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Total Returns (total + return)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting40%

Selected Abstracts

House Prices and Inflation

REAL ESTATE ECONOMICS, Issue 1 2002
Ali Anari
The present paper examines the long-run impact of inflation on homeowner equity by investigating the relationship between house prices and the prices of nonhousing goods and services, rather than return series and inflation rates as in previous empirical studies on the inflation hedging ability of real estate. There are two reasons for this methodological departure from prior practice: (1) while the total return on housing cannot be accurately measured, the total return on housing is fully reflected in housing prices, and (2) given that using returns or differencing a time series leads to a loss of long-run information contained in the series, valuable long-run information can be captured by using prices. Also, unlike previous related studies, we exclude housing costs from goods and services prices to avoid potential bias in estimating how inflation affects housing prices. Monthly data series are collected for existing and for new house prices as well as the consumer price index excluding housing costs for the period 1968,2000. Based on both autoregressive distributed lag (ARDL) models and recursive regressions, the empirical results yield estimated Fisher coefficients that are consistently greater than one over the sample period. Thus, we infer that house prices are a stable inflation hedge in the long run. [source]

On the Use of the Moving Average Trading Rule to Test for Weak Form Efficiency in Capital Markets

ECONOMIC NOTES, Issue 2 2008
Alexandros E. Milionis
The examination for the possible existence of predictive power in the moving average trading rule has been used extensively to test the hypothesis of weak form market efficiency in capital markets. This work focuses mainly on the study of the variation of the moving average (MA) trading rule performance as a function of the length of the longer MA. Empirical analysis of daily data from NYSE and the Athens Stock Exchange reveal high variability of the performance of the MA trading rule as a function of the MA length and on some occasions the series of successive trading rule total returns is non-stationary. These findings have direct implications in weak form market efficiency testing. Indeed, given this high variability of the performance of the MA trading rule, by just finding out that trading rules with some specific combinations of MA lengths can or cannot beat the market, as is the case in most of the published work thus far, is not enough evidence for or against the existence of weak form market efficiency. Results also show that on average in about three out of four cases trading rule signals are false, a fact that leaves a lot of space for improved trading rule performance if trading rule signals are combined with other information (e.g. filters, or volume of trade). Finally, some evidence of enhanced trading rule performance for the shorter MA lengths was found. This enhanced performance is partly attributed to the higher probability that a trading rule signal is not a whipsaw, as well as to the larger number of days out-of-the-market which are associated with shorter MA lengths. [source]

Uncertainty about estimating total returns of Atlantic salmon, Salmo salar to the Gander River, Newfoundland, Canada, evaluated using a fish counting fence

FISHERIES MANAGEMENT & ECOLOGY, Issue 1 2003
M. F. O'Connell
Abstract ,For a number of rivers in Newfoundland, Atlantic salmon, Salmo salar L., is managed in relation to river-specific conservation spawning requirements. One such river is the Gander River, where between 1989 and 1999, the escapement of Atlantic salmon, a major factor in assessing the status of stock, was determined using a fish counting fence. In 2000, the counting fence was discontinued and alternative means of calculating total returns were explored. Regression and simulation methods, using relationships between total returns and salmon counts at an upstream tributary during 1989,99, formed the basis for estimates of returns for 2000, and the uncertainty around estimates. The accuracy of methods is evaluated by retrospective comparisons with actual total returns between 1989 and 1999. Estimates of total returns deviated from the actual by as much as 50,60%, depending on the method. Management implications of the approach are discussed. [source]