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This research paper has two objectives. The first is to shed light on the consistency in and quality of the applied valuation models. The second objective is to analyse uniformity on important valuation input variables throughout 1994‐2002.

More than 150 original valuation reports are retrieved and qualitatively checked on model consistency, for example on discounting methods. The impact of the inconsistencies on the end value were calculated by using a dummy discounted cash flow model (DCF). The uniformity of the input variables net yield, discount rate and exit yield are quantitatively determined: is there a decreasing standard deviation through time?

There appears to be little consistency: the Dutch appraisers use a variety of methods within the DCF method. Cash flows are discounted quarterly in advance, yearly in arrear and averaged over the year, only three of the ten most frequent used appraisers use a flexible inflation scenario, etc. These different approaches can have a large impact on the appraisal value. As for the uniformity, the standard deviation for all three variables has not decreased through time.

The conclusions and recommendations of this research have been used by the valuation committee of the ROZ/IPD Netherlands Property Index to improve and extend the valuation guidelines.

Valuation models, which are the foundation of benchmarks, have never been researched on a large scale due to confidential issues. This research appears to be the first to actually analyse valuation models of many different appraisal companies in one country, The Netherlands. The participants of the ROZ/IPD Netherlands Property Index own 85 per cent of the €38 billion institutionally invested value in real estate in The Netherlands. Their policy decisions are partially based on the comparison to the Dutch benchmark. Therefore consistency and uniformity of the valuation models is critical.

I survey applications of Markov switching models to the asset pricing and portfolio choice literatures. In particular, I discuss the potential that Markov switching models have to fit financial time series and at the same time provide powerful tools to test hypotheses formulated in the light of financial theories, and to generate positive economic value, as measured by risk-adjusted performances, in dynamic asset allocation applications. The chapter also reviews the role of Markov switching dynamics in modern asset pricing models in which the no-arbitrage principle is used to characterize the properties of the fundamental pricing measure in the presence of regimes.

The purpose of this study is to provide new empirical evidence on the impact of a variety of financial market forces on the ex post real cost of funds to corporations, namely, the ex post real interest rate yield on AAA-rated long-term corporate bonds in the USA. The study is couched within an open-economy loanable funds model, and it adopts annual data for the period 1973-2013, so that the results are current while being applicable only for the post-Bretton Woods era. The auto-regressive two-stage least squares (2SLS) and generalized method of moments (GMM) estimations reveal that the ex post real interest rate yield on AAA-rated long-term corporate bonds in the USA was an increasing function of the ex post real interest rate yields on six-month Treasury bills, seven-year Treasury notes, high-grade municipal bonds and the Moody’s BAA-rated corporate bonds, while being a decreasing function of the monetary base as a per cent of gross domestic product (GDP) and net financial capital inflows as a per cent of GDP. Finally, additional estimates reveal that the higher the budget deficit as a per cent of GDP, the higher the ex post real interest rate on AAA-rated long-term corporate bonds.

After developing an initial open-economy loanable funds model, the empirical dimension of the study involves auto-regressive, two-stage least squares and GMM estimates. The model is then expanded to include the federal budget deficit, and new AR/2SLS and GMM estimates are provided.

The AR/2SLS and GMM (generalized method of moments) estimations reveal that the ex post real interest rate yield on AAA-rated long-term corporate bonds in the USA was an increasing function of the ex post real interest rate yields on six-month Treasury bills, seven-year Treasury notes, high-grade municipal bonds and the Moody’s BAA-rated corporate bonds, while being a decreasing function of the monetary base as a per cent of GDP and net financial capital inflows as a per cent of GDP. Finally, additional estimates reveal that the higher the budget deficit as a per cent of GDP, the higher the ex post real interest rate on AAA-rated long -term corporate bonds.

The author is unaware of a study that adopts this particular set of real interest rates along with net capital inflows and the monetary base as a per cent of GDP and net capital inflows. Also, the data run through 2013. There have been only studies of deficits and real interest rates in the past few years.

To investigate the impact of the federal budget deficit (expressed as a per cent of the Gross Domestic Product, GDP) in the US on the ex ante real interest rate yield on Moody’s Baa-rated corporate bonds and to provide evidence that is both contemporary and covers an extended time period, namely, 1960 through 2015.

The analysis constructs a loanable funds model that involves a variety of financial and economic variables, with the ex ante real interest rate yield on Moody’s Baa-rated long-term corporate bonds as the dependent variable. The dependent variable is contemporaneous with the federal budget deficit and two other interest rate measures. Accordingly, instrumental variables are identified for each of these contemporaneous explanatory variables. The model also consists of four additional (lagged) explanatory variables. The model is then estimated using auto-regressive, i.e., AR(1), two-stage least squares.

The principal finding is that the ex ante real interest rate yield on Moody’s Baa rated corporate bonds is an increasing function of the federal budget deficit, expressed as a per cent of GDP. In particular, if the federal budget deficit were to rise by one per centage point, say from 3 to 4 per cent of GDP, the ex ante real interest rate would rise by 58 basis points.

There are other time-series techniques that could be applied to the topic, such as co-integration, although the AR(1) process is tailored for studying volatile series such as interest rates and stock prices.

The greater the US federal budget deficit, the greater the real cost of funds to firms. Hence, the high budget deficits of recent years have led to the crowding out of investment in new plant, new equipment, and new technology. These impacts lower economic growth and restrict prosperity in the US over time. Federal budget deficits must be substantially reduced so as to protect the US economy.

Higher budget deficits act to reduce investment in ew plant, new equipment and new technology. This in turn reduces job growth and real GDP growth and compromises the health of the economy.

This is the first study to focus on the impact of the federal budget deficit on the ex ante real long term cost of funds to firms in decades. Nearly all related studies fail to focus on this variable. Since, in theory, this variable (represented by the ex ante real yield on Moody’s Baa rated long term corporate bonds) is a key factor in corporate investment decisions, the empirical findings have potentially very significant implications for US firms and for the economy as a whole in view of the extraordinarily high budget deficits of recent years.

This paper aims to describe a robust empirical approach to generating plausible historically based interest rate shocks, which can be applied to any market environment. These interest rate shocks can be readily linked to movements in other key risk factors, and used to measure market risk on institutions with large fixed-income portfolios.

Using yield curve factorization, we parameterize a time series of historical yield curves and measure interest rate shocks as the historical change in each of the model’s factors. We then demonstrate how to add these parameterized shocks to any market environment, while retaining positive rates and plausible credit spreads. Given a set of shocked interest rate curves, joint risk factor movements are calculated based upon historical, reduced form dependencies.

Our approach is based upon yield curve parameterization and requires a parsimonious yet flexible factorization model. In the process of selecting a model, we evaluate three variants of the Nelson–Siegel approach to yield curve approximation and find that, in the current low interest rate environment, a 5-factor parameterization developed by Björk and Christensen (1999) is best suited for accurately translating historical interest rate movements into plausible, current period shocks.

An accurate measure of market risk can help to inform institutions about the amount of capital needed to withstand a series of adverse market events. A plausible set of shocks is required to ensure market value, and cash flow projections are indicative of meaningful market sensitivities.

The purpose of the present paper is to quantify and analyze the strain-rate dependence of the yield stress for both unfilled acrylonitrile-butadiene-styrene (ABS) and short carbon fiber-reinforced ABS (CF-ABS) materials, fabricated via material extrusion additive manufacturing (ME-AM). Two distinct and opposite infill orientation angles were used to attain anisotropy effects.

Tensile test samples were printed with two different infill orientation angles. Uniaxial tensile tests were performed at five different constant linear strain rates. Apparent densities were measured to compensate for the voided structure. Scanning electron microscope fractography images were analyzed. An Eyring-type flow rule was evaluated for predicting the strain-rate-dependent yield stress.

Anisotropy was detected not only for the yield stresses but also for its strain-rate dependence. The short carbon fiber-filled material exhibited higher anisotropy than neat ABS material using the same ME-AM processing parameters. It seems that fiber and molecular orientation influence the strain-rate dependence. The Eyring-type flow rule can adequately describe the yield kinetics of ME-AM components, showing thermorheologically simple behavior.

A polymer’s viscoelastic behavior is paramount to be able to predict a component’s ultimate failure behavior. The results in this manuscript are important initial findings that can help to further develop predictive numerical tools for ME-AM technology. This is especially relevant because of the inherent anisotropy that ME-AM polymer components show. Furthermore, short carbon fiber-filled ABS enhanced anisotropy effects during ME-AM, which have not been measured previously.

The study examines the joint effect of sovereign and call risks on the duration of callable sovereign bonds over the period 1996–2011. The results indicate that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for U.S. dollar-denominated investment-grade callable sovereign bonds. Further, the “shortening” effect of sovereign and call risks on duration is generally stronger among bonds of lower ratings. Similar results are obtained when CDS prices are used as a proxy for changes in sovereign risk. Results from this study emphasize the importance of considering the joint effect of sovereign and call risks in managing the interest rate risk exposure in fixed income investments.

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long‐term trend to the raw data, and to derive the short‐term cycles of each series. It is found that the cycles of consumer expenditure, total consumption per capita, the dividend yield and the long‐term bond yield are moderately correlated, and mainly coincident, with the property price cycle. There is also evidence that the nominal and real Treasury Bill rates and the interest rate spread lead this cycle by one or two quarters, and therefore that these series can be considered leading indicators of property stock prices. This study recommends that macroeconomic and financial variables can provide useful information to explain and potentially to forecast movements of property‐backed stock returns in the UK.

The market value of any property investment will tend to deteriorate over time when compared to similar modern properties if monies are not periodically expended to mitigate the effects of obsolescence. This paper examines the relationship between the initial yield of a property at purchase and the rate of future rental value growth necessary to achieve a criterion rate of return on the investment. Traditionally in calculations of the future rental growth rate required to justify an initial investment yield (when compared, say, to the rental shown by gilt‐edged stocks) the simplistic view is taken that following purchase no further expenditure is anticipated. However, if a property is to maintain its original market appeal (or adapt to evolving circumstances), capital must from time‐to‐time be injected for the purposes of refurbishment. Thus, any analytical model which ignores this inevitable expenditure, but nevertheless assumes a constant rate of long‐term future rental growth, is quite unrealistic. A Refurbishment‐Rental Growth Model is derived which allows the introduction of regular future capital expenditure both in terms of magnitude and frequency. Various examples are illustrated of the effect which such expenditure may have in necessarily increasing the required future rental growth for a property investment in order to achieve an anticipated level of return.

This study shows that the classification of convertible bonds as common stock equivalents for computing primary earnings per share made by the effective yield test does not closely relate to that made by the market parity test as envisioned by the Accounting Principles Board. Yet, there is a large degree of correspondence between the classifications made by the two tests when the tests are conducted on a year‐by‐year basis. Furthermore, the results of the study suggest that the two tests' predictive power for conversion of convertible bonds can be substantially improved if the tests are periodically performed. These findings may be indicative of the permanent classification problem that could cause the test results to be inaccurate.