methods: Prospective cohort study of 444 patients (mean age 85 years; 74% female) discharged from the acute geriatric unit of Geneva University Hospital. On admission, each subject underwent standardized evaluation of cognitive and comorbid conditions. Patients were followed yearly by the same team. Predictive variables were age, sex, cognitive diagnosis, dementia etiology and severity. Survival during hospitalization, at 1- and 5-year follow-ups was the outcome of interest evaluated with Cox proportional hazard models. Results: Two hundred and six patients were cognitively normal, 48 had MCI, and 190 had dementia: of these, there were 75 cases of Alzheimer's disease (AD), 20 of vascular dementia (VaD), 82 of mixed dementia (MD) and 13 of other types of dementia. The groups compared were statistically similar in age, sex, education level and comorbidity score. After 5 years of follow-up, 60% of the patients had died. Regarding intra-hospital mortality, none of the predictive variables was associated with mortality. MCI, AD and MD were not predictive of short- or long-term mortality. Features significantly associated with reduced survival at 1 and 5 years were being older, male, and having vascular or severe dementia. When all the variables were added in the multiple model, the dementia effect completely disappeared. Conclusions: Dementia (all etiologies) is not predictive of mortality. The observed VaD effect is probably linked to cardiovascular risk comorbidities: hypertension, stroke and hyperlipidemi

Gluelump Spectrum in the Bag Model

We explore the ordering of the lowest levels in a simple bag model of the ``gluelump'' of Michael and also discuss, again within the context of the bag model, the related problem of hybrid potentials in the limit of very small spacing between quark and anti-quark sources.Comment: 10 page