The 4% rule: Does real estate make a difference?

This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.     

An algorithm for the generalized transportation problem

This paper describes a new computational technique for solving spatial economic equilibrium problems which are generalizations of the classic transportation problem. This technique makes use of a type of algorithm which has been developed in recent years to compute Kakutani fixed points and solve related problems. Existing algorithms for the generalized transportation problem employ quadratic programming, and therefore require that demand and supply functions be linear. By contrast, the algorithm of this paper can handle demand and supply relationships which are nonlinear or even semi-continuous. It can also handle non-constant transport costs and various other complications. The technique is capable of yielding highly accurate solutions, and appears to be computationally efficient on problems of reasonable size.     

LIQUIDITY AND TICK SIZE: DOES DECIMALIZATION MATTER?

The effect of the move to decimalization by the Toronto Stock Exchange, where the minimum tick size was decreased to $0.05 from $0.125, is examined. Liquidity is measured by the price impact of unexpected volume. Results show an unambiguous gain to investors. Effective spreads decrease significantly, but the price impact is unaffected. In addition, evidence indicates an increase in trading activity in absolute terms as well in relation to U.S. exchanges for cross-listed stocks. This is consistent with the observed decrease in transaction costs.     

A COMPARISON OF SOME INTRODUCTORY AND UNDERGRADUATE ECONOMETRIC TEXTBOOKS

Books reviewed in this article:
William H. Greene (1993) Econometric Analysis (Second Edition)
William E. Griffiths, R. Carter Hill and George G. Judge (1993) Learning and Practicing Econometrics
George G. Judge, R. Carter Hill, William E. Griffiths, Helmut Lütkepohl and Tsoung-Chao Lee (1988) Introduction to the Theory and Practice of Econometrics (Second Edition)
G. S. Maddala (1992) Introduction to the Theory and Practice of Econometrics (Second Edition)     

Dominion or Republic? Migrants to North America from the United Kingdom, 1870–1910

Late nineteenth–century Canada attracted a large number of immigrants from the UK, despite far lower average income per head there than in the US. While urban labour markets in the northern US were much larger than those in Canada, differences in outcomes between UK immigrants in Canadian and in northern US cities were small. Average annual real earnings by occupation group were only 10 to 15 per cent lower in Canadian cities. Individual–level census data indicate that the occupational distribution of UK immigrants in Canada was quite similar to that of their peers in the US.     

Tests for model specification in the presence of alternative hypotheses: Some further results

In Davidson and MacKinnon (1981), two of the present authors proposed a novel and very simple procedure for testing the specification of a nonlinear regression model against the evidence provided by a non-nested alternative. In this paper we extend their results in several directions. First, we relax a number of the assumptions of the previous paper; we admit the possibility that the nonlinear regression functions may depend on lagged dependent variables, and we do not require that the error terms be normally distributed. Second, we show how the earlier procedure may straightforwardly be generalized to the case where the two non-nested models involve different transformations of the dependent variable. Finally, we propose a simple procedure for testing non-nested linear regression models which have endogenous variables on the right-hand side, and have therefore been estimated by two-stage least squares.     

Estimating the covariance matrix for regression models with ar(1) errors and lagged dependent variables

We propose a simple procedure, based on an artificial linear regression, for consistently estimating the covariance matrix of the parameter estimates for linear regression models with serially correlated errors and lagged dependent variables.     

Heritage tours and trails on foot in Hong Kong: towards a typology that crosses the tourist-local divide

Hong Kong's retrocession to Chinese sovereignty in 1997 initiated intense interest in cultural heritage on the part of divergently positioned actors, including activists, the state, and entrepreneurs. Heritage walking tours have proliferated, providing a wide range of examples suitable for comparison. This article develops a typology of heritage trails and tours in order to consider how they are situated in relation to the tourist economy and local context. Theoretically it builds on insights in new walking studies and debates in tourism and heritage studies on the ‘tourist-local divide.’ The article relies on qualitative research conducted in Hong Kong, including participant observation and interviews, and a review of various secondary sources. The typology distinguishes between government-generated, market-oriented, and community-based heritage walks. Three key issues are discussed: the ways that tours and trails develop, how they engage with official and unofficial heritage places, and how they reference urban issues including state-led urban renewal and redevelopment. The article argues that, while walking in general is a format that is suited to both tourist and local visitor engagement, some trails and tours reinforce dominant narratives of heritage and urban space, while others challenge them.