[pt] Este trabalho pretende desenvolver uma metodologia para valorar variáveis ambientais a partir da teoria das opções reais. Na tentativa de atribuir um valor monetário às variáveis do meio ambiente, diversos métodos têm sido propostos no campo de análise das ciências econômicas. No entanto, atribuir um valor econômico para o ativo ambiental não tem sido uma tarefa simples, pois envolve uma gama de conceitos multidisciplinares. Existem vários métodos para a avaliação dos recursos ambientais e três destes aparecem recorrentemente na literatura. São eles : Métodos do Custo da Viagem (MCV), Método dos Preços Hedônicos (MPH) e Método de Valoração Contingente (MVC). Estas três técnicas se fundamentam essencialmente nas preferências dos consumidores, o que aumenta a subjetividade presente no valor calculado pelas mesmas. Além disso, alguns aspectos importantes envolvidos na valoração do ambiente, como o valor de quasi-opção e o valor de existência, são simplesmente desconsiderados ou ficam completamente implícitos, como no caso do MCV. Desta forma, a totalidade da valoração econômica do meio ambiente não é atacada. Esta pesquisa se propôs a desenvolver uma metodologia de avaliação dos recursos naturais utilizando uma abordagem pela teoria de opções reais e de seus conceitos inerentes. No propósito de desenvolver uma nova metodologia de avaliação dos recursos naturais, o problema da valoração foi inserido no contexto de um estudo de caso referente ao setor elétrico brasileiro. O sistema elétrico do Brasil opera assumindo as restrições hidráulicas de maneira rígida e a violação destas restrições implica em danos ao meio ambiente. As restrições hidráulicas limitam a autonomia de decisão do uso da água para a geração de energia elétrica por questões legais e institucionais. Porém, em momentos críticos, como em períodos de secas, é preciso cogitar a possibilidade de relaxar os limites estabelecidos para as restrições. Isso pode implicar em incorrer em custos que, em geral, são desconhecidos. A violação dos limites rígidos das restrições envolve um conjunto de aspectos que podem ser de natureza social, econômica, política e ambiental. A fim de desenvolver a metodologia proposta, este estudo irá focar prioritariamente nas questões econômico-ambientais associadas à violação das restrições associadas ao aproveitamento hidrelétrico do rio São Francisco na localidade do estado da Bahia. Contudo, em trabalhos futuros, o método poderá ser estendido para abranger os demais aspectos mencionados. Entre as principais contribuições desta pesquisa estão a inclusão do valor futuro do meio ambiente na definição do seu valor presente. Isto é feito levando em conta as incertezas existentes nas parcelas que compõem o valor total do meio ambiente. Além disso, o trabalho propõem uma forma de calcular explicitamente as parcelas do valor de existência, do valor de quasi opção e o valor de uso indireto dos bens ambientais. Sob a ótica do setor elétrico, esta pesquisa apresenta um formato para operacionalizar a análise custo-benefício da violação (ou não) de certas restrições em situações específicas. Para o estudo de caso analisado constatou-se que não seria ótimo flexibilizar as restrições hidráulicas a partir dos dados que foram considerados. / [en] This thesis intends to develop a methodology for valuing environmental variables by applying the real options theory. In the attempt to assign a monetary value to environmental variables, several methods have been proposed in the field of economic sciences. However, assigning an economic value to an environmental asset has not been an easy task as it involves a multidisciplinary range of concepts. There are several methods for evaluating environmental resources and among them there are three which appear repeatedly in the literature, such as: Travel Cost Method (TCM), Hedonic Price Method (HPM) and Contingent Valuation Method (CVM). These three techniques are primarily based on consumer preferences, which increase the subjectivity in calculating the respective values. Furthermore, some important aspects involved in the environmental valuation, such as the quasioption value and the existence value, are simply ignored or completely implicit, as in the case of the TCM. Hence, some aspects of the totality of the environmental economic valuation are not taken into consideration. The purpose of this research was to develop a methodology for assessing natural resources using the real options theory approach as well as its inherent concepts. In order to develop a new methodology for assessing natural resources, the problem of valuation has been placed in the context of a case study related to the Brazilian electricity sector. The Brazilian electrical system addresses the hydraulic constraints in a strict way and the violation of these restrictions results in damage to the environment. Due to legal and institutional issues, the hydraulic constraints limit the autonomy of decision regarding the use of water to generate electric power. However, at critical moments, as in periods of drought, it is necessary to contemplate the possibility of making the limits to these restrictions more flexible. This may incur costs that are generally unknown. The violation of these rigorous limits involves a series of aspects that may be of social, economic, political and environmental nature. In order to develop the proposed methodology, this study will focus primarily on economic and environmental issues associated with the violation of the restrictions related to the hydroelectric efficiency of the Sao Francisco River, located in the state of Bahia. Nevertheless, in future studies, the method can be extended to comprise the other mentioned aspects. Among other relevant contributions of this research, it is important to mention the inclusion of future value of the environment when defining its present value. This is achieved by taking into consideration the uncertainties that are present in the parts that constitute the total value of the environment. In addition, this study proposes an approach to explicitly calculate the parts of the existence value, the quasi-option value and the indirect use value of environmental assets. From the perspective of the electricity sector, this research presents a format for operationalizing the cost-benefit analysis of the violation (or non-violation) of certain restrictions in specific situations. For the case study analyzed, it was verified, from the data considered, that making the hydraulic restrictions more flexible would not be an optimal alternative.

Made available in DSpace on 2015-04-22T22:11:27Z (GMT). No. of bitstreams: 1 Adilson Alves.pdf: 1168831 bytes, checksum: b0b3c601292bebc707ce420d4f776ce6 (MD5) Previous issue date: 2013-10-13 / The search for sophisticated methods more of evaluation of investments that are capable to deal with uncertainty, irreversibilidade, risk and that they guarantee flexibility, has been one exausto exercise on the part of researchers, mainly in projects that involve investments in products with high aggregate value. From a bibliographical survey and of laboratory, the present dissertation analyzes the viability of the industry gas-chemistry in the Industrial Polo region of Manaus. It considers an economic-financial, established analysis in use of Real Options (OR), applied Simulation for Monte Carlo (SMC). Thus, the prices of the entrances and exits are shaped through one determined random process, in this in case that Geometric Movement Browniano (MGB), is calculated the parameters (drift and volatileness) of each series of prices and after that are made its SMC. The variable fluctuation of prices, variations of market, delays or advancings in the execution of the project, estimates of cost and forecasts for the attainment of the necessary approvals, are observed to Real Options (OR). Next, considers the combination of entrances and exits that the function maximizes profit in one determined period and calculates the liquid present value (VPL). Finally, it currently presents the used methods in this precificacion, giving emphasis to the method of the Monte Simulation Carlo (SMC), it points the advantages in relation to the classic analysis and identifies the main existing OR in a project of great transport / A busca por métodos mais sofisticados de avaliação de investimentos que sejam capazes de lidar com incerteza, irreversibilidade, risco e que garantam flexibilidade, têm sido um exausto exercício por parte de pesquisadores, principalmente em projetos que envolvam investimentos em produtos com alto valor agregado. A partir de um levantamento bibliográfico e de laboratório, a presente dissertação analisa a viabilidade da indústria gás-química no Pólo Industrial de Manaus. Propõe uma análise econômico-financeiro , baseado em uso de Opções Reais (OR), aplicado por Simulação de Monte Carlo (SMC). Desta forma, os preços das entradas e saídas são modelados através de um determinado processo estocástico, neste caso o Movimento Geométrico Browniano (MGB), são calculados os parâmetros (drift e volatilidade) de cada série de preços e em seguida são feitos sua Simulação por Monte Carlo (SMC). As variáveis flutuação de preços, variações de mercado, atrasos ou adiantamentos na execução do projeto, estimativas de custo e previsões para a obtenção das aprovações necessárias, são observadas para se precificar Opções Reais (OR). Seguidamente, propõe a combinação de entradas e saídas que maximiza a função lucro num determinado período e calcula o valor presente líquido (VPL). Finalmente, apresenta os métodos usados atualmente nessa precificação, dando ênfase ao método da Simulação de Monte Carlo (SMC), aponta as vantagens em relação à análise clássica e identifica as principais OR existentes em um projeto de grande porte

As distribuidoras de energia elétrica anualmente elaboram o Plano de Investimentos, que se constitui parte extremamente relevante do Plano de Negócios da Companhia, composto pelos investimentos a serem feitos nos próximos anos. Em função da conjuntura do sistema e dos estudos de planejamento, há sempre diversas propostas de investimento a serem cotejadas e, para selecionar os projetos a serem desenvolvidos, é necessária uma meticulosa análise econômica e financeira. Nesse tipo de análise, torna-se crucial ponderar as exigências do Órgão Regulador para o reconhecimento tarifário de um investimento, bem como as incertezas quanto à evolução da conjuntura sistêmica, aplicando técnicas da Engenharia Econômica para avaliar o retorno sobre o capital investido. A diferença principal deste trabalho, em relação à análise convencional de viabilidade de Projetos de Distribuição, decorre do fato de que se desenvolveu uma metodologia para avaliação de viabilidade e comparação entre si de alternativas de planos de expansão, ao invés da análise individualizada de projetos tradicional. Nesse contexto, a melhor decisão de investimento fica condicionada por variáveis exógenas ao tradicional processo de planejamento em si e, para viabilizar a inclusão das principais variáveis de comportamento aleatório, optou-se pela utilização de metodologia baseada em Opções Reais, que é uma técnica utilizada no mercado financeiro. Para melhor incorporar todas as nuances que condicionam o desempenho econômico-financeiro das alternativas em cotejo e aprimorar o processo de tomada de decisão, utiliza-se, também, técnicas de análise multi-objetivo para imputar os benefícios sociais na avaliação final, feita na etapa de tomada de decisão. / The electrical distribution companies annually prepare their Investment Plan, which is an important part of the company Business Plan, presenting the investments to be made for the coming years. There are several investment proposals, and to select the projects to be invested is necessary a precise economic and financial analysis considering the requirements of the tariff regulator for the recognition of an investment. The project feasibility analysis should to apply techniques of Economic Engineering to assess the rate of return of the invested capital. The main feature of this work, when compared to the feasibility conventional analysis of Distribution Projects, is that a new methodology was developed for feasibility assessment and comparison between alternative expansion plans, featuring important component of the investments contemplated in a Investment Plan. In this context, the best investment decisions is conditioned by additional variables besides that of the traditional planning process itself. In order to make an easier inclusion of the main variables presenting random behavior, it was used a methodology based on \"Real Options\", which is a technique used in the financial market. To better incorporate all the nuances that affect the financial performance of the alternatives under comparison, as well as to improve the decision making process, multi-objective analytical techniques was also used, aiming at to allocate welfare benefits in the decision-making final evaluation.

En dépit de quinze années de travaux, le normalisateur comptable international, l'International Accounting Standard Board (IASB), n'a pas abouti dans sa tentative de définir une norme spécifique aux activités d'extraction. Cet échec partiel soulève la question suivante : existe-t-il un contenu informationnel propre aux actifs spécifiques et s'il existe, quelle forme communicationnelle doit-il revêtir ? L'IASB s'adressant en priorité à l'actionnaire, notre travail devait naturellement débuter par l'évaluation de ses perceptions, tout en admettant le caractère restrictif d'une telle focalisation. Mobilisant la théorie positive, en cohérence avec l'orientation marché du IASB, notre étude longitudinale est conduite sur onze ans, comprenant le prix bas du baril en 1996/1997 et sa hausse soudaine en 2004, afin de mesurer la manière dont le(s) marché(s) perçoi(ven)t les éléments comptables relatifs à l'activité d'extraction pétrolière et gazière, caractérisée par la présence d'actifs spécifiques à haute teneur stratégique, et réputés très incertains. Une revue de littérature propose une double rétrospective, d'une part, des travaux interrogeant la pertinence des divulgations de valeurs ou volumes, et d'autre part, du raisonnement par les options réelles, mis à l'épreuve dans notre dernier travail empirique. Réalisé sur une population internationale, et mesurant le lien entre les divulgations comptables spécifiques à l'activité pétrolière et gazière et la valeur de marché, notre travail examine la pertinence de ces divulgations par le prisme du modèle de Ohlson tout en proposant une solution aux problèmes de colinéarités que génèrent des variables spécifiques. / Despite a fifteen years work, the international standard setter, the International Accounting Standard Board (IASB) hasn't succeeded in its attempt to define a specific standard relative to extractive activities. This semi-failure raises the following - maybe unresolved - question : does an informational content proper to specific activities exist, and if it does, which would be its appropriate communication form ? Despite the restrictive aspect of a scope admitting that IASB's primary target is the shareholder, our work subsequently started with the evaluation of his/her perceptions. Consistent with the IASB's point of view, we mobilized the positivist theory in an eleven years longitudinal study, covering a period of low barrel prices - in 1996/1997- and the sudden raise of 2004, to study the way in which the market(s) perceive(s) the disclosures of specific items relative to oil and gas activities. The latter are characterized by the presence of specific assets, sometimes strategic, described by the standard setter as highly uncertain. A literature review offers a retrospective on previous researches questioning the value-relevance of either the volume or the value of oil and gas reserves, and on the Real Options Reasoning that is tested in our empirical work. Our examination, on a international sample, of the link between specific accounting disclosures and the market value relies on the Ohlson's model and provides us with some insights on the identification of multicollinearity as likely present when dealing with specific variables.

[pt] A dissertação apresenta três ensaios econômicos onde a abordagem de opções reais faz-se mister seja na definição de políticas regulatórias, estratégias de investimentos ou apreçamento de risco soberano. O primeiro ensaio, toma como premissa a nova regulação orientada a custos da interconexão de redes de telecomunicações e propõe ajustes no cálculo da remuneração de capital da telefonia fixa local. O modelo proposto estabelece o mark-up sobre o custo médio ponderado do capital (WACC) a ser aplicado nos novos contratos de concessão, levando-se em conta a opção de acesso disponibilizada pela operadora de STFC aos entrantes. O ensaio inova ao incorporar ao modelo de opções o impacto de mudanças de paradigmas tecnológicos que ocasionam saltos negativos na demanda da concessionária. Os resultados apontam para robustez do mark-up em relação a alterações nos parâmetros básicos do modelo (tráfego fixo- fixo, fixo-móvel e choques negativos de demanda), e apontam para um mark-up inferior a 1%. O segundo ensaio analisa estratégias de investimentos em incorporação imobiliária, setor que envolve baixa liquidez, lento payback, e apresenta diversas incertezas econômicas relacionadas à demanda de mercado, preço por metro quadrado e custo do terreno. O ensaio analisa estratégias de lançamentos simultâneos e seqüenciais de empreendimentos imobiliários; o primeiro envolvendo um menor custo de construção, associado, porém, a uma maior incerteza nos resultados. O lançamento seqüencial apresenta características semelhantes a opções reais por embutir uma série de oportunidades quanto à aquisição de informações, adiamento e abandono do projeto. Apresenta-se o estudo de caso de uma incorporação na cidade do Rio de Janeiro, identificando-se a estratégia ótima bem como o preço máximo a ser pago pelo terreno. O lançamento seqüencial agrega valor adicional de 10% ao projeto além de diminuir a exposição ao risco do incorporador em mais de metade se comparado à metodologia tradicional de fluxo de caixa descontado. Finalmente, o terceiro ensaio recai sobre risco soberano e propõe um modelo estrutural a partir da teoria de opções e ativos contingentes para analisar a estrutura a termo de quatro países emergentes (Brasil, México, Rússia e Turquia) que representaram, em média, 54 % do índice EMBIG do JPMorgan no período de 2000-2005. A taxa de câmbio real, modelada como um processo de difusão simples, é considerada como indicativa de default. O modelo calibrado indica que no período, o mercado sistematicamente sub-apreçou os títulos do Brasil em 100 pontos base na média, enquanto para México, Rússia e Turquia apreçou corretamente os spreads soberanos. O ensaio fornece ainda a probabilidade implícita de default do emissor, variável fundamental para o apreçamento dos derivativos de crédito, mercado que cresceu vertiginosamente após a crise da Ásia e Rússia, passando de US$ 180 bilhões de dólares em 1996 para um valor esperado de US$ 20 trilhões ao final de 2006. Este mercado é reconhecido como responsável por conter os efeitos contágios e manter a estabilidade no mercado financeiro em crises recentes como a da WorldCom, Parmalat, Enron entre outros. / [en] The dissertation presents three economic essays examining situations where the real options approach can be useful in the definition of regulatory policies, investment strategies and pricing of sovereign risk. The first essay considers the new regulation oriented to interconnection costs of telecommunications networks and proposes adjustments in calculating the return on capital invested in local fixed telephone service. The proposed model establishes the mark- up on the weighted average cost of capital (WACC) to be applied to new concession contracts, taking into account the access option provided by the fixed operator to entrants. The essay innovates by incorporating to the options model the impact of changes in technological paradigms that cause the concessionaire´s demand to fall. The results indicate the robustness of the mark-up in relation to alterations in the model´s basic parameters (fixed-fixed and fixed-mobile traffic and negative demand shocks), and mark-up was estimated to be under 1%. The second essay analyzes investment strategies in real estate development, a sector that involves low liquidity, slow payback and various economic uncertainties related to market demand, price per square meter and land cost. The essay analyzes strategies for simultaneous and sequential launch of real estate projects. The first involves lower construction cost, but comes associated with more uncertain results. Sequential launch presents characteristics similar to real options because it has a series of built-in opportunities regarding the acquisition of information and delay or abandonment of the project. We present a case study of a development in the city of Rio de Janeiro, identifying the optimal strategy and the maximum land cost. Sequential launch aggregates 10% extra value to the undertaking, besides reducing the developer´s risk exposure by over half in comparison with the traditional discounted cash flow method. Finally, the third essay examines sovereign risk and proposes a model from the theory of options and contingent assets to analyze the term structure of four emerging countries (Brazil, Mexico, Russia and Turkey) that together represented on average 54% of JPMorgan´s EMBIG index in the 2000-2005 period. The real exchange rate, modeled as a simple diffusion process, is considered as indicative of default. The calibrated model indicates that in the period studied, the market systematically underpriced Brazilian bonds by an average of 100 basis points, while for Mexico, Russia and Turkey it fairly priced the sovereign debt. The essay also provides the implicit probability of the issuer´s default, a fundamental variable for pricing credit derivatives, a market that has grown at a dizzying pace since the Asian and Russian crises, rising from US$ 180 billion in 1996 to an expected value of US$ 20 trillion at the end of 2006. This market is recognized as being responsible for containing the contagious effects and maintaining the stability of the financial market in recent crises, such as the corporate meltdowns of WorldCom, Parmalat and Enron, among others.

本研究探討以實質選擇權法評估高科技公司之股價，而如何評估企業合理的股價一直都是學者、投資人與企業亟欲探討的問題。由於高科技產業類似買權的特性，即潛在獲利高而下方風險有限(放棄選擇權)，使得採用何種股票評價模型來評估高科技產業股價更是一重要課題。一般常用來衡量企業實質價值的方法有三類：現金流量折現法、相對評價法（如本益比法）以及近年來開始發展的實質選擇權模型。但傳統的現金流量折現法會忽略了管理者的決策彈性而低估價值，本益比法會受到盈餘品質的影響；因此本研究以Schwartz和Moon(2000)連續時間之下的實質選擇權法來評估每股價值，希望在加入營運策略彈性之考慮後，求算出的模型價格能更真實地反映企業價值，並進而探討影響企業價值之關鍵因素。 本文以台灣IC設計產業龍頭，有「亞洲英特爾」之稱的威盛電子公司為研究對象。以威盛及其類似公司矽統科技之相關歷史資料估計參數，並與民國90年第一季實際股價驗證，發現實際股價逐漸逼近模型價格346.54元。以敏感度分析結果得到影響威盛股價的關鍵參數有四個：成本佔收入之比率、賺取超額報酬之期間、企業終值和收入成長率隨機過程之回復平均速度。 / The valuation of high-growth companies has been a controversial subject both in the academic literature and financial press. Since high-tech companies have option-like characteristics and asymmetric payoffs, this paper attempts to apply real-options pricing model created by Schwartz and Moon (2000) to get the rational price of high-tech companies and look for the key value-drivers. This paper focuses on valuing VIA Technologies, the world’s largest PC core logic chipset supplier with growing exposure to communications chips and microprocessors. After estimating the model parameters and solving the model by simulation, the model stock price for VIA Technologies is $346.54；moreover, market prices are getting close to the model price in the first quarter of 2001. Finally, I perform sensitivity analysis on the more critical parameters of the model, and find out four important parameters that have big effects on stock prices, including variable costs, horizon of the estimation, terminal value and speed of adjustment for the rate of growth process.

De flesta företag strävar i huvudsak efter att maximera värdet av sitt företag och ett sätt att öka värdet av företaget kan vara att genomföra investeringar. En viktig faktor för att lyckas med sina investeringar är att skapa en strategi och att följa denna är avgörande för att nå dit man vill. Strategier kan utformas på olika sätt, men gemensamt för alla strategier är att de måste hantera osäkerhet. Syftet med denna uppsats är att undersöka vad små- och medelstora företag upplever som osäkerhet vid investeringar samt hur företagen hanterar dessa. Valet av små- och medelstora företag grundar sig på att den största delen av tidigare forskning inom detta ämne är gjord på stora företag.   Forskningsstrategin för denna studie är explorativ, eftersom vi strävar efter att öka förståelsen kring ett delvis outforskat område. Vi har valt att avgränsa urvalet till företag inom industrisektorn i nordöstra Skåne. Studien utgörs av en kvalitativ metod, där djupgående intervjuer har genomförts med sex respondenter på olika företag. Tillsammans med respondenternas åsikter och tidigare forskning görs tolkningar av materialet vilket bidrar till skapande av slutsatser. De främsta slutsatserna som kan dras från denna uppsats är att osäkerhet vid investeringar hanteras väldigt olika beroende på företag, trots att de är verksamma inom samma sektor. Företagen använder olika typer av strategier för att hantera vad de upplever som osäkerhet, vissa i större utsträckning än andra.  Med denna uppsats önskar vi öka förståelsen för vilka osäkerheter som finns vid investeringar samt för hur denna osäkerhet kan hanteras. Vår intension är att små och medelstora företag ska, med hjälp av denna studie, kunna känna sig säkrare i sina investeringsbeslut i framtiden. Säkrare beslut leder till minskad osäkerhet och därmed ökar chanserna för lönsamma investeringar. / Most companies’ main goal is to maximize the value of their company and one way to increase the value of the company can be to invest. An important factor in order to succeed with an investment is to create a strategy and stick to it. Strategies can be structured in different ways, but what they all have in common is the need to manage uncertainties. The purpose of this thesis is to investigate what kind of uncertainty small- and medium sized enterprises experience when they invest, as well as how they manage this. Our selection of small- and medium sized enterprises is based on the fact that the majority of previous research within this particular subject investigates large companies. The research strategy in this thesis is mainly exploratory, since our goal is to increase the knowledge within this partly unexplored subject. We chose to narrow our selection down to companies within the industrial sector in the North East of Skåne. This thesis consists of a qualitative method, where in-depth interviews were conducted with six respondents from different companies. Together with the opinions from the respondents and previous research, interpretations were made which made it possible to create conclusions. The primary conclusion to be drawn from this thesis is that investment uncertainty can be managed in different ways depending on the company, even though the companies are operating within the same sector. The companies use different types of strategies in order to manage what they experience as uncertainty, although some of them use the strategies more than others. We wish to increase the understanding and the knowledge of existing uncertainties as well as how to manage these. Our intension is to help small- and medium sized enterprises feel more secure about their investment decisions in the future.  Safer decision-making results in reduced uncertainty thus increase the chances of making profitable investments.

In this article, we look at a model with (independent) system operator who faces stochastic but growing transmission demand and a penalty if frequency is not balanced. In this set up, we derive an optimal grid expansion investment strategy and analyze its value and risk implications. It turns out that the firm value is strictly concave in the level of transmission demand. Firm value, however, increases with optimal investment for any level of demand. Moreover, firm risk is decreasing in the level of demand and higher when the firm has an investment option. The risk increase corresponds to the exercise of the call option and is stronger, the closer the firm approaches its exercise trigger. (author's abstract) / Series: Working Papers / Research Institute for Regulatory Economics

<p>This dissertation focuses on managerial decision making, and specifically explores conditions wherein managers may increase their propensity to escalate commitment towards a failing project. Escalation researchers (e.g. Schmidt and Calantone, 2002) have listed four classes of factors that may impact a manager's propensity to escalate commitment towards a failing project, and have called for research into how exactly these factors impact escalation. In this dissertation, we explore two such factors. The first factor relates to the characteristics of the decision process used by firms to evaluate the project. Here, for example, researchers have looked at whether the manager was also involved in making decisions about the project in a prior period, and Boulding, Morgan and Staelin (1997) have shown that such manager's positive beliefs about the project (formed in a prior period) make a manager more likely to escalate commitment. The second factor relates to project characteristics. Here, for example, researchers have looked at whether or not the project relates to a product that is perceived as new, and Schmidt and Calantone (2002) have shown that managers are more likely to escalate commitment towards a failing project relating to a new product. </p><p>The first dissertation essay uses three experiments to examine how a hitherto unexplored characteristic of the decision process might lead to increasing escalation of commitment. Specifically, building off research into the illusion of control, we examine whether the opportunity to use managerial skill during the decision process makes a manager more willing to escalate commitment towards a failing project. We find that whenever managers act on cues that cause them to think they can use their managerial skill to control some outside factor (even though in reality they cannot), managers overestimate their ability to "control the odds" related to this outside factor. Such beliefs feed forward and lead managers to make suboptimal decisions about the overall project.</p><p>The second dissertation essay looks at how project characteristics might make a manager more (or less) likely to escalate commitment towards a failing project. We explore this issue in the hitherto unexplored real options setting. Real options have emerged as an important part of marketing strategy, and have been used to structure new product alliances, value customers etc. We run a controlled experiment and we examine whether differences in option-structure (which is a project characteristic) impact the propensity to make suboptimal option-exercise decisions. We find that managers are more likely to make suboptimal option-exercise decisions in the case of put options (vis. call options), and - as predicted by the endowment effect literature - this increased propensity to make a suboptimal decision is mediated by/ explained by the psychological ownership construct.</p> / Dissertation

Corporate Real Estate (CRE) investors are often confronted with a need for flexibility in buildings. They often embark on costly renovations to accommodate changing use requirements. When new needs arise, landlords and tenants often risk loss due to inability to easily switch to configurations that can meet those needs. The main cause for this problem is lack of a planning model that can allow buildings to easily evolve over time allowing decision-makers to hedge investment positions against risk due to uncertainty. The emergence of Real Options (RO) theory in the 1970's has led to debates in search of a better planning model for real projects. The success of RO application in building construction (BC) hinges on the development of models that can be used to assess economic performance of flexible design options (FDO) in building systems. For building interior spaces, there is currently no model that can value flexibility of partition systems. The purpose of this study is to present a model that can be used to value flexibility in mutually exclusive partition systems over a project's life span. The proposed model uses decision tree representation, stochastic forecasting and random sampling of decision-path scenarios to generate cumulative risk profiles of partition systems' life cycle costs with expected median value, standard deviation and variance to inform decision making under uncertainty. The research processes include: assumptions, decision-making structure for identification of uncertain variable, model representation, spreadsheet programming, Monte Carlo simulation, and validation. The model will enable application of RO "in" BC projects.