Zugl.: Wuppertal, Universiẗat, Diss., 2004.

No description available.

In this paper we prove a topological lemma on real valued random variables which implies the basic ingredients for the proof of the Fundamental Theorem of Asset Pricing in the two period case. In particular, previous results of Stricker and of Schachermayer are special cases of our result. Our proof is considerably shorter and more transparent than previous proofs of related special cases. / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Indexation serves as a cornerstone of the asset management field. As such, asset managers across the globe are constantly testing different methodologies to find one which provides consistent superior performance against the rest. While previously, market capitalization weighted indexes have been the popular and simpler method to implement, the search of outperformance has evolved from only focusing on picking securities from larger institutions and has expanded to trying out various weighting methods so as to maximize on the best performing instruments. As yet, there is no definite winner, with the success of most methods being largely influenced by the type of market for which the index is intended as well as the macro-economic environment prevailing during the period. However, the fundamental indexation method has recently gained popularity, particularly in the global equity markets. This research paper explores the method of fundamental indexation and applies it to the corporate fixed income section of the South African market. The main aim is to determine whether the significant outperformance, which has been found in global fixed income markets as well as global and domestic equity markets, will hold true when the method is implemented on domestic bonds. This investigation uses the current domestic market corporate bond index, the OTHI, as a benchmark against two alternative bond indexes created using the fundamental indexing methodology. The first alternative index is a direct replication of the OTHI and has identical constituents to those of the original. This is called the OTHI_ALT. However, finding that the OTHI is heavily influenced by the debt issues of the government and other parastatal companies, a second more diverse index is created. This is named the SAFI_ALT, which maintains the same number of constituents in each period as the OTHI, but uses different universe selection methods and thus has different constituents. The study creates four sub-indexes for both the OTHI_ALT and the SAFI_ALT, using the fundamental metrics of the companies whose securities are included in the index. The fundamentals used are Sales, Cash Flow and Book Value, and in addition a Composite of all three fundamentals.

Questa tesi comprende due saggi. Il saggio 1 si concentra sull'effetto del rischio macroeconomico su Value Premium. In questo documento, esaminiamo in che misura il Value Premium è influenzato dalla percezione del rischio macroeconomico da parte dell'investitore. Indaghiamo l'impatto dell'effetto macro sui multipli fondamentali che risulta dalla decomposizione market-to-book di Rhodes-Kropf Robinson e Viswanathan (2005). Poiché questi multipli contengono le aspettative degli investitori sia sui tassi di crescita sia sui tassi di sconto, le loro stime variabili nel tempo dovrebbero acquisire informazioni sul sentimento dell'investitore in merito alle prospettive economiche. Scopriamo che il rendimento del Tesoro a 10 anni e la pendenza della Struttura a termine hanno un impatto significativo su diversi multipli fondamentali con un conseguente effetto sulla stima del valore intrinseco dell'impresa. La nostra configurazione empirica ci consente di stimare i componenti di mercato per libro utilizzando valori fondamentali solidi che sono ortogonali agli effetti dell'incertezza macroeconomica. Il nostro risultato chiave è che quando eliminiamo l'effetto delle aspettative degli investitori sullo scenario economico, il premio di valore premia, quasi interamente, il rischio dimensionale. Adeguandosi all'esposizione dimensionale, i multipli di contabilità ortogonale rimuovono l'effetto macro riducendo il rendimento in eccesso di una valutazione errata. Saggio 2 si concentra sull'effetto dei vincoli di leva sul Value Premium. Introduciamo una giustificazione teorica basata sull'avversione dell'investitore nei confronti della leva finanziaria (Frazzini e Pedersen, 2014) e fornendo prove empiriche sulla connessione dell'anomalia a bassa beta e sui rendimenti superiori ottenuti dalle azioni di valore. Studiamo le variazioni nelle serie temporali beta di portafogli ordinate in base al componente stimato dalla decomposizione market-to-book di Rhodes-Kropf Robinson e Viswanathan (2005). Scopriamo che in media i portafogli sottovalutati hanno una beta variabile nel tempo più piccola rispetto a sopravvalutata. Indaghiamo anche la sensibilità della componente di svalutazione delle azioni a bassa beta rispetto ai macro proxy delle condizioni di finanziamento. Coerentemente con la teoria dell'avversione alla leva finanziaria, i risultati empirici mostrano un'interazione negativa tra questa componente e le condizioni di finanziamento che confermano l'effetto negativo sui prezzi per le azioni low-beta quando aumentano le restrizioni sulla leva finanziaria. , costruiamo strategie long-short basate sulla componente di valutazione errata del market-to-book. Il nostro risultato empirico chiave è che l'eccesso di rendimento della componente market-to-book, più attribuibile al prezzo errato dell'impresa, è influenzato negativamente dal peggioramento delle condizioni di finanziamento. Questa evidenza supporta la teoria dell'avversione della leva finanziaria nella spiegazione del rendimento superiore di portafogli sottovalutati. / This thesis includes two essays. Essay 1 concentrates on the effect of macroeconomic risk on Value Premium. In this paper, we examine to what extent the Value Premium is affected by the investor's perception of macroeconomic risk. We investigate the impact of the macro effect on the fundamental multiples which results from the market-to-book decomposition of Rhodes-Kropf Robinson, and Viswanathan (2005). Since these multiples contain investor's expectations both on growth rates and discount rates their time-varying estimates should capture information on the investor's sentiment about economic perspectives. We find that 10 Year Treasury yield and the slope of Term Structure have a significant impact on several fundamental multiples with a consequential effect on the estimate of firm intrinsic value. Our empirical setup allow us to estimate market-to-book components by using firm fundamental values which are orthogonal to the effects of macroeconomics uncertainty. Our key result is that when we remove the effect of investor's expectations on the economic scenario the value premium rewards, almost entirely, the size risk. Adjusting for the size exposure, orthogonal accounting multiples remove the macro effect reducing the excess return of firm misvaluation. Essay 2 focuses on the effect of leverage constraints on the Value Premium. We introduce a theoretical justification based on investor's aversion to leverage (Frazzini and Pedersen, 2014) and by providing empirical evidence about the connection of low-beta anomaly and the superior returns earned by value stocks. We study variations in beta time-series of portfolios sorted on the component estimated by the market-to-book decomposition of Rhodes-Kropf Robinson, and Viswanathan (2005). We find that on average undervalued portfolios have a smaller time-varying beta than overvalued. We also investigate the sensitivity of the misvaluation component of low-beta stocks to macro proxies of funding conditions. Consistently with Leverage Aversion Theory, empirical results show a negative interaction between this component and funding conditions confirming the negative effect on prices for low-beta stocks when leverage constraints increase.To test the effect of leverage constraints on the excess return originated by the firm's mispricing, we construct long-short strategies based on the misvaluation component of market-to-book.Our key empirical result is that the excess return of the market-to-book component, most attributable to the firm's mispricing, is negatively affected by the worsening of funding conditions. This evidence supports the Leverage Aversion Theory in explaining the superior return of undervalued portfolios.

The dissertation consists of three chapters. In the first chapter, I develop a model to study the production of private safe assets by the banking sector. In response to a shortage of safe assets, the banking sector produces more private safe assets which alleviate the decline of aggregate investment and output. However, producing more private safe assets exposes the bank to more aggregate risk. Macroprudential policies can adjust the production of private safe assets with a tradeoff: encouraging the production of private safe assets alleviates the safe asset shortage problem and improves output, at the cost of a more volatile economy. In the second chapter, I document that during the 2008 financial crisis, U.S. shadow banks deleveraged sharply while commercial banks maintained their leverage. I find that banks that relied more on short-term funding tended to deleverage more during the crisis. I build a model to incorporate both shadow banks and commercial banks with different leverage determination mechanisms. The model can explain the leverage dynamics of the banking sector and the flight-to-quality phenomenon observed in data. The third chapter is coauthored with Jianjun Miao and Pengfei Wang. We revisit Galí’s (2014) analysis by extending his model to incorporate persistent bubble shocks. We find that under adaptive learning, a stable bubbly steady state and the associated sunspot solutions under optimal monetary policy are not E-stable. When deriving the unique forward-looking minimum stable variable (MSV) solution around an unstable bubbly steady state, we obtain results that are consistent with the conventional views: leaning against the wind policy reduces bubble volatility and is optimal. Such a steady state and the associated MSV solution are E-stable.

Thesis advisor: David H. Solomon / My dissertation comprises three essays delving into questions that contemporary investors encounter in the ever-evolving landscape of investments. The first essay examines how the presence of public pension funds as limited partners influences venture capitalists' (VCs) risk-taking behaviors. It notes that investments by public pension funds in the venture capital market have increased over the past two decades, and these funds possess unique objective functions compared to other venture capital investors. Findings suggest that VCs backed by public pensions tend to invest in startups with lower-risk profiles, such as those with technologies related to public companies, numerous patents, and later funding rounds, leading to more frequent and quicker exits but lower returns. To establish causality, I employ an instrumental variable evaluating the likelihood of public pension funding based on the location of funds initiated during a typical fundraising cycle in a venture capital firm. Furthermore, I find that public pensions prefer venture capital firms with a track record of conservatively managing funds, particularly those pensions that have previously engaged with such firms. The second essay shifts focus to the stock market, documenting higher returns from companies developing new technologies. The advancement of new technologies is pivotal to an economy’s potential, yet it carries inherent risks. As per investment theories, investors demand premiums for holding stocks associated with high uncertainty, prompting questions about whether they are adequately compensated for investing in companies undertaking highly uncertain projects. A novel application of a graph-neural network model identifies new technology patent publications annually, enabling the calculation of firms' exposure to new technologies. With the measure, I find that portfolios with high new-tech exposure outperform those with low exposure, driven by significant risk premiums. This sheds light on the positive correlation between idiosyncratic risk and stock returns, contributing to our understanding of the market's valuation of technological innovation. The third essay presents a systematic analysis of stock market valuations of Corporate Social Responsibility (CSR) initiatives. The study identifies public demand for CSR as a pivotal factor in enhancing the value of CSR activities. Analyzing market reactions to CSR activities via cumulative abnormal returns, the research finds overall neutral market responses. Nonetheless, it finds that heightened public concern for specific issues can sway market reactions positively. Also, when CSR initiatives employ strategies that extend beyond the capabilities of individuals, the market responses tend to be favorable. The paper further shows that firms strategically increase their CSR activities and choose implementation modes, aiming to enhance their value. To explain why market reactions are, on average, neutral, I further provide evidence suggesting reasons such as virtue signaling, a lack of understanding of the importance of profitability, and other executive motives. Together, these essays deepen our understanding of investments by exploring how financial market participants, corporate endeavors in technological advancements, and societal expectations for corporate social responsibility influence investor behavior and asset prices. / Thesis (PhD) — Boston College, 2024. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

In response to the Fiscal Year 2006 National Defense Authorization Act, the US Navy conducted an evaluation of alternative propulsion methods for surface combatants and amphibious warfare ships. The study looked at current and future propulsion technology and propulsion alternatives for these three sizes of warships. In their analysis they developed 23 ship concepts, only 7 of which were variants of medium size surface combatants (MSC,21,000-26,000 MT). The report to Congress was based on a cost analysis and operational effectiveness analysis of these variants. The conclusions drawn were only based on the ship variants they developed and not on a representative sample of the feasible, non-dominated designs in the design space. This thesis revisits the Alternative Propulsion Study results for a MSC, which were constrained by the inability of the Navy's design tools to adequately search the full design space. This thesis will also assess automated methods to improve the APS approach, and examine a range of power generation alternatives using realistic operational profiles and requirements to develop a notional medium surface combatant (CGXBMD). It is essential to base conclusions on the non-dominated design space, and this new approach will use a multi-objective optimization to find non-dominated designs in the specified design space and use new visualization tools to assess the characteristics of these designs. This automated approach and new tools are evaluated in the context of the revisited study. / Master of Science

This thesis proposes a novel working paradigm for transportation infrastructure asset management by viewing the transportation networks as key components (or nodes) of a broader network of resources, which includes infrastructure linked with society's ecological, social, and economic systems. An extensive review of network science literature suggested that to understand the behavior of a complex network is imperative to characterize its topology. Consequently, this thesis focused on developing a framework to characterize the topology of the transportation infrastructure systems, and understanding how the unveiling topology can be used for supporting transportation asset management decisions. The proposed methodology determines whether the transportation infrastructure networks can be modeled as scale-free or exponential networks, using a framework for characterizing the agents of the network, their direct and indirect interactions among each other, and their importance as elements of a complex network, and utilizes these data to support transportation asset management. The methodology consist of seven steps: (1) define the networks of interest; (2) identify their intrinsic components; (3) visualize the identified networks using GIS maps; (4) identify direct and indirect interactions through superposition of the networks; (5) represent the relationship between the nodes and their linkages by frequency diagrams in order to determine the intrinsic topology of the network; (6) illustrate (graphically) the overall transportation infrastructure with the help of GIS; and (7) analyze the TINs from the decision-maker point of view, identifying the elements that are more relevant or need more attention on the network. The procedure is then implemented in a small network in a localized area (Town of Blacksburg, Virginia) to show its practicality, and recommendations for further development and mathematical modeling in order to allow its implementation in larger networks are provided. Based on frequency analysis of the nodes and their connectivity, it was concluded that the transportation infrastructure networks in the case study behave as exponential networks. The study showed that the links determine how the infrastructure network grows and that problems like congestion can be addressed by analyzing other factors related with topology, such as speed, unit size, and lane width. The proposed methodology was found to be useful as an asset management tool. Finally, a list of findings and recommendations for further research are presented as opportunities to enhance the management of transportation infrastructure networks. / Master of Science

The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real estate is in the range of 15-25 percent depending on domicile of the investor. The fifth paper expands the analysis in paper one by expanding the data. Furthermore, the analysis is extended to investigate how the structure of the real estate portfolio can support a diversification objectives best. Papers 2, 3 and 4 are the market related papers. Paper 2 compares the suggested allocation weights with the allocation to real estate of institutions in four countries, and finds that the actual allocation is significantly lower and that all investor domiciles have a significant home bias. The third paper discusses changes in the institutional framework of real estate markets and the size of the investment universe. Paper 4 discusses various entry points to the real estate market, and how an investor can utilize these in order to adjust the characteristics of the real estate portfolio. The sixth and last paper is qualitative, and investigates how institutions managing pension capital handle real estate. ​ / <p>QC 20161115</p>