Thesis (Post-Doctoral) -- Universität München, 2006. / Includes bibliographical references (p. [109]-119).

Thesis (Ph.D.)--York University, 2004. Graduate Programme in Economics. / Typescript. Includes bibliographical references (leaves 81-84). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://wwwlib.umi.com/cr/yorku/fullcit?pNQ99251

In recent years, practitioners and academics have become increasingly concerned that traditional discounted cash flow valuation models, such as the net present value model, are not capable of adequately capturing the value of managerial flexibilities to delay, grow, scale down, or abandon projects. The effect of ignorance of such managerial flexibilities can be potentially substantial, with the possibility of producing biased decisions. Real options analysis provides the insights that business investment projects can be conceptually compared to financial options and is therefore able to seize the value of managerial flexibilities. <br /> The purpose of this thesis is to develop a theoretical model based on option pricing theory to evaluate the managerial flexibilities arising in a variety of mergers and acquisitions, which vary in payment forms. The thesis shows how transactions can be structured as a real exchange options, given the share price of each participating firm is subject to a specified degree of uncertainty. The takeover decisions of bidder or target, i.e., the takeover threshold to bid or to accept the bid, is obtained through the analysis. In addition, the thesis provides valuable theoretical insights into the following aspects: <br /> <ul> <li>The impact of the form of payment on the decision making process for each participant and corresponding merger terms</li> <li>The payment form that minimizes the threshold to trigger a transaction</li> <li>The allocating rule of mergers and acquisitions synergy when payment form threshold is employed </li> </ul> <br /> In the latter part of thesis, an empirical study is conducted on mergers and acquisitions completed by US public bidders between January 1985 and April 2004 excluding all financial institutions deals. Strong support is found from the data that some of the target firm characteristics such as expected growth rate and volatility are significant in explaining the payment form choices.

Large complex construction projects such as building an interstate highway, a dam, a chemical plant, an off-shore oil rig and a waste-to-energy plant often include unpredictable geological conditions, labor supplies, material deliveries, and weather that cause uncertainty. Effective and efficient acquisition and construction require the proactive management of these and other uncertainties to meet performance, schedule, and cost targets. Flexibility in the form of real options can be an effective tool for managing uncertainty and thereby adding value to construction projects. But flexibility can be expensive to obtain, maintain, and implement. Real options theory suggests a general approach and has developed precise valuation models. But these models of simplified real options (compared to managerial practice) have failed to significantly improve practice, partially because of a lack of knowledge of real options use by practicing managers. In contrast, the majority of managerial real options applications are identified, designed, valued, and implemented tacitly by construction managers. Understanding current practice and its similarities and differences with theory is critical for developing operational real options theories that can improve construction practice. Few descriptions of managerial real options practice exist as a basis for improvement. To address this need the current research has experiment subjects manage a simple but uncertain installation project with managerial flexibility. Subjects repeatedly value an option to avoid a slow and expensive system integration failure. Real options theory is used to explain their behaviors by customizing the model of uncertainty to reflect themanagement context. To further analyze managerial real options practice, a system dynamics simulation model of the experimental installation project is developed. Policies for using flexibility to manage uncertainty that are applied by subjects are modeled and performances are simulated across a range of uncertain conditions to evaluate and compare policy effectiveness. All 21 subjects that participated in the research perceived flexibility as an effective tool in managing uncertain projects. But they are not aware of the factors that impact flexibility value. They correctly identified the relationship of some factors with flexibility value but not all of them and not the magnitude of impaction. Further research and development needs for expanding real options theory into the operational management of construction are discussed based on experiment and simulation results.

Thesis (Ph. D.)--University of Massachusetts Amherst, 2009. / Open access. Includes bibliographical references (p. 208-221). Print copy also available.

Thesis (Ph.D.)--Kent State University, 2008. / Title from PDF t.p. (viewed March 3, 2010). Advisor: Mark Holder. Keywords: diversification; diversification discount; value measurement; real options. Includes bibliographical references (p. 84-89).

Thesis (M. Sc.)--University of Hong Kong, 2002. / Includes bibliographical references (leaves 44-51).

This dissertation contains three chapters in financial economics that theoretically and empirically examine how individuals' investment decisions explain aggregate behavior. The first chapter examines how reputational herding between fund managers depends on the fee structure, fund manager evaluation metric, market efficiency, and density of talented fund managers. Results show there are more equilibria involving herding between fund managers when net fund balance growth depends on reputation of talent rather than fund return. These inefficient equilibria are removed when the ratio of the performance fee rate to management fee rate is larger than calculated thresholds that depend on market efficiency and the density of talented fund managers. In the absence of performance fees, lower predictability of investment returns and a higher density of talented fund managers increase the desire for fund managers to deviate from efficient equilibria. The model also shows having fund managers compete against each other induces herding when net fund balance growth depends on fund returns, but removes herding equilibria when net fund balance growth depends on reputation of talent. The second chapter determines what herding networks exist between institutional investors and how herding depends on stock market volatility, degree of portfolio changes, and stock size. Using quarterly holding data from 2000-2010, I find stronger herding networks between similar types of institutions compared to institutions in the same metropolitan area. Furthermore, the herding network between similar types of institutions exists across metropolitan areas. Results show institutions herd more when making major portfolio changes than when making minor portfolio changes. The difference in herding between the two types of portfolio changes is greatest for small cap stocks which exhibit the highest levels of herding under both types of portfolio changes. The relationship between market volatility and herding by institutions is also examined and found not to have a strong correlation using quarterly holdings data. The third chapter answers the question, "Can reasonable wind energy plant cost reductions or efficiency improvements precipitate immediate investment in wind energy in the absence of renewable energy Production Tax Credits?" I analyze a single entity considering an irreversible investment under uncertainty in wind power energy. The investor's decision to invest is dependent on investment cost, energy production efficiency, government policy, current price of electricity, and beliefs on future electricity prices. The results show that even with substantial cost reductions and efficiency improvements, Production Tax Credits are still needed to encourage immediate investment. / text

The valuation of real options has been of interest for some time. Recently, the model has been revised to include more than one source of randomness, e.g. Paxson and Pinto (2005). In this dissertation, we present a model with more than one diffusion process to analyze strategic interaction in a duopolistic framework. We consider a complete market where the profit per unit and the number of units sold are assumed to evolve according to distinct, but possibly correlated, geometric Brownian motions, and aim to extend Paxson and Pinto’s research to a wider context by adjusting the model to include the effect of the covariance between the stochastic factors. In particular, we present results in both the pre-emptive and non pre-emptive equilibrium case pertaining to the follower’s and leader’s value function. We also investigate the consequences for the model in relation to traditional net present value theory, and include an analysis of the comparative static relationships that exist between the parameters. We then conclude with a chapter that extends our two-variable model to three sources of randomness - first by allowing the investment cost to be modelled as a random once-off payment, and then by considering it to be a stochastically variable ongoing cost. Keywords Real options, complete markets, more than one stochastic process, competitive games, duopoly. / Thesis (M.Sc.)-University of KwaZulu-Natal, Westville, 2009.

Dissertation (Ph.D.)--Auburn University, 2007. / Abstract. Vita. Includes bibliographic references (p.128-134).