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.

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.

Death of Stellar Baryonic Dark Matter

The nature of the dark matter in the haloes of galaxies is one of the outstanding questions in astrophysics. All stellar candidates, until recently thought to be likely baryonic contributions to the Halo of our Galaxy, are shown to be ruled out. Faint stars and brown dwarfs are found to constitute only a few percent of the mass of the Galaxy. Stellar remnants, including white dwarfs and neutron stars, are shown to be very constrained as well. High energy gamma-rays observed in HEGRA data place the strongest constraints, $\Omega_{WD} < 3 \times 10^{-3} h^{-1}$, where $h$ is the Hubble constant in units of 100 km s$^{-1}$ Mpc$^{-1}$. Hence one is left with several unanswered questions: 1) What are MACHOs seen in microlensing surveys? 2) What is the dark matter in our Galaxy? Indeed a nonbaryonic component in the Halo seems to be required.Comment: 6 pages ps fil

The Missing Link: Bayesian Detection and Measurement of Intermediate-Mass Black-Hole Binaries

We perform Bayesian analysis of gravitational-wave signals from non-spinning, intermediate-mass black-hole binaries (IMBHBs) with observed total mass, $M_{\mathrm{obs}}$, from $50\mathrm{M}_{\odot}$ to $500\mathrm{M}_{\odot}$ and mass ratio 1\mbox{--}4 using advanced LIGO and Virgo detectors. We employ inspiral-merger-ringdown waveform models based on the effective-one-body formalism and include subleading modes of radiation beyond the leading $(2,2)$ mode. The presence of subleading modes increases signal power for inclined binaries and allows for improved accuracy and precision in measurements of the masses as well as breaking of extrinsic parameter degeneracies. For low total masses, $M_{\mathrm{obs}} \lesssim 50 \mathrm{M}_{\odot}$, the observed chirp mass $\mathcal{M}_{\rm obs} = M_{\mathrm{obs}}\,\eta^{3/5}$ ($\eta$ being the symmetric mass ratio) is better measured. In contrast, as increasing power comes from merger and ringdown, we find that the total mass $M_{\mathrm{obs}}$ has better relative precision than $\mathcal{M}_{\rm obs}$. Indeed, at high $M_{\mathrm{obs}}$ ($\geq 300 \mathrm{M}_{\odot}$), the signal resembles a burst and the measurement thus extracts the dominant frequency of the signal that depends on $M_{\mathrm{obs}}$. Depending on the binary's inclination, at signal-to-noise ratio (SNR) of $12$, uncertainties in $M_{\mathrm{obs}}$ can be as large as \sim 20 \mbox{--}25\% while uncertainties in $\mathcal{M}_{\rm obs}$ are \sim 50 \mbox{--}60\% in binaries with unequal masses (those numbers become $\sim 17\%$ versus $\sim22\%$ in more symmetric binaries). Although large, those uncertainties will establish the existence of IMBHs. Our results show that gravitational-wave observations can offer a unique tool to observe and understand the formation, evolution and demographics of IMBHs, which are difficult to observe in the electromagnetic window. (abridged)Comment: 17 pages, 9 figures, 2 tables; updated to reflect published versio

Massive Compact Halo Objects Viewed from a Cosmological Perspective: Contribution to the Baryonic Mass Density of the Universe

[Abridged] We estimate the contribution of Massive Compact Halo Objects (Machos) and their stellar progenitors to the mass density of the Universe. If the Machos that have been detected reside in the Halo of our Galaxy, then a simple extrapolation of the Galactic population (out to 50 kpc) of Machos to cosmic scales gives a cosmic density \rho_{Macho} = (1-5) \times 10^9 h \msun \Mpc^{-3}, which in terms of the critical density corresponds to $\Omega_{Macho}=(0.0036-0.017) h^{-1}$. Such a mass density is comparable to the baryon density implied by Big Bang Nucleosynthesis. If we take the central values of the estimates, then Machos dominate the baryonic content of the Universe today, with $\Omega_{Macho}/\Omega_{Baryon} \sim 0.7 h$. However, the cumulative uncertainties in the density determinations only require that $\Omega_{Macho}/\Omega_{Baryon} \geq 1/6 h f_{gal}$, where the fraction of galaxies that contain Machos $f_{gal} > 0.17$, and $h$ is the Hubble constant in units of 100 km s$^{-1}$ Mpc$^{-1}$. Our best estimate for $\Omega_{Macho}$ is hard to reconcile with the current best estimates of the baryonic content of the intergalactic medium indicated by measurements of the Lyman-$\alpha$ forest. We explore the addition constraints that arise if the Machos are white dwarfs as suggested by the present microlensing data. We discuss the challenges this scenario presents at both the local and cosmic scales, emphasizing in particular the constraints on the required mass budget and nucleosynthesis products (particularly carbon).Comment: 18 pages, LaTeX, uses AASTeX macros. In press, New Astronomy (submitted Jan. 20, 1998