During the last two decades there has been an explosion in the number of complex financial instruments that are traded on the financial markets. Naturally, being able to value the increasing number of traded complex financial instruments has an academic interest. Such valuation methods are, however, certainly not only of interest to academics. For agents on the financial markets, it is of crucial importance to be able to assess the value of new exotic securities. This is equally true for financial services firms that construct and promote the instruments, borrowers that sell the products for the financing of their activities and investors that buy the products. Many new financial instruments have attributes that make Contingent Claims Analysis (CCA) superior to other currently known valuation methods. CCA is a technique for determining the price of an asset whose payoffs depend upon the evolution of one or more underlying state variables. One problem that often arises when this framework is used is that it is not possible to find a closed-form solution for the price. Numerical methods must therefore be relied on. Furthermore, in many cases and especially in cases where there is more than one underlying state variable, which many complex financial instruments require for accurate valuation, numerical methods become computationally laborious. Hence, research concerning and development of efficient numerical methods that can be used in the CCA context is important. This dissertation consists of four different papers (papers A to D). Paper A provides discussion of the process of financial innovation. A lengthy appendix is attached to paper A. In this appendix, more thn 100 more or less complex financial instruments are described briefly. Papers B to D have a common theme, which is valuation of complex financial instruments with the help of CCA and numerical methods. The research task of paper B is to answer a question that has unclear status in academic literature. The question is "How do errors (or different modelling choices) in boundary conditions affect solutions when the implicit finite difference method is used?". In papers C and D, numerical methods which can be used to price financial instruments with several underlying state variables are developed and tested. The methods in paper C are finite difference methods, and the method in paper D is a lattice (or tree) approach. / Diss. Stockholm : Handelshögsk.

Säg "företag" och man tänker på någon som tillverkar och säljer varor eller tjänster.Den här boken befattar sig inte med det. Avhandlingen tar istället sikte på företaget som investeringsobjekt. Den undersöker hur investerare och aktieanalytiker tillsammans skapar objektet. Och den visar hur synen på företaget som just ett investeringsobjekt griper allt vidare omkring sig. Hur bär sig placerarna och analytikerna åt när de konstruerar "sitt" investeringsobjekt?Det är precis vad studien söker blottlägga. Ett ramverk konstrueras som hjälper oss att se och förstå hur aktörerna bygger sin analys. Vi ser att den bygger på förutsägelser, information, och kommunikation mellan placerare och analytiker. Vi ser vad som krävs för att investeringsobjektet ska bli verklighet. Företaget som investeringsobjekt tar sin teoretiska utgångspunkt i gränslandet mellan organisationspsykologi, vetenskapssociologi och företagsekonomi. / Diss. Stockholm : Handelshögsk., 2001

This dissertation consists of five papers with different objectives. The overall objective is to improve knowledge of effective policies regarding socially deprived large housing estates. All studies deal with the real estate context from a housing company decision-making perspective. The first two papers focus on organisational issues and the following three papers deal with economic issues related to the development of a specific housing area. The research is based on case studies which involve specific methodologies such as interviews, direct observation and collecting data from company accounts. The main message of this thesis is that landlord policies and resources spent on operation and maintenance contribute to local area development. It is also underlined that there is a need for a paradigm shift in Swedish housing, since the regulatory framework appeared to be inadequate. The experience from this study shows that many problems can be solved within the existing laws and through efficient customised property management, but landlords need more effective incentives to improve their policies further. The first two papers address issues about how to organise local management resources in large housing estates. Three different functions were identified: customer service, (e.g. fault-reporting); the letting process; and caretaking (day-to-day management and control over indoor and outdoor areas). The models where more decisions are decentralised lead to better information about the local conditions, make it easier to coordinate work in an area, create more motivation for the staff and make it easier to involve the tenants. This was particularly valuable for socially deprived estates, but the decentralised model raised some moral hazard problems, e.g. the local team create their own agenda, are pressured by certain tenants to give them advantages and that the result is lack of control and consistent housing policy in the company. The third paper deals with Corporate Social Responsibility (CSR) in housing management. Different types of costs are identified and related to the estates’ social condition. The results indicate that a CSR-based management policy leads to approximately 4.5 percent lower annual operation and maintenance costs which improved the company’s profitability, especially if the higher standard of maintenance, made higher rents possible. The study also identified three other benefits of CSR; improved tenant relationship, goodwill and business opportunities and the study is a first step towards a better understanding of the economic consequences of CSR in a real estate-context. The fourth paper analyses the return of the Swedish slumlords, with a focus on a specific area in Malmö. The tenants stayed even though the rent was higher and the quality was lower than in neighbouring areas because of a combination of three factors; rents were paid by different forms of welfare payment, lack of alternatives because of queues to other areas and because some tenants saw an advantage in the “no questions” asked policy that the slumlord followed. It is further argued that the property owners found this slum strategy as profitable either because they hoped to find a “bigger fool” to sell to or because the decision makers in the company had not invested their own money. The study concludes that both tenants and investors were in the end losers, but not the company managers.The fifth paper is an economic evaluation of renovation in socially deprived housing estates. The empirical data indicates that it is profitable to use a clear and active housing management strategy, especially if the rent levels are affected by the standard of management by the landlord. The results also show that the landlord’s policy had positive social effects, both in the form of tenant welfare and in the form of lower costs for Police and the Fire department. The study also indicates that it can be difficult to justify large scale investment purely from a business perspective. / QC 20111122

This thesis examines the relationship between equity valuation and four value drivers: revenue growth, volatility, profit margin and competitive advantage. It is motivated by evidence that the predominant valuation techniques of equity analysts are not associated with improved portfolio performance. Prior research suggests that equity analysts devote considerable resources into forecasting near-term earnings, but derive target prices from those earnings in an almost arbitrary fashion. In contrast, the valuation techniques in the commercial world are increasing in sophistication. Around 30 percent of large corporations in the United States and Australia use real options analysis for project evaluation, according to recent surveys. Thus, the research question is whether sophisticated equity valuation, based on rigorous economic assumptions, is useful for investment decision-making.

Concentrated corporate ownership prevails in most countries, so the relationship between controlling shareholders and minority shareholders is an important principle-agent problem. Tunnelling, the transfer of assets and profit for the benefit of controlling owners, is the most important way of expropriating small shareholders. While tunnelling is rampant in emerging economies and even some developed countries, related research lacks convincing evidence. On the other hand, large shareholders sometimes use private funds to prop up firms in financial distress. Although there is plenty of anecdotal and indirect evidence on propping, it lacks direct large-sample examination. This study presents a pooled cross-sectional analysis of 4373 publicly listed companies in China between 2001 and 2004. The analysis not only examines the effects of various variables on the exploitation of related party transactions by controlling owners for tunnelling and propping, and also investigates the effects of tunnelling and propping on firm performance and valuation. The study reveals that the presence of controlling shareholders and higher control rights lead to higher levels of tunnelling. Conversely the existence of other large shareholders reduces the magnitude of tunnelling. In addition, the study shows that pyramidal-controlled firms and firms owned by the State display more incidences of tunnelling. When firms have better investment opportunity, however, their controlling shareholders tend to divert fewer funds for their private gains. It is also found that controlling shareholders offer funds to financially stricken firms under their control. This is the first study that finds direct evidence on the occurrence of propping although not all badly-performing firms are propped up. / While tunnelling negatively affects operating performance and firm valuation, propping has a positive effect on firm valuation. The occurrence and magnitude of tunnelling is greater than that of propping. Propping only occurs to partial firms in financial distress, yet there is no improvement in those firms’ performance. As propping from new controlling owners is more a way of back-door listing, they tend to engage in tunnelling when their control is secure. In short, when legal protection of minority shareholders is weak, controlling owners tend to tunnel for private benefit. Hence policymakers and regulators must recognise that to eliminate widespread expropriation, the establishment of strong corporate governance in well-functioning institutions and strong legal enforcement is important. Lower levels of tunnelling in years 2003 and 2004 justify the positive effect of stringent regulation. Yet, more needs to be undertaken beyond the legal and regulatory level such as an allowance for diversified corporate ownership and the transformation of non-floatable shares to be floated on the exchange to align interests of large and minority shareholders.

The Choice Modelling technique is an emerging technique which appears to have strengths relative to other non-market valuation techniques. The latter group are important in the assessment of the tradeoffs involved in environmental and resource use tradeoffs. However, the use of these techniques is often criticised where ethical and moral frameworks are involved, where it is unclear how difficult choices are being framed against each other, or where it is unclear how values change according to the scope of the amenity under consideration The primary focus of the thesis is on the development of the Choice Modelling technique, which provides a richer information set to researchers than other techniques such as Contingent valuation method. However, the richness of this data is offset to some degree by the complexity of application, where careful attention is needed for design, application and analytical stages. In this thesis, a series of four Choice Modelling experiments are reported, as well as two small Contingent Valuation experiments. The Choice Modelling experiments were centred on the estimation of values that Australians might hold for rainforest conservation in Vanuatu. In order to frame and scope the tradeoffs of interest within the broad pool of substitute goods (such as rainforest conservation opportunities in other countries), the Choice Modelling technique appeared more suitable than the single tradeoff preservation of the Contingent Valuation method. The results of Choice Modelling experiments involved sets of parameters indicating that the probability of choice depended on a number of attributes used to make up the conservation profiles together with the influence of unobserved attributes. As a willingness-to-pay variable was included within the attributes making up choice profiles, estimates of value were available by predicting how changes in particular attributes could be offset by changes in the willingness-to-pay variable. The major conclusions of the research presented in the thesis were that the involvement with ethical and moral frameworks does not invalidate the use of non-market valuation techniques, and that the Choice Modelling technique has strengths in relation to scooping and framing issues. In particular, the research demonstrates that the information generated from an experiment can be used in an iterative approach to develop more accurate models of choice. As well, the research shows that the amenity of interest, rainforest conservation in Vanuatu, can have positive values for Australian residents relative to other conservation opportunities.

The Choice Modelling technique is an emerging technique which appears to have strengths relative to other non-market valuation techniques. The latter group are important in the assessment of the tradeoffs involved in environmental and resource use tradeoffs. However, the use of these techniques is often criticised where ethical and moral frameworks are involved, where it is unclear how difficult choices are being framed against each other, or where it is unclear how values change according to the scope of the amenity under consideration The primary focus of the thesis is on the development of the Choice Modelling technique, which provides a richer information set to researchers than other techniques such as Contingent valuation method. However, the richness of this data is offset to some degree by the complexity of application, where careful attention is needed for design, application and analytical stages. In this thesis, a series of four Choice Modelling experiments are reported, as well as two small Contingent Valuation experiments. The Choice Modelling experiments were centred on the estimation of values that Australians might hold for rainforest conservation in Vanuatu. In order to frame and scope the tradeoffs of interest within the broad pool of substitute goods (such as rainforest conservation opportunities in other countries), the Choice Modelling technique appeared more suitable than the single tradeoff preservation of the Contingent Valuation method. The results of Choice Modelling experiments involved sets of parameters indicating that the probability of choice depended on a number of attributes used to make up the conservation profiles together with the influence of unobserved attributes. As a willingness-to-pay variable was included within the attributes making up choice profiles, estimates of value were available by predicting how changes in particular attributes could be offset by changes in the willingness-to-pay variable. The major conclusions of the research presented in the thesis were that the involvement with ethical and moral frameworks does not invalidate the use of non-market valuation techniques, and that the Choice Modelling technique has strengths in relation to scooping and framing issues. In particular, the research demonstrates that the information generated from an experiment can be used in an iterative approach to develop more accurate models of choice. As well, the research shows that the amenity of interest, rainforest conservation in Vanuatu, can have positive values for Australian residents relative to other conservation opportunities.

This thesis investigates the use of hedonic pricing models to value intangible assets that are owned by firms. This novel approach falls within the neoclassical methodology for the valuation of financial assets, and extends the framework by ordering an alternative methods by which assets may be compared. The firms performance, as measured by reported financial data and embodied in the DuPont ratios of the firm, is used to derive the characteristics of intangible assets. The shadow prices of these characteristics are estimated and used to derive a market-related value for the intangible assets. The empirical results support using this approach to value intangible assets.

Doctor of Philosophy (PhD) / For many practitioners and market participants, the valuation of financial derivatives is considered of very high importance as its uses range from a risk management tool, to a speculative investment strategy or capital enhancement. A developing market requires efficient but accurate methods for valuing financial derivatives such as American options. A closed form analytical solution for American options has been very difficult to obtain due to the different boundary conditions imposed on the valuation problem. Following the method of solving the American option as a free boundary problem in the spirit of the "no-arbitrage" pricing framework of Black-Scholes, the option price and hedging parameters can be represented as an integral equation consisting of the European option value and an early exercise value dependent upon the optimal free boundary. Such methods exist in the literature and along with risk-neutral pricing methods have been implemented in practice. Yet existing methods are accurate but inefficient, or accuracy has been compensated for computational speed. A new numerical approach to the valuation of American options by cubic splines is proposed which is proven to be accurate and efficient when compared to existing option pricing methods. Further comparison is made to the behaviour of the American option's early exercise boundary with other pricing models.

Thesis (PhD)--Macquarie University, Graduate School of the Environment, 2001. / Bibliography: p. 10-1 to 10-23. / An overview of contaminated land issues -- Land contamination law -- The impact of environmental planning on contaminated land value -- Identification and management of contaminated land -- Contaminated land valuation method - an overview -- Current stigma assessment methods -- Suggested method for stigma assessment -- General conclusion. / This dissertation is about the valuation of contaminated land and the problem of stigma. The value of contaminated land is to a large extent affected by statutory regulations. Stigma, if it exists, is another factor that has significant impact on contaminated land value. This thesis looks at the relevant laws governing contaminated land in Australia. It also introduces an alternative method to assess the stigma factor. -- Contaminated land is a major environmental problem. Apart from causing actual or potential threats to human health and the environment, contaminated land also leads to legal liabilities and financial losses to the landowner. Regarding financial losses, they may be costs to meet legal requirements in relation to clean up and long term monitoring expenses. In addition, they may be losses due to a drop in market value and/or rental of the property, longer vacancy periods, high remediation and monitoring costs. In the extreme case, the property may lose marketability completely. -- Regarding valuation methods, most valuers use traditional valuation methods with arbitrary adjustments. The most straightforward method is the impaired value (affected value) approach. It requires the valuer to assess the property on a clean land basis. From the unimpaired (clean) value, other financial losses due to contamination, remediation costs and stigma value loss are deducted to get the impaired value. The most difficult part is to quantify stigma impact. The existing stigma assessment methods are not satisfactory. Alternative and non-traditional methods are available. However they are academic and are not suitable for day-to-day operation of a valuer. This thesis suggests a multi-criteria decision-making model to assess stigma impact. The target stigma factor is obtained by processing the relevant criteria with the Analytic Hierarchy Process (AHP) method. The best alternative from the model is the reasonable stigma factor for the property. / Mode of access: World Wide Web. / various pagings ill. (some col.)