none

Decisions such as saving, investing, policymaking, have consequences in multiple time periods and are called intertemporal. These choices require decision-makers to trade-off costs and benefits at different points in time. Time preference is the preference for immediate gratification or utility over delayed gratification. The discount rate is a tool used to measure this psychological phenomenon. This thesis considers the problem of an individual maximizing his utility from consumption and final wealth when his discount rate is not constant. The question we answer is the following: if we allow the individual to update his decisions, will he stick to his original strategy or will he switch? We show that there are cases in which the individual's strategy keeps changing thus his behaviour becomes time inconsistent. In Chapter 1, we introduce two notions to solve this inconsistency problem: The agent can pre commit i.e. he does not change his original optimal strategy. The agent can also plan for his future changes of strategy and adopt time consistent strategies also known as subgame perfect strategies. We also review the existing literature on time discounting and time consistency. Chapter 2 considers the time consistency in the expected utility maximization problem. The risk preference is of the Constant Relative Risk Aversion (CRRA) type, the time preference is specified by a non constant discount rate and we allow the volatility of the stock price to be stochastic. We show that the determination of one quantity: the utility weighted discount rate completely characterizes the individual's subgame perfect strategies. Chapter 3 is about equilibrium pricing in a model populated by several economic agents in a complete financial market. These agents are investing, saving and consuming and want to maximize their expected utility of consumption and final wealth. We allow the economic agents to differ in their risk preferences, beliefs about the future of the economy and in their time preferences (non constant discount rates). Since the optimal strategies are time inconsistent, the equilibrium is computed by using the time 0 optimal ( precommitment) strategies for the market clearing conditions. Chapter 4 considers the same model as chapter 2. We solve the equilibrium problem when time consistent strategies are used for the market clearing conditions. We limit the study to two economic agents. The subgame perfect equilibrium is compared to the optimal equilibrium of Chapter 3. / Thesis / Doctor of Philosophy (PhD)

This dissertation focuses on models for company (equity) valuation. Company valuation has many interacting components. Essay 1, On the Fundamentals of Company Valuation, discusses the different roles of these components and shows how their interaction can be captured in a valuation framework. Essay 2, Looking Beyond the Horizon, is devoted to problems connected with horizon (terminal) value estimations. Essay 3, Company Valuation with a Periodically Adjusted Cost of Capital, shows how the cost of equity and the weighted average cost of capital can be simultaneously adjusted to reflect varying capital structures. The main contribution of Essay 4, On the General Equivalence of Company Valuation Models, is the specification of a company valuation framework that ensures that the free cash flow, dividend, abnormal earnings, economic value added and adjusted present value models are all equivalent. One characteristic of the framework is that it explicitly links the specification of discount rates to the anticipated future development of the company. Moreover, the results highlight the reasons for why the different models can produce different value estimates in practical applications. / Diss. Stockholm : Handelshögsk.

This thesis deals with accounting-based equity valuation models. The first study contrasts the performance of three commonly used valuation models, using a large sample of analysts’ forecasts of the elements valued by these models (free cash flow, dividends and abnormal earnings/residual income). The second study investigates empirically whether discount rate estimation is a first-order effect in equity valuation. The third and fourth studies focus on developing routines for implementation of multi-period valuation models, including the critical issue of terminal value estimation. The thesis shows how model choice is a critical issue, given standard implementation of the valuation models (Study 1); how standard models for discount rate estimation are of little or no use practically (Study 2); how one can implement a multi-period valuation framework such that everything is internally consistent, and how this leads to several desirable features, such as model equivalency (Studies 3 and 4). The thesis is valuable to readers interested in accounting-based equity valuation who wish to understand, to distinguish among, and to appropriately implement valuation techniques. / Diss. Stockholm : Handelshögsk.

Economics

I och med införandet av IFRS år 2005 måste noterade koncernföretag numera årligen nedskrivningspröva goodwill istället för att göra avskrivningar, vilket tidigare varit tillåtet. De antaganden som ligger till grund för nedskrivningsprövningen baseras på företagsledningars uppskattningar av framtiden, vilket kan leda till subjektiva bedömningar. När IFRS infördes befann sig Sverige i en högkonjunktur, fram tills år 2008 då den globala finanskrisen uppstod och därav efterföljande lågkonjunktur. Då tidigare studier har visat att en finanskris kan leda till att företag behöver göra nedskrivningar på både finansiella och icke-finansiella tillgångar, vill författarna undersöka om finanskrisen 2008 påverkade företagens nedskrivningar av goodwill. Eftersom det finns skillnader mellan industribranschen och IT- och telekombranschen när det gäller redovisning av goodwill är det intressant att jämföra dessa branscher med varandra.Syftet med studien är att undersöka hur den senaste finanskrisen år 2008 påverkade företagens nedskrivningar av goodwill och antagandena vid nedskrivningsprövning, samt i vilken omfattning företag upplyste om nedskrivningarna före och efter finanskrisen för att se om det finns några signifikanta skillnader mellan industribranschen och IT- och telekombranschen. De företag som har ingått i undersökningen är företag som är noterade på Stockholmsbörsen. Genom en kvantitativ studie har författarna valt att granska årsredovisningar från 15 företag inom industribranschen och 15 företag inom IT- och telekombranschen för åren 2006, 2007, 2009 och 2010. Författarna har som forskningsmetod valt att använda sig av en kvantitativ innehållanalys samt utfört statistiska beräkningar. De parametrar som undersökts är upplysningar om goodwill, totala nedskrivningar, diskonteringsräntor, tillväxttakt och kassagenererande enheter.Det var endast en av studiens hypoteser som stämde och det var att diskonteringsräntorna före jämfört med efter finanskrisen skiljde sig signifikant mellan de två undersökta branscherna. En annan skillnad som var signifikant var industriföretagens totala nedskrivningar före och efter finanskrisen, där den branschens totala nedskrivningar ökade mellan de undersökta perioderna. Den genomsnittliga diskonteringsräntan inom IT- och telekombranschen ökade mellan de undersökta perioderna, vilket också konstaterades vara signifikant. Vidare visade studien att industribranschen redovisade mer omfattande upplysningar om goodwillnedskrivningar efter finanskrisen jämfört med perioden innan, till skillnad från IT-och telekombranschen som redovisade upplysningar om goodwillnedskrivningar i mindre omfattning efter finanskrisen. / IFRS 3 has had a big impact on how listed companies treat the recognition of goodwill. The underlying assumptions of the impairment tests are based on management’s estimates of the future, which could lead to subjective evaluations. When IFRS was introduced in 2005 Sweden was in a boom period, up until 2008 when the global financial crisis emerged and hence subsequent recession. A financial crisis may lead to the needs to make write-downs on both financial and non-financial assets. Therefore the authors want to examine in what way the financial crisis in 2008 affected companies' goodwill impairments. Since there are differences between the industrial sector and the IT and telecommunications sector in terms of accounting for goodwill, it is interesting to compare these sectors to examine if there are any significant differences.The purpose of the study is to examine how the recent financial crisis in 2008 affected companies' impairments of goodwill and assumptions in impairment testing, as well as the extent to which businesses disclosed about the impairment losses before and after the financial crisis to see if there are any significant differences between the industrial sector and the IT and telecommunications sector. The companies that are included in the study are companies that are listed on the Stockholm Stock Exchange. With a quantitative method, the authors have chosen to examine the annual reports of 15 companies in the industrial sector and 15 companies in the IT and telecommunications sector from the years 2006, 2007, 2009 and 2010. The authors have chosen as methods for the research a quantitative content analysis and performed statistical calculations. The parameters studied include disclosure on goodwill, total impairment losses, discount rates, growth rates and cash-generating units.It was only one of the study’s hypotheses that was correct. This hypothesis dealt with the discount rates before and after the financial crisis, were the study showed a significant difference between the IT and telecommunications sector and the industrial sector before the financial crisis compared to the period after the financial crisis. Another difference that was significant was the industrial sectors total impairment losses before and after the financial crisis, were the sector’s total impairment losses increased between the examined periods. The average discount rate in the IT and telecommunications sector increased between the examined periods and this difference was also considered to be significant. Furthermore, the study showed that the industrial sector had more extensive disclosure on goodwill impairments after the financial crisis compared with the previous period, unlike the IT and telecommunications sector that disclosed about goodwill impairments to a lesser extent after the financial crisis.This thesis is written in Swedish.

Made available in DSpace on 2016-04-26T20:48:54Z (GMT). No. of bitstreams: 1 Edi Carlos Martins dos Santos.pdf: 2441010 bytes, checksum: a8b22a8372a512ed57f3ea07b0ff445d (MD5) Previous issue date: 2009-05-05 / The economic damages caused by the global warming are used expressed in a percentage loss of the gross domestic product or as a ratio of world output or even by the absolute value of certain monetary units. Generally, no much attention is given to the estimation methodology or calculation process itself. More detailed analysis of this process (damage valuation) shows that a lot of factors can contribute to the increase or decrease of the economic amount damage: externalities which are not included in the calculation, simplification, extrapolation, per capita income correction (in the form of equity weighting), and choice of discounting rates. The aim of this work is to do a review of that estimation methodology, pointing out the way, sequence, key parameters and procedures that have influence over the total amount of the economic damage, caused by the global warming / Os danos econômicos causados pelo aquecimento global costumam ser expressos na forma de uma perda percentual do produto nacional ou mundial ou ainda pelo valor absoluto de certo valor de unidades monetárias. Em geral, não é dada muita atenção ao processo ou método de estimação do cálculo em si. Uma análise mais detalhada desse processo (valuation do dano) mostra que vários fatores podem contribuir para aumentar ou diminuir o montante econômico do dano: a não captura de várias externalidades, simplificações, extrapolações, correções por meio da renda per capita (ponderação ou pesos de igualdade) e por meio da escolha das taxas de desconto. O objetivo desse trabalho é fazer uma revisão dessa metodologia de cálculo, evidenciando a forma, a seqüência, os parâmetros e os procedimentos fundamentais que têm influência sobre montante total do dano econômico, causado pelo aquecimento global

A simple integrated assessment framework that gives rules for the optimal carbon price, transition to the carbon-free era and stranded carbon assets is presented, which highlights the ethical, economic, geophysical and political drivers of optimal climate policy. For the ethics we discuss the role of intergenerational inequality aversion and the discount rate, where we show the importance of lower discount rates for appraisal of longer run benefit and of policy makers using lower discount rates than private agents. The economics depends on the costs and rates of technical progress in production of fossil fuel, its substitute renewable energies and sequestration. The geophysics depends on the permanent and transient components of atmospheric carbon and the relatively fast temperature response, and we allow for positive feedbacks. The politics stems from international free-rider problems in absence of a global climate deal. We show how results change if different assumptions are made about each of the drivers of climate policy. Our main objective is to offer an easy back-on-the-envelope analysis, which can be used for teaching and communication with policy makers. / Series: Ecological Economic Papers

With the election of President Trump, climate deniers feel emboldened and moved from the fringes to the centre of global policy making. We study how an agnostic approach to policy, based on Pascal's wager and allowing for subjective prior probability beliefs about whether climate deniers are right, prices carbon. Using the DICE integrated assessment model, we find that assigning a 10% chance of climate deniers being correct lowers the global price on carbon in 2020 only marginally: from $21 to $19 per ton of carbon dioxide if policymakers apply "Nordhaus discounting" and from $91 to $84 per ton of carbon dioxide if they apply "Stern discounting". Agnostics' reflection of remaining scientific uncertainty leaves climate policy essentially unchanged. The robustness of an ambitious climate policy also follows from using the max-min or the min-max regret principle. Letting the coefficient of relative ambiguity aversion vary from zero, corresponding to expected utility analysis, to infinity, corresponding to the max-min principle, we show how policy makers deal with fundamental climate model uncertainty if they are prepared to assign prior probabilities to different views of the world being correct. Allowing for an ethical discount rate and a higher market discount rate and for a wide range of sensitivity exercises including damage uncertainty, we show that pricing carbon is the robust response under rising climate scepticism. / Series: Ecological Economic Papers

A simple integrated assessment framework that gives rules for the optimal carbon price, transition to the carbon-free era and stranded carbon assets is presented, which highlights the ethical, economic, geophysical and political drivers of optimal climate policy. For the ethics we discuss the role of intergenerational inequality aversion and the discount rate, where we show the importance of lower discount rates for appraisal of longer run benefit and of policy makers using lower discount rates than private agents. The economics depends on the costs and rates of technical progress in production of fossil fuel, its substitute renewable energies and sequestration. The geophysics depends on the permanent and transient components of atmospheric carbon and the relatively fast temperature response, and we allow for positive feedbacks. The politics stems from international free-rider problems in absence of a global climate deal. We show how results change if different assumptions are made about each of the drivers of climate policy. Our main objective is to offer an easy back-on-the-envelope analysis, which can be used for teaching and communication with policy makers.