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This paper stresses the lack of attention paid to the geographical definitions of cities in LUTI models as one key detrimental aspect to transferring and generalising LUTI results. First, the argumentation develops from a meta-analysis of peer-reviewed publications about LUTI applications in European cities. We show that most authors do not assess findings against potential geographical biases. Second, theoretical simulations are conducted withUrbanSimapplied to a synthetic urban area. By varying the geographical limits of the system and population endowments, our simulations confirm that the absence of control on city delineation weakens the results. Finally, the paper suggests methodological guidelines to improve the comparability of LUTI applications and push forward their theoretical agenda. [ABSTRACT FROM PUBLISHER]

European research attempting to quantify neighbourhood effects has relied almost exclusively on analyses of observational data. No consensus has emerged, perhaps because a variety of statistical procedures have been employed. We investigate this by exploring the degree to which alternative, non-experimental statistical methods yield different estimates of the relationship between neighbourhood income mix and individual work income when applied to the same longitudinal database. We find that results are highly sensitive to the statistical approach employed. Methods controlling for geographic selection bias generally reduce the negative association between low-income neighbours and individual earnings, but substantial differences across models remain. Controlling for both selection and endogeneity produces larger associations and evidence of non-linearity, something that is hidden in models only controlling for selection. All methods suffer shortcomings, so we argue for multi-method investigations to identify robust findings, with instrumental variables and fixed effects on non-mover samples being preferred. In our case, we find a substantial neighbourhood effect, regardless of the method employed. [ABSTRACT FROM AUTHOR]

Many previous studies document a robust premium for value versus growth stocks in international markets. We show that this premium is driven by few years where High Minus Low (HML) returns are high and significant. For instance, for 12 European markets the HML return is statistically significant, on average, approximately 36% of the years and for these statistically significant years the average monthly HML return is 2.24%. For the rest of the years (i.e. about 64% of the time) the average HML monthly return is only 0.54%. We also find that historical βs for value and growth portfolios vary significantly over time, change between good and bad economic conditions, and that value portfolio βs are not always smaller than growth portfolio βs for the majority of the sample markets. Finally, when time-variation in systematic risk is addressed, we cannot reject the zero-intercept hypothesis, i.e. portfolio returns appear consistent with the Capital Asset Pricing Model (CAPM). [ABSTRACT FROM AUTHOR]

In this article, the nonparametric threshold autoregressive model for the Covered Interest Rate Parity (CIP) deviation is proposed. We provide a threshold estimation under the general equilibrium framework. The Keynes-Einzig conjecture based on market observation is verified. Within thresholds, the momentum effect holds. The behavioural finance applies as the aggregated data are used. Outside thresholds, the random process is shown from our general equilibrium estimation. Our estimations show that the CIP deviation is nonstationary within thresholds for some countries. It contradicts to the limit of arbitrages and other market frictions for the threshold trading. The robustness test has been performed to reconfirm our results based on the Mean Absolute Error (MAE) criterion. The implication shows that the trend-following exists within thresholds and the directionless moving as the threshold is reached. Behind our estimation, it shows that the threshold forms a new equilibrium. As the nonparametric general equilibrium is pursued, the interactive effects behind the parameters estimation are also discussed. In this article, we provide a behavioural perspective about the real exchange rate in terms of covered interest rate parity to show the meaning behind the Keynes-Einzig conjecture. We also provide the estimation of latest aggregated data for comparison. It shows structural changes as the euro is adopted. [ABSTRACT FROM AUTHOR]