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Thesis (M.S.)--University of Alberta, 2009. / "Fall 2009." At head of title: University of Alberta. "A thesis submitted to the Faculty of Graduate Studies and Research in partial fulfillment of the requirements for the degree of Master of Science in mathematical finance-- thesis based, Dept. of Mathematical and Statistical Science." Title from pdf file main screen (viewed on July 15, 2009).

This thesis will be concerned with investigating the empirical characteristics of stock returns, forUKfirms which are distinguished by market value. The primary aimof thisworkis to identify whether there are differences between the behaviour of large and small firm retums. A substantial amount of attention has recently focused upon how firm size influences the behaviour of stock returns in US markets, but, the role that firm size might have in determining the behaviour of stock returns in UK markets has received very little attention. The aim of this thesis is to redress this imbalance. The first part of this study will be concerned with showing that the returns of small firms are more predictable than the returns of large firms. The second part of this study will show that the relationship between risk and return depends on firm size. The third and final part of this thesis will show that not only are the mean returns of large and small firms different but that there are also important differences in the conditional variances of large and small firms. In all three parts of this thesis, important differences between the behaviour of large and small firm returns are documented for the first time.

One of the key steps of the liberalization of the Turkish electricity market has been the estab- lishment of PMUM (Turkish day ahead electricity market). The aim of this study is to explore the dynamics of electricity prices observed in this market and their relation with temperature observed in Turkey. The electricity price process is studied as a univariate process and the same process is studied along with temperature together as a two-dimensional process. We give a fairly complete model of temperature. We observe that the electricity prices in Turkey exhibit many of the features that similar prices exhibit in other world markets. In particular, Turkish day ahead prices are seasonal / every year the price seems to follow a path similar to the one years preceding it. To simplify our analysis we focus our study to a 35 day pe- riod where every year the prices show a relatively simple behavior. We study the effects of the fluctuations in temperature in this period on the fluctutations in the day ahead electricity price.

<p>The thesis has as purpose to describe and analyse a decision made be the Swedish tax committee in which it was decided that a cooperative economical associations selling price, which was less than the comparable public bonds market price, would be the focus of a withdrawal tax. There are exceptions from a withdrawal tax, that is if the transaction has a business motivation. However the concept, business motivation, is narrowly interpreted both in the preparatory works and in case law, which makes it irrelevant to the situation at hand. A cooperative economical association is a form of association nearest akin to the limited companies. These types of associations have as purpose to increase their owners wealth with the benefit of freedom from personal responsibility. The work concludes that the purpose and meaning of a withdrawal tax is necessary to secure a consistent legality and neutrality between persons conduction business and persons who do not. However, there is one part of the subject matter that seems to be unreasonable. This thesis will show that the market price taken from the public bond market, is not a legal, neutral or comparable price to estimate the full width of a withdrawal tax.</p>

The thesis has as purpose to describe and analyse a decision made be the Swedish tax committee in which it was decided that a cooperative economical associations selling price, which was less than the comparable public bonds market price, would be the focus of a withdrawal tax. There are exceptions from a withdrawal tax, that is if the transaction has a business motivation. However the concept, business motivation, is narrowly interpreted both in the preparatory works and in case law, which makes it irrelevant to the situation at hand. A cooperative economical association is a form of association nearest akin to the limited companies. These types of associations have as purpose to increase their owners wealth with the benefit of freedom from personal responsibility. The work concludes that the purpose and meaning of a withdrawal tax is necessary to secure a consistent legality and neutrality between persons conduction business and persons who do not. However, there is one part of the subject matter that seems to be unreasonable. This thesis will show that the market price taken from the public bond market, is not a legal, neutral or comparable price to estimate the full width of a withdrawal tax.

This thesis consists of an introductory chapter and four papers, which relate to environmental policy in the presence of transboundary environmental damage. Paper [I] concerns public policy in a multi-jurisdiction framework with transboundary environmental damage. Each jurisdiction is assumed large in the sense that its government is able to infuence the world-market producer price of the externality-generating good. This gives rise to additional incentives of relevance for national public policy in the non-cooperative Nash equilibrium. With the uncoordinated equilibrium as the reference case, the welfare effects from coordinated changes in public policy variables are analyzed. Paper [II] analyses welfare effects of coordinated changes in environmental and capital taxation in the presence of transboundary environmental externalities and wage bargaining externalities. In the wage bargaining between frms and labor unions, firms use the threat of moving abroad to moderate wage claims, which means that domestic policy infuences wage formation abroad. The specific framework implies welfare effects of policy coordination that correspond to each of the respective international interaction mentioned above. In paper [III], national governments face political pressure from environmental and industrial lobby groups, while pollution taxes are determined in an international negotiation. It is shown that a general increase in the environmental concern and the weight the governments attach to social welfare both tend to increase the pollution tax. However, allowing for asymmetries between the countries means that a general increase in the environmental concern has the potential to reduce the pollution tax. Paper [IV] studies national environmental policies in an economic federation characterized by decentralized leadership. The federal government sets emission targets for each member country, which are implemented by the national governments. Although all national governments have commitment power vis-à-vis the federal government, one of them also has commitment power vis-à-vis the other member countries. This creates incentives to act strategically toward the federal government, as well as toward other members.

Abstract This thesis is a descriptive empirical research about the connection between architectonic quality and housing prices. The architectonic quality is defined in this research through the institutional concept of quality as it is understood inside the profession of architecture, which defines what is regarded as good architecture and which factors connected to designers can generate architectonic quality. By analyzing debt-free market prices of apartments, it is studied how well the institutional concept of quality corresponds to consumers’ appreciation. The research uses hedonic price models as a research method, which is a commonly used method for analyzing housing prices in the field of economics. The empirical data of the research consists of the apartment buildings located in the southern downtown area of Helsinki and the real estate transactions in them during the years 1980–2008. The factors of the architectonic quality in this data are collected and developed especially for this research. The main research question is: Is there a connection between the factors of architectonic quality and housing prices? More precise sub-questions are: Are education, experience, or merits of the building designer relevant factors of housing prices? Are the architectonic style or architectonic appreciation of the building relevant factors of housing prices? In addition, it is studied if there is a correlation between the architectonic view and housing prices, which would indicate that the architectonic quality causes also economic externalities. The result of the research is that the studied factors of the architectonic quality and housing prices are connected. The education, experience and merits of the building designer are all factors which are perceived to increase apartment prices. It was also revealed that the architectonic style and the architectonic appreciation of the building correlate with the housing prices. Moreover, a clear price premium related to architectonic view can be found in the analysis. However, all the factors employed do not give unambiguous results, which gives reason to study the differences of used factors and raises further research questions. / Tiivistelmä Tämä väitöstutkimus on kuvaileva empiirinen tutkimus arkkitehtonisen laadun yhteydestä asuntojen hintoihin. Arkkitehtoninen laatu määrittyy tutkimuksessa institutionaalisen laatukäsityksen kautta arkkitehtuurin alan sisäisenä näkemyksenä siitä, mitä pidetään hyvänä arkkitehtuurina ja mitkä rakennusten suunnittelijoihin liitetyt tekijät voivat edesauttaa arkkitehtonisen laadun syntymistä. Analysoimalla asuntojen velattomia myyntihintoja selvitetään, miten hyvin tutkimuksessa määritelty arkkitehtuurin institutionaalinen laatukäsitys vastaa kuluttajien arvostusta. Analyysimenetelmänä käytetään hedonista regressiomallinnusta, joka on taloustieteissä yleinen asuntojen hintojen tutkimisessa käytetty menetelmä. Empiirinen aineisto tutkimuksessa koostuu Helsingin eteläisen kantakaupungin alueen rakennuksista sekä niissä käydyistä asuntokaupoista vuosina 1980–2008. Aineiston arkkitehtonisen laadun muuttujat ovat tätä tutkimusta varten kehitettyjä ja kerättyjä. Päätutkimuskysymys on, onko arkkitehtonista laatua mittaavilla muuttujilla yhteys asuntojen hintoihin. Tarkentavia apukysymyksiä ovat seuraavat: Onko rakennussuunnittelijan koulutuksella, kokemuksella ja ansioituneisuudella merkitystä asuntojen hintatekijöinä? Onko rakennuksen arkkitehtonisella tyylillä tai arkkitehtonisella arvostuksella merkitystä asuntojen hintatekijöinä. Lisäksi tutkitaan, onko arkkitehtoniselle näkymälle löydettävissä asuntojen hinnoissa ilmenevä korrelaatio, joka indikoisi sitä, että arkkitehtonisella laadulla on myös taloudellisia ulkoisvaikutuksia. Tutkimuksen tulokseksi saadaan, että tutkituilla arkkitehtonisen laadun muuttujilla on havaittava yhteys asuntojen hintoihin. Sekä rakennussuunnittelijan koulutukseen, kokemukseen että ansioituneisuuteen liitettyjen muuttujien havaitaan tutkimuksessa olevan asuntojen hintaa nostavia tekijöitä. Myös rakennuksen arkkitehtoninen tyyli ja arkkitehtoninen arvostus osoittavat selkeän yhteyden asuntojen hintoihin. Niin ikään arkkitehtoniselle näkymälle löydetään suoritetuissa analyyseissä selkeä asuntojen hinnoissa havaittava preemio eli hintaero. Kaikki tutkitut mittarit eivät kuitenkaan anna täysin yksiselitteisiä tuloksia, mikä antaa aihetta tarkastella käytettyjen mittareiden eroavaisuuksia ja synnyttää jatkotutkimuskysymyksiä.