There is a series of different types of risk on the housing market and related industries.  The six papers in this doctoral dissertation are about a number of the many dimensions of risk management on the housing market. The main message of this thesis is that it should be possible for different actors in the housing market to improve risk management. Indeed, the last years’ financial turmoil has revealed that it should not only be possible, but also necessary, to improve risk management at all levels of the economy: at household, corporate, regional, national and international level. Although the complexity of the environment in which we live and act makes it very difficult to predict and quantify risk, the development of risk management techniques should make it possible to better indentify, and reduce risk. The first paper provides a systematic overview of a wide selection of methods or strategies used in different countries to expand but also to maintain home ownership among low income households. The second paper further discusses mortgage and home equity insurance instruments discussed in the first paper. This paper also discusses how a rental insurance policy, as an alternative to traditional rent regulation, may be constructed. Paper 3 develops a formula that might be used in order to value the rental insurance option discussed in paper 2. The fourth paper focuses on the housing building sector by discussing potential benefits of strategic alliances that the different actors in the housing construction market may establish in order to pool resources and manage development risks. The challenge of constructing reliable home price indexes has attracted scholars for many years. Paper 5 develops monthly quality-adjusted price indexes for condominiums (housing cooperative apartments) based on a unique dataset covering sales in the whole of Stockholm municipality from January 2005 to June 2009. Finally paper 6 pays attention to the large increase in housing cooperative conversions sine the 1990s, by deriving a closed-form valuation formula that might be used to value the embedded option an owner of a multi-family rental property has to sell it to a housing cooperative. / QC 20100810

Reservoir economic performance is based upon future cash flows which can be generated from a reservoir. Future cash flows are a function of hydrocarbon volumetric flow rates which a reservoir can produce, and the market conditions. Both of these functions of future cash flows are associated with uncertainties. There is uncertainty associated in estimates of future hydrocarbon flow rates due to uncertainty in geological model, limited availability and type of data, and the complexities involved in the reservoir modeling process. The second source of uncertainty associated with future cash flows come from changing oil prices, rate of return etc., which are all functions of market dynamics. Robust integration of these two sources of uncertainty, i.e. future hydrocarbon flow rates and market dynamics, in a model to predict cash flows from a reservoir is an essential part of risk assessment, but a difficult task. Current practices to assess a reservoir’s economic performance by using Deterministic Cash Flow (DCF) methods have been unsuccessful in their predictions because of lack in parametric capability to robustly and completely incorporate these both types of uncertainties. This thesis presents a procedure which accounts for uncertainty in hydrocarbon production forecasts due to incomplete geologic information, and a novel real options methodology to assess the project economics for upstream petroleum industry. The modeling approach entails determining future hydrocarbon production rates due to incomplete geologic information with and without secondary information. The price of hydrocarbons is modeled separately, and the costs to produce them are determined based on market dynamics. A real options methodology is used to assess the effective cash flows from the reservoir, and hence, to determine the project economics. This methodology associates realistic probabilities, which are quantified using the method’s parameters, with benefits and costs. The results from this methodology are compared against the results from DCF methodology to examine if the real options methodology can identify some hidden potential of a reservoir’s performance which DCF might not be able to uncover. This methodology is then applied to various case studies and strategies for planning and decision making. / text

This dissertation examines the strategic choices of multinational enterprises (MNEs) in host countries that become engaged in war. By combining the resource-based view and resource management theory, and drawing additional insights from research on real options and foreign strategic exit, I link the costs attributable to war to the strategic responses of the MNE at the subsidiary level in a novel firm-vulnerability framework. In particular, I develop theory regarding whether a subsidiary will exit from a host country, and if so, the timing (early or late) and mode (whole or partial) of exit. I test my hypotheses on a sample of 626 subsidiaries from 386 Japanese MNEs representing 51 industries in 23 countries at war, both interstate and civil, over the period 1988 to 2006. In analyzing the exit likelihood and timing decisions with time-varying covariates, I employ an extended Cox proportional hazard model, which allows for random-effects modeling of predictor variables at the subsidiary, parent MNE, and host country levels. To determine the exit mode of subsidiaries that choose exit over staying, I use binomial logit models. To correct for potential sample selection bias, I replicate my exit mode results with a Heckman probit model. My findings suggest that iv increasing strategic flexibility can counterbalance the potential disadvantages associated with leveraging strategically salient resources in high-risk locations. In examining war as a broad-based perturbation capable of destroying not only institutionalized values, but also the physical infrastructure and human capital of firms, this dissertation empirically demonstrates how political violence influences the strategies of MNEs. Furthermore, my interdisciplinary approach in integrating theoretical lenses from climate change and natural environment sustainability with existing management literatures to examine the effect of war on firms serves to enhance our understanding of individuals and collectives in extreme conditions.

本論文的目的在於研究匯率波動與對外直接投資(foreign direct investment, FDI)時點的關係。本論文採用實質選擇權分析法(real options approach)由理論面重新檢視這個議題，並利用實際資料驗證理論的正確性。本論文在文獻上的貢獻在於證明：在探討匯率波動與FDI關係時有必要考慮廠商投資動機的差異性。 為了說明不同投資動機對這個議題的重要性，本論文考慮四種不同對外直接投資的型態，分別為市場導向型(market-seeking)、回銷導向型(reverse- importing) 、替代出口型(export-substituting)及躍過反傾銷稅型(antidumping- dumping)。首先，我們延伸Dixit-Pindyck的實質選擇權模型，證明匯率波動提高會使市場導向型及回銷導向型的廠商延後投資，但對於風險趨避程度夠高的替代出口型廠商而言，匯率波動提高則會使其提前投資。此外，我們證明地主國貨幣升值對市場導向型廠商的FDI有利，但對回銷導向及替代出口型廠商的FDI則有不利影響。 其次，我們分別使用台商至中國大陸投資的產業資料及廠商資料進行實證。樣本期間涵蓋1987年至2002年。實證結果發現，新台幣兌人民幣實質匯率及其波動度與兩岸相對工資等因素對台商至中國大陸投資時點皆有顯著的影響，而且這些實證結果皆與前述理論預期相符。這些結果顯示，匯率波動對FDI之影響方向與投資動機息息相關。在進行實證研究時若忽略了這項因素，實證結果可能會產生加總偏誤(aggregation bias)。 最後，本論文建立一個不完全競爭下的實質選擇權模型，分別探討匯率波動如何影響出口廠商的傾銷行為及其躍過反傾銷稅的對外直接投資 (antidumping-　jumping FDI)，並分析進口國採取反傾銷政策的福利效果。我們發現匯率波動對廠商以低於內銷價格傾銷(price dumping)至出口市場的影響有不對稱(asymmetry)現象。此外，若政府採取反傾銷政策，可能刺激出口廠商採行躍過反傾銷稅的FDI。惟若出口廠商採行躍過反傾銷稅的FDI，不僅進口國國內廠商受到傷害，其社會福利也可能下降。此結論與過去策略性貿易政策文獻之看法大相逕庭。 / This thesis theoretically and empirically examines the relationship between exchange rate movements and the timing of foreign direct investment (FDI). A real options approach is adopted. This thesis contributes to the literature in illustrating the importance to consider the diversity of investing motives when examining the relationship between exchange rate movements and foreign direct investment. To show the importance of the diversity of the motives in investigating this issue, four different types of FDI are discussed in this thesis: market-seeking FDI, reverse-importing FDI, export-substituting FDI, and antidumping-jumping FDI. We first extend Dixit-Pindyck’s real options model to show that while an increase in exchange rate volatility tends to delay the FDI activities of a market-seeking firm and a reverse-importing firm, it might accelerate the FDI activity of an export-substituting firm if the firm’s degree of risk aversion is high enough. In addition, it is also shown that while the depreciation of a host country’s currency tends to stimulate FDI activities of reverse-importing firms and export-substituting firms, the depreciation tends to deter FDI activity for market-seeking firms. With the industry-panel data and the firm-level data on Taiwan’s outward FDI into mainland China over the period 1987-2002, our empirical findings indicate that the exchange rate level and its volatility in addition to the relative wage rate have had a significant impact on Taiwanese firms’ outward FDI into China. In general, the empirical results are consistent with the prediction of the theory. These results reveal that the relationship between exchange rate movements and FDI is crucially dependent on the motives of the investing firms. Without considering this fact in an empirical model, the testing results might suffer from aggregations bias. Furthermore, this thesis sets up a real options model with imperfect competition to analyze how exchange rate movements affect dumping occurrence and antidumping-　jumping FDI as well as the social welfare of importing country. We consider the price dumping case and find that the effect of exchange rate movements on the probability of dumping occurrence seems asymmetric. In addition, if a government adopts an AD policy, it is shown that this policy might induce exporting firms to undertake AD-jumping FDI. Finally, we find that, if an AD policy induces exporting firms to undertake AD-jumping FDI, the policy might have a negative impact on the profits of local firms and the social welfare of the importing country as well, which is contrary to the prediction of the earlier literature on strategic trade policy.

本文分成兩個部分探討失業者的工作搜尋決策，第一部分利用遞延選擇權模型模擬市場景氣、預期工作機會出現機率、不確定性等因素對失業者工作搜尋決策的影響。第二部份利用2006年至2010年主計處的「人力資源調查」及「人力運用調查」資料從事實證分析。本文從實證分析中驗證以下的模擬結果：一、市場上的工資波動率與失業者的保留工資有正向關係，與移轉到就業的機率有負向關係。二、失業者對工作機會出現機率的預期較高時，擁有較高的保留工資，移轉到就業的機率較低。另外，學習速度較快的失業者在搜尋工作的過程中會以較快的速度下降保留工資，移轉到就業的機率較高。三、失業者對於工作搜尋報酬的不確定程度較高時，擁有較低的保留工資，移轉到就業的機率較高。 / This thesis consists of two parts. The first part is devoted to applying a real option approach to simulate the impacts of market prospect, expected offer arrival rate, and uncertainty on job search decisions. The second part provides an empirical illustration to validate the simulation results by using unemployment data from the 2006-2010 Taiwan Manpower Utilization Survey. The main findings of this thesis can be summarized as follows: (i) The wage volatility is related positively with the reservation wage of the unemployed, but inversely with the transition probability into employment. (ii) If a rising offer arrival rate is expected, the unemployed increase reservation wages and thus decrease transition probabilities. Furthermore, higher learning speed acts to intensively lower the reservation wage. (iii) When the degree of payoff uncertainty is higher, the unemployed decrease reservation wages and thus increase transition probabilities.

The retail industry is considered to be a very competitive industry in the United States since there are so many players in the almost saturated retail markets that provide similar products and services at similar price levels to customers. Market selection has been identified as an important strategy to differentiate a retailer in this competitive market. Therefore in this thesis, we describe a conceptual framework to evaluate retailers investment opportunities in dynamic, competitive retail markets. The objective is to describe a conceptual investment analysis framework to address the strategic aspects of a retailer s investment opportunity as well as the dynamic uncertainty of a retail market in a single framework. This conceptual framework outlines a strategic view towards retail stores as flexible assets of a retail enterprise. This conceptual framework is general and can be adjusted and applied to investments options in other services. In addition, we develop an integrated investment analysis approach based on dynamic programming to explore retailers investment behaviors in dynamic markets. The objective is to determine retailers optimal investment thresholds in noncompetitive and competitive markets. We consider two retailers to illustrate our approach and use a simple game theory treatment to address competition in retail markets. We use our integrated investment analysis model based on a real options methodology to evaluate the apparent tendency for the small discount retailer invests earlier in a new developing market due to the competition effect from the large discount retailer. This early entry gives the small retail a first-mover advantage and delays the big retailer s entry into the competitive market. In addition, we conduct sensitivity analysis to characterize how significantly the values of our model parameters impact the retailers investment decisions. We also develop an integrated investment analysis approach based on contingent claims analysis to explore retailers investment behaviors in dynamic markets. The objective is to determine retailers optimal investment thresholds in noncompetitive and competitive markets. The equivalent risk neutral evaluation approach is presented in this thesis as an extended version of the contingent claims analysis approach, which facilitates the market-oriented valuation of the retailer s investment option in dynamic markets. Sensitivity analysis is conducted to study how retailers optimal investment thresholds change as the values of parameters in this equivalent risk neutral evaluation approach change. The relationship between the dynamic programming and the equivalent risk neutral evaluation approach is also summarized in this thesis to identify the similarities and the differences between these two investment analysis approaches. One of the most important objectives of this comparison is to determine in what market conditions the choice of investment analysis approach is critical and dramatically changes the retailer s optimal investment threshold. Finally, we empirically examine an important aspect of our theoretical work that the big retailer invests and opens a store relatively later in markets with a small retailer compared to markets without a small retailer. In addition, the big retailer opens a store at relatively higher retail market potential in markets with a small retailer compared to markets without a small retailer. In this thesis, we discuss some empirical evidence to support these theoretical results. We chose Wal-Mart and Dollar General as the big and small retailers, respectively, in our empirical study. Our empirical results do not validate the theory and just provide supporting evidence for our theoretical works.

The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill.  Also an analytic approximation and a parameter estimation procedure to a stochastic volatility option-pricing model are developed.  Generally, the large valuation differences and hedging errors that occur for different assumptions about the price process indicate the importance of an appropriately specified price process.  The dissertation provides examples of this. The question of whether commodity prices are mean reverting or follow a random walk is also studied.  Using a large database with close to 300 different commodities, econometric tests favour a random walk.  There are very few exceptions.  However, when applied to an option pricing model, the time-inhomogeneous mean reverting process gives smaller hedging errors than the traditional Black-Scholes model based on a random walk.  The results are therefore inconclusive, although mean reversion seems more predominant than econometric tests reveal. / Diss. Stockholm : Handelshögskolan, 2003

Submitted by Milena Rubi (milenarubi@ufscar.br) on 2017-08-08T16:27:16Z No. of bitstreams: 1 VIEIRA_Joao_2016.pdf: 19409044 bytes, checksum: 86307e07137eea13b51469dd588082b5 (MD5) / Approved for entry into archive by Milena Rubi (milenarubi@ufscar.br) on 2017-08-08T16:27:25Z (GMT) No. of bitstreams: 1 VIEIRA_Joao_2016.pdf: 19409044 bytes, checksum: 86307e07137eea13b51469dd588082b5 (MD5) / Approved for entry into archive by Milena Rubi (milenarubi@ufscar.br) on 2017-08-08T16:27:32Z (GMT) No. of bitstreams: 1 VIEIRA_Joao_2016.pdf: 19409044 bytes, checksum: 86307e07137eea13b51469dd588082b5 (MD5) / Made available in DSpace on 2017-08-08T16:27:37Z (GMT). No. of bitstreams: 1 VIEIRA_Joao_2016.pdf: 19409044 bytes, checksum: 86307e07137eea13b51469dd588082b5 (MD5) Previous issue date: 2016-05-10 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Historically, in Brazil, small farms were used as a source of livelihood or recreation areas, currently also as a way to supplement income or a way to ensure security. These small investors, for lack of knowledge often end up leaving to make economic analyzes and market behavior before engaging in forestry projects. The work aimed to study the behavior of prices of eucalyptus wood and gum rosin of Pinus elliottii and the economic viability of traditional manner and project alternative that aim to produce these two products. For this we used econometric univariate models to forecast the prices of the products studied, finding a maximum error of 4.65%. Conditional heteroscedasticity models were applied to predict the volatility of resin prices and eucalyptus wood prices for the process, which were 5.72% and 4.28% per month respectively. The bootstrap simulation method was used to determine the volatility of pine resin prices, and obtained a value of 8.76%. The theory of real options was used to determine the economic viability of projects, had their results compared with traditional methodologies. Furthermore, the volatility obtained by the conditional heterocedasticity model and the bootstrap alternative approaches were applied to this theory, no difference in volatility analysis obtained by the bootstrap method. It is indicated greater care in feasibility studies for forest projects across the long term that they demand and due to different results according to each methodology as demonstrated in this work. / Historicamente, no Brasil, pequenas propriedades rurais eram utilizadas como fonte de subsistência ou áreas de lazer, atualmente também como uma maneira de complementar a renda ou garantir uma forma de previdência. Esses pequenos investidores, por falta de conhecimento, muitas vezes acabam deixando de fazer análises econômicas e de comportamento de mercado antes de se envolverem em projetos florestais. O trabalho teve como objetivo estudar o comportamento dos preços da madeira de eucalipto e goma resina de Pinus elliottii e a viabilidade econômica de forma tradicional e alternativa de projetos que visam produzir esses dois produtos. Para isso foram utilizados modelos econométricos univariados para fazer a previsão dos preços dos produtos estudados, encontrando um erro máximo de 4,65%. Modelos de heterocedasticidade condicional foram aplicados para prever a volatilidade dos preços de resina e dos preços de madeira de eucalipto para processo, que foram de 5,72% e 4,28% ao mês respectivamente. O método de simulação bootstrap foi utilizado para verificar a volatilidade dos preços de resina pinus, sendo obtido um valor de 8,76%. A teoria das opções reais foi utilizada para verificar a viabilidade econômica de projetos, teve seus resultados comparados com metodologias tradicionais. Além disso, com a volatilidade obtida pelo modelo de heterocedasticidade condicional e pelo método bootstrap foram aplicadas abordagens alternativas dessa teoria, havendo diferença na análise com a volatilidade obtida pelo método bootstrap. Indicam-se maiores cuidados nos estudos de viabilidade para projetos florestais frente ao longo prazo que os mesmos demandam e devido a diferentes resultados de acordo com cada metodologia conforme foi demonstrado nesse trabalho.

[pt] Na avaliação de projetos de investimento, tais como a construção de uma fábrica ou a ampliação de uma rede de telecomunicações, é comum a utilização da metodologia dos fluxos de caixa descontados, a despeito das suas conhecidas limitações, que tendem a produzir resultados menos consistentes. Tais limitações podem ser aceitáveis quando se objetiva apenas assegurar a viabilidade do projeto. No processo de privatização de uma empresa estatal, porém, a precisão no seu valor de avaliação torna-se crítica, não somente para se maximizar o ganho decorrente da venda, como também, devido ao seu caráter polêmico e a eventuais resistências à venda das empresas estatais, para se evitar o desgaste político decorrente de suspeitas quanto à legitimidade do processo. Seguindo orientação definida no Programa Nacional de Desestatização (PND), a metodologia dos Fluxos de Caixa Descontados tem sido amplamente usada na avaliação das empresas estatais. A venda da EMBRATEL não fugiu à regra, tendo-se verificado no seu leilão um ágio bastante elevado. O presente trabalho busca levantar hipóteses quanto à flexibilidade gerencial decorrente da venda da EMBRATEL, que poderia ter sido captada pelo uso da metodologia de avaliação por opções reais. Supondo-se que se busca maximizar o valor da venda das empresas estatais, os avaliadores terão a opção de utilizar esta metodologia nas próximas operações de privatização. / [en] In a project evaluation, as a factory construction or a telecommunications network expansion, the traditional discounted-cash-flow analysis is largely used, despite it is well known restrictions, that tend to reach less consistent results. These restrictions could be acceptable when the intention is just to guarantee the project s viability. In a public company privatization process, however, it is critical to reach an accurate value to the firm, not just to maximize the sale s value, but also, due to the controversial nature and some society s segments resistance of the public companies sales, to avoid political wastage caused by process legitimacy suspects. In accordance to the Brazillian national privatization program (Programa Nacional de Desestatização) orientation, the discounted-cash-flow methodology has been largely used in the public companies evaluation. The EMBRATEL sale was not different, and was observed a large agio in this process. This paper was written with the intention of formulating some hypothesis about the managerial flexibility caused by the EMBRATEL sale, that could be captured by the real options evaluation methodology. Presumed that the objective is to maximize the sale s value of the public companies, the valuators have the real options methodology as an alternative for the next public companies to be privatized. / [es] En la evaluación de proyectos de inversiones, tales como la construcción de una fábrica o la ampliación de una red de telecomunicaciones, comúnmente se utilizan metodologías de flujos de caja descontados, a pesar de sus conocidas limitaciones que produzen resultados menos consistentes. Tales limitaciones pueden ser aceptables cuando el objetivo es únicamente asegurar la viabilidad del proyecto. Sin embargo, en el proceso de privatización de una empresa estatal, la precisión del valor de evaluación se convierte en un punto crítico. Esto se debe no sólo al deseo de maximizar la ganancia sino también, al caráter polémico y a la eventuales resistencias a vender por parte de las empresas estatales para evitar el desgaste político producto de sospechas sobre la legitimidad del proceso. Siguiendo la orientación definida en el Programa Nacional de Desestatización (PND), la metodología de los Flujos de Caja Descontados ha sido ampliamente utilizada en la evaluación de las empresas estatales. La venta de la EMBRATEL no fue la excepción de la regla, y se verificó en su subasta un precio bastante elevado. El presente trabajo intenta levantar hipóteses con respecto a la flexibilidad gerencial de la venta de la EMBRATEL, que podría haber sido captada por el uso de la metodología de evaluación por opciones reales. Suponiendo que se busca maximizar el valor de la venta de las empresas estatales, los evaluadores tendrán la opción de utilizar esta metodología en las próximas operaciones de privatización

[pt] Devido à crescente utilização de fontes alternativas de energia, as do tipo renováveis têm se mostrado cada vez mais atraentes e viáveis. O etanol, oriundo da cana-de-açúcar, é considerado um combustível promissor e uma alternativa menos poluente que o petróleo nos dias de hoje. Além disso, o volume de produção de etanol no Brasil também tem crescido de forma consistente. Tendo em vista aos fatores supracitados, o estudo de quando a indústria maximiza lucros com a produção de etanol ou açúcar se faz importante.A escolha do modelo estocástico pode influenciar de forma determinante o valor da opção real avaliada. Sendo assim, na presente dissertação propõe-se modelar opções de conversão de acordo com o Movimento de Reversão à Média com saltos de Poisson. Será analisado o caso açúcar/etanol, ou melhor, quando será mais eficiente produzir açúcar (commodity alimentícia) ou etanol (commodity energética).Foi escolhido o Movimento de Reversão à Média com saltos de Poisson, pois apesar de os preços de commodities serem relativamente bem modelados pelo Movimento de Reversão à Média, o etanol e o açúcar sofrem variações bruscas em intervalos curtos de tempo. Essas variações se devem a agentes externos, tais como preço de petróleo e ações governamentais. Dependendo dos preços relativos de etanol e açúcar, há a possibilidade de alteração do mix de produção através da opção de conversão. Através da modelagem de opções citadas, e utilizando a simulação de Monte Carlo, esta dissertação determina o valor das opções disponíveis à indústria. / [en] Due to the increasing employment of alternative sources of energy, renewable type has been proved more and more attractive and viable. Ethanol, derived from sugar cane, in the present days is being considered a promising fuel and also a less polluting alternative to oil. In addition, the volume of ethanol production in Brazil has grown consistently. Given the above mentioned factors, the study of the moment when the industry maximizes profits from the production of ethanol or sugar becomes relevant. The choice of the stochastic model may have greater influence on the assessed value of real option. Thus, in this paper, we propose to model switch options in accordance with the Mean Reversion Process with Poisson jumps. Sugar/ethanol case will be analyzed, or rather, when it will be more efficient to produce sugar (food commodity) or ethanol (energy commodity). The Mean Reversion Process with Poisson jumps has been chosen, despite of commodity prices being relatively well modeled by the Mean Reversion Process, because ethanol and sugar suffer abrupt changes in short intervals. These variations are due to external agents, such as oil price and government actions. Depending on the relative prices of ethanol and sugar, there is a possibility of changing the mix of production through the switch option. Through modeling above mentioned options, and using the Monte Carlo simulation, this paper determines the value of the options available to the industry.