A description of the events that preceeded an actual capital investment decision illustrates the importance of uncertainty in the decision process and provides a basis for developing criteria related to the needs of the decision maker in dealing with uncertainty. The sequence of events leading to the acceptance or rejection of a capital investment proposal is best characterized as a decision process in which uncertainty in the input information is reduced to a level consistent with the risk assuming preferences of the firm. The use of formal methods to relate economic benefits, uncertainty, and the risk assuming preferences of the firm within a single framework has been suggested and two methods, employing subjective probabilities as their distinguishing characteristic, are presented for analysis. The theory of subjective probability is found to gain acceptance only if specific assumptions are judged to be acceptable. A second set of assumptions also requires acceptance to justify utilization of the theory in any given practical situation. The analysis of the two methods, in relation to the criteria developed from the actual example, indicates that complete formalization cannot be attained in that no acceptable means of formally incorporating analysis of the risk assuming preferences of the firm is provided. The use of subjective probabilities serves only to formally combine economic benefits and uncertainty. Use of the resulting probability distributions must be based on an acceptance of the underlying assumptions of the theory and serve only as an aid to judgement. Any decision for the use of subjective probability distributions must rest with the individual decision maker. / Business, Sauder School of / Graduate

Although we live in a world of considerable uncertainty and chance, most capital investment decisions consider the element of risk only qualitatively, if at all. The believed risk should be an explicit and quantitative part of the normal excess present value or excess rate of return method of investment analysis. These risks are described by the subjective probability distribution of possible investment outcomes and the coefficient of variation of this distribution is a measure of the relative risk. At the same time, only incremental risk is relevant which depends upon the existing earnings risk as well as the project earnings risk and the coefficient of association between these streams. Risk bears on the investment valuation through the investor's attitude which is conditioned by his sense of economic wealth and his psychological reaction to the risk phenomenon. This felt risk can be quantified through the investor's trade-off between income and risk, or his utility of money function. This is then used to modify the uncertain expected income to an equivalent certain income which is then evaluated in the normal way. However, this is only feasible for individual investors or small groups of co-investors. For corporate investment decisions it is preferable to relate the risk to a variable rate of required return or market discount. This rate then enables the uncertain expected income to be evaluated directly In the usual manner. This method is applicable on any entity basis including the individual project which is the unit of investment decision. Here the venture has a unique risk with an appropriate capital structure and cost of capital funds. In fact, this method of evaluation depends upon the existence of a valuation function expressing the cost of corporate capital under risk. The cost of capital has been a difficult concept to define and measure while the aspect of risk has received little attention. Thus the rigorous Modigliani and Miller statement of the valuation of earnings under risk is highly significant. Here earnings risk is classified on the basis of equal coefficient of variation and perfect correlation. The use of debt capital creates financial risk but displays cost advantages under tax. However, leverage is restrained by an interest rate function which is related to financial risk and the uncertainty of creditor payments. Implicit in the formulation of this hypothesis is an investor loss aversion attitude which might be broadened into a risk aversion basis of valuation. The comprehensive hypothesis, with a point of minimum cost of capital, provides a strong theoretical position but is difficult to empirically validate. The valuation of after-tax earnings under variable risk can be inferred from the Modigliani and Miller hypothesis. From this can be derived a general expression for the marginal value of an investment under risk. This includes the special case, usually assumed, where the investment income is of equivalent risk and perfectly correlated to the existing corporate income. The method may be used to evaluate alternative financing arrangements and mutually exclusive projects as well as insurance proposals. This variable rate of discount or return concept provides a direct and intuitively appealing means of adding another dimension to the analysis of investment opportunities. Although there is need for theoretical development, empirical verification and organizational acceptance of this approach, it is perhaps a basis for improved corporate investment decisions under risk. / Business, Sauder School of / Graduate

This thesis employs two-period state-contingent model based upon the "tax shield plus bankruptcy costs" approach to examine the dynamic capital structure decision. By allowing recapitalization at the end of period one, we can analyse the dynamics of the firm's capital structure choice. Also, the effect of a call provision on bonds can be examined. Simulated results show that the firm will recapitalize at the end of period one only if the gain in firm value, with- or ex-dividend, resulting from recapitalization exceeds the after-tax flotation costs. There exists a tolerable recapitalization boundary within which the firm will not recapitalize. This implies that the empirically observed capital structure is not necessarily at the acme of the firm value function, as most empirical studies assume. Another important result is that a call provision on bonds may be wealth reducing; the call provision may reduce the wealth of shareholders by inducing recapitalization in states which is suboptimal if there is no call provision, and incurs flotation costs which could have been avoided. The gain in firm value resulting from recapitalization may be too small to justify the extra flotation costs and thus reduces the overall firm value. / Business, Sauder School of / Graduate

We develop and test asset pricing model formulations that are simultaneously conditional and nonlinear. Formulations based upon five popular asset pricing models are tested against the widely studied Fama and French (1993) twenty-five size and book-to-market sorted portfolios. Test results indicate that the conditional nonlinear specification of the Fama and French (1993) three state variable model (FF3) is the only specification not rejected by the data and thus capable of pricing the "size" and "book-to-market" effects simultaneously. The pricing performance of the FF3 conditional nonlinear pricing kernel is corifirmed by robustness tests on out-of-sample data as well as tests with alternative instrumental and conditioning variables. While Bansal and Viswanathan (1993) and Chapman (1997) find unconditional nonlinear pricing kernels sufficient to capture the size effect alone, our results indicate that similar unconditional nonlinear pricing kernels considered here do not price the size and book-to-market effects simultaneously. However, nested model tests indicate that, in isolation, both conditioning information and nonlinearity significantly improve the pricing kernel performance for all five asset pricing models. The success of the conditional nonlinear FF3 model also suggests that the combination of conditioning and nonlinearity is critical to pricing kernel design. Implications for both academic researchers and practitioners are considered. / Business, Sauder School of / Finance, Division of / Graduate

This thesis consists of two essays which contribute to different but related aspects of the empirical asset pricing literature. The common theme is that incorrect restrictions can lead to inaccurate decisions. The first essay demonstrates that failure to account for the Federal Reserve experiment can lead to incorrect assumptions about the explosiveness of short-term interest rate volatility, while the second essay demonstrates that we need to incorporate skewness to develop models that adequately account for the cross-section of equity returns. Essay 1 empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the elasticity of volatility parameter for single-regime models unanimously indicate an explosive volatility process, whereas the Markov-switching models estimates are reasonable. We find that either Markov-switching or stochastic volatility, but not both, is needed to adequately fit the data. A robust conclusion is that volatility depends on the level of the short rate. Finally, the Markov-switching model is the best for forecasting. A technical contribution of this paper is a presentation of quasi-maximum likelihood estimation techniques for the Markov-switching stochastic-volatility model. Essay 2 proposes a new approach to estimating and testing nonlinear pricing models using GMM. The methodology extends the GMM based conditional mean-variance asset pricing tests of Harvey (1989) and He et al (1996) to include preferences over moments higher than variance. In particular we explore the empirical usefulness of the conditional coskewness of an assets return with the market return in explaining the cross-section of equity returns. The methodology is both flexible and parsimonious. We avoid modelling any asset specific parameters and avoid making restrictive assumptions on the dynamics of co-moments. By using GMM to estimate the models' parameters we also avoid making any assumptions about the distribution of the data. The empirical results indicate that coskewness is useful in explaining the cross-section of equity returns, and that both covariance and coskewness are time varying. We also find that the usefulness of coskewness is robust to the inclusion of Fama and French's (1993) SMB and HML factor returns. There is an interesting debate raging in the empirical asset pricing literature comparing the SDF versus beta methodologies. This paper's technique is a conditional version of the beta methodology, which turns out to be directly comparable with the SDF methodology with only minor modifications. Our SDF version imposes the CAPM's restrictions that the coefficients in the pricing kernel are known functions of the moments of market returns, which are modelled using macro-variables. We find that the SDF implied by the three-moment CAPM provides a better fit in this data set than current practice of parameterizing the coefficients on market returns in the SDF. This has an interesting application to the current SDF versus beta methodology debate. / Business, Sauder School of / Finance, Division of / Graduate

M.Comm.

Tese (doutorado) - Universidade Federal de Santa Catarina, Centro de Ciências da Educação, Programa de Pós-Graduação em Educação, Florianópolis, 2016. / Made available in DSpace on 2016-09-20T04:02:00Z (GMT). No. of bitstreams: 1 340555.pdf: 2919587 bytes, checksum: 2938d5a1d9a862c0d59d5c6a5dc98980 (MD5) Previous issue date: 2016 / Trata-se de uma pesquisa teórica a respeito do conceito de capital na obra de István Mészáros e de sua relação com as concepções políticas e educacionais elaboradas pelo filósofo húngaro. O capital é entendido como sistema específico de mediações de segunda ordem estabelecido sobre as mediações primárias do trabalho. Enquanto tal, o capital, de sua forma embrionária, como capital comercial e usurário, passa a um estágio superior quando da efetivação do capitalismo industrial, desdobra-se a partir de crises cíclicas e periódicas de superprodução de capital, altera, em razão das condições históricas, a sua forma de reprodução sociometabólica (em especial, surgem as suas formas mutantes, tais como as efetivadas nas sociedades pós-revolucionárias do século XX), até atingir uma fase de crise estrutural, a partir da década de 1970, caracterizada por aquilo que Mészáros chama de produção destrutiva. É esse novo estágio histórico que fundamenta a atualidade histórica da ofensiva socialista, proposta calcada na efetivação das mediações extrainstitucionais de luta revolucionária dos trabalhadores, a serem desenvolvidas na forma de um poder paralelo e autônomo, capaz de se fortalecer e vencer as mediações constituintes do ser do capital e efetivar a emancipação humana. A educação contribui para esse movimento na medida em que fomenta a consciência comunista em escala de massa, que significa a consciência da necessidade de superação do ser contraditório do capital e de afirmação da sociedade dos produtores livremente associados.<br> / Abstract : This is a theoretical research on the concept of capital in the work of István Mészáros and its relation to educational policies and concepts developed by the hungarian philosopher. Capital is understood as a specific system of mediations second order established on primary mediations work. As such, the capital, from its embryonic form, as commercial capital and usurer, going to a higher stage when the realization of industrial capitalism unfolds from cyclical and periodic bouts of capital overproduction, changes, due to the conditions historical, their form of social metabolic reproduction (especially arise its mutant forms, such as the effect in post-revolutionary societies of the twentieth century), reaching a phase of structural crisis since the 1970s, characterized by that that Mészáros calls destructive production. It is this new historical stage that underlies the historical actuality of the socialist offensive proposed squashed in effect the extrainstitucionais mediations of revolutionary struggle of the workers, to be developed in the form of a parallel and autonomous power, able to strengthen and win the constituents of being mediations capital and carry human emancipation. Education contributes to this movement in that it promotes the communist consciousness on a mass scale, which means the awareness of the need to overcome the contradictory being the capital and affirmation of the society of freely associated producers.

Magister Artium - MA / Social capital is a concept discussed in recent years in many debates, particularly in the development context. The objective of the study is to investigate empirically whether social capital as part of networks could promote political participation of interest groups in the policy formulation process. This thesis includes a theoretical perspective which is based on an assessment and selection of theoretical material as well as fieldwork. / South Africa

Orientador : Michel J. M. Thiollent / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Filosofia e Ciencias Humanas / O exemplar do AEL pertence a Coleção CPDS / Made available in DSpace on 2018-07-15T18:44:40Z (GMT). No. of bitstreams: 1 Laino_Andre_M.pdf: 5952232 bytes, checksum: c38d60a528f4cce747869c464998d893 (MD5) Previous issue date: 1981 / Resumo: Não informado / Abstract: Not informed / Mestrado / Mestre em Sociologia

Orientador : Luiz Gonzaga de Mello / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia, Instituto de Filosofia e Ciencias Humanas / Made available in DSpace on 2018-07-16T02:40:20Z (GMT). No. of bitstreams: 1 Kilsztajn_Samuel_M.pdf: 2975547 bytes, checksum: a962d2284edf7d1f5b3cf48da354fd92 (MD5) Previous issue date: 1978 / Resumo: Não informado / Abstract: Not informed / Mestrado / Mestre em Economia