This dissertation empirically examines refunding decisions employed by issuers of tax-exempt bonds. Callable bonds contain embedded call options by virtue of provisions in bond indentures that permit the issuing firm to buy back the bond at a predetermined strike price. Such an embedded American call option has two components to its value, the intrinsic value and the time value. The issuer can realize at least as much as the intrinsic value by exercising immediately, when the option is in-the-money. Usually it is optimal for the holder of an in-the money American option to wait rather than exercise immediately, because the option has time value. It is rational for the holder to exercise the option when the total value of the option is no more than the intrinsic value. Option pricing theory can be used to identify two sub-optimal refunding strategies: those that refund too early, and those that refund too late. In such cases the holder incurs losses. I analyze the refunding decisions for two different samples of tax-exempt bonds issued between 1986 and 1993: the first consists of 2,620 bonds that are called, and the second contains 23,976 bonds that are never called. The generalized Vasicek (1977) model in the Heath, Jarrow, and Morton (1992) framework is used to construct binomial trees for interest rates, bond prices, and call option prices. The option pricing lattice is then used to compute the loss in value from sub-optimal refunding strategies, refunding efficiency, and months from optimal time for bonds in these two samples. Results suggest that sub-optimal refunding decisions cause losses to the issuers, which are present across bond and issuer characteristics. For the pooled sample of 26,596 bonds, the loss in value from sub-optimal refunding decisions totaled $7.2 billion, amounting to a loss of about 1.75% of total principal amount. Results indicate that issuers either wait too long to refund or never refund and cannot realize the present value saving of switching a high coupon bond with a low coupon bond, over a longer period of time. These results critically depend on the assumptions of underlying term structure model and are sensitive to model calibrated parameter values. / Ph. D.

This study examined advanced refundings of Indiana school construction bonds from 1993 to 1996. Purposes were to: (a) add to the professional knowledge base about advanced refundings; (b) evaluate the financial consequences on taxpayers; (c) determine benefits as measured by interest rates, terms, and payment amounts; (d) determine whether selected financial conditions and demographic variables impacted refunding outcomes.The population was all instances of advanced refundings by Indiana public school districts in the period studied. Data were collected from the bond transcripts prepared by legal counsels and placed in tabulation forms developed for the project.Primary findings included:(a) Three quarters of the refunding occurred in the first 10 years of the paymentstream; 27% occurred in the first four years.(b) As the size of the issue increased, the cost (as a percentage of the issue)decreased.(c) Mean decrease in interest rate for the refizndings was .023915 or 239 basis points.(d) Net fiscal impact was generally positive, with a mean savings of $224,218. (e) A negative correlation existed between district wealth and annual paymentamount (i.e., districts with high assessed valuations had smaller changes inannual payments).(f) A positive correlation existed between interest rate change and refunding amount (i.e., large issues were more sensitive to slight changes in interest rates).Selected conclusions included:(a) The benefits of refunding diminished with time (i.e., greatest benefits are likely in the first quarter of the payment stream).(b) Some refundings occurred when the decline in basis points was below a standard level used for municipal bonds; this suggests that school officials may engage in refundings for reasons that extend beyond savings (e.g., political benefits).(c) An economy of scale between refunding size and costs supports existing research.(d) Costs for local school district counsel varied considerably, suggesting that no compensation standard was used.(e) Wealthier districts were less interested in lowering annual payments; their pursuit of refunding may have been motivated by flexibility (i.e., shortening the debt life, accessing fiscal resources).(f) Districts with large bond issues benefited from refunding even when the declines in interest rates were slight.Eight recommendations were formalized. / Department of Educational Leadership

A very controversial issue that assumes increasing importance in the national scenario is related to the well area known as Refunding Request for Damages. This subject, amongst other aspects, aims at providing means to support the necessary answer to the consumers when a equipment damage is claimed due to a occurrence in the electrical network. With this in mind, the main idea consists in establishing a correct relationship between power system distribution or transmission phenomena with a given required demand for refunding. In this way, the conventional procedures actually in practice are quite empirical and the search for computational means to provide the required answer appears as an attractive scientific and technique base approach. Using this approach it is believed that a more consistent and impartial method would be of great help to accomplish the focused matter. Within this context, this dissertation aims to contribute in two specific topics: the first is associated to a methodology to cope with the equipment time of use and its insertion in the so called APR software. The second target goes towards the investigation of 25 cases of real refunding requests occurred at the Centrais Eletricas Matogrossenses CEMAT so as to provide a first step towards the validation procedure of the overall procedures. / Uma questão bastante controversa e que assume crescente importância no cenário nacional corresponde aos assuntos contemplados dentro da sigla PID (Pedidos de Indenização por Danos). Esta área, dentre outros aspectos, tem por objetivo oferecer respostas para as mais distintas solicitações de indenização por danos ocorridos em equipamentos instalados junto aos consumidores residenciais, comerciais e industriais. Com este foco, o tema em pauta tem por função primordial correlacionar eventuais danos em equipamentos com ocorrências manifestadas nas redes elétricas, emitindo, assim, um parecer final sobre o nexo causal entre os fenômenos e seus efeitos. Neste contexto, os procedimentos atuais seguem uma linha bastante empírica e, a busca por meios computacionais, fundamentados nos princípios da ciência e tecnologia, surge como uma alternativa importante, consistente e imparcial para a busca das almejadas respostas. É pois dentro deste cenário que encontra-se inserida a presente dissertação, a qual, somado a outras questões, contribui em duas direções: a primeira voltada para a proposição e incorporação, num programa já desenvolvido (APR), dos efeitos associados com o tempo de uso dos equipamentos, e a segunda encontra-se direcionada para a realização de estudos investigativos visando a validação do software. Esta última contribuição encontra-se alicerçada em 25 (vinte e cinco) casos reais de pedidos de ressarcimento ocorridos no âmbito do sistema de distribuição da concessionária Centrais Elétricas Matogrossenses S.A CEMAT e na correlação entre os indicativos do programa e as ações tomadas pela empresa. / Mestre em Ciências