This dissertation includes three essays, which investigate contingent claims pricing subject to credit risk based on the structural approach and analyze associated issues of corporate finance. The first essay develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm's capital structure by incorporating both the industry demand and firm-level supply factors into the firm's earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms' quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are. The second essay presents a contingent claim valuation of a callable convertible bond with the issuer's credit risk. The optimal call, voluntary conversion and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. Our model not only incorporates tax benefits, bankruptcy costs, refunding costs and a call notice period, but also takes account of the issuer's debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore calling convertible bonds too late or too early can be rational. The third essay provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow for the possible default of the option issuer prior to the option's maturity, but also considers the correlations among the option issuer's total asset, the underlying stock, and the default-free zero coupon bond. We further tailor-make a specific credit-linked option for hedging the default risk of the option issuer. The numerical results show that the default risk of the option issuer significantly reduces the option values, and the vulnerable option values may be remarkably overestimated in the case where the default can occur only at the maturity of the option.

The aim of this study is to investigate how companies within different industries that use budgets perceive the critique that has been raised against it. As such, this study explores whether the companies find the critique valid and if so, whether and how they have managed to cope with the problems that the budget has been argued to entail. Additionally, this study explores the potential impact that the external and internal context of the budget may have on these perceptions. Utilizing on a qualitative case study research design, our findings indicate that the relevance of the critique is contextually contingent with regards to both the external and the internal environment of a company. Consequently, the likelihood for the alleged problems of the budget to appear is greater when the alignment between a company’s external and internal environment and the employed budget purpose is poor, and/or when the budget’s cohesiveness with other management control systems within a certain management control system-package is deficient. Thus, in contrast to the critics, we argue that budgets should not be seen as a static and stand-alone practice as it evidently constitute a multifaceted and contingent practice.

The purpose of this study is to investigate methods for assessing the value people place on preserving our natural environments and resources. It focuses on the contingent valuation method, which is a method for directly asking people about their preferences. In particular, the study focuses on the use of discrete response data in contingent valuation experiments.The first part of the study explores the economic theory of the total value of a natural resource, where the principal components of total value are analyzed; use values and non-use values. Our application is a study of the value Swedes' attach to the preservation of eleven forest areas that contain high recreational values and contain unique environmental qualities. Six forests were selected on the basis of an official investigation which includes virgin forests and other areas with unique environmental qualities. In addition, five virgin forests were selected.Two types of valuation questions are analyzed, the continuous and the discrete. The first type of question asks directly about willingness to pay, while the second type suggests a price that the respondent may reject or accept. The results of the continuous question suggest an average willingness to pay of about 1,000 SEK per household for preservation of the areas. Further analysis of the data suggests that this value depends on severi characteristics of the respondent: such as the respondent's income and whether or not the respondent is an altruist.Two econometric approaches are used to analyze the discrete responses; a flexible parametric approach and a non-parametric approach. In addition, a Bayesian approach is described. It is shown that the results of a contingent valuation experiment may depend to some extent on the choice of the probability model. A re-sampling approach and a Monte-Carlo approach is used to shed light on the design of a contingent valuation experiment with discrete responses. The econometric analysis ends with an analysis of the often observed disparity between discrete and continuous valuation questions.A cost-benefit analysis is performed in the final chapter. The purpose of this analysis is to illustrate how the contingent valuation approach may be combined with opportunity cost data to improve the decision-basis in the environmental policy domain. This analysis does not give strong support for a cutting alternative. Finally, the results of this investigation are compared with evidence from other studies.The main conclusion of this study is that assessment of peoples' sentiments towards changes of our natural environments and resources can be a useful supplement to decisions about the proper husbandry of our natural environments and resources. It also highlights the importance of careful statistical analysis of data gained from contingent valuation experiments. / digitalisering@umu

The aim of this study is to quantify the social cost of air pollution in Bophelong Township. Bophelong is a dominantly Black low-income settlement located on the South-western part of the Emfuleni Local Municipality in the Vaal Triangle. In 2006 the Vaal Triangle was the first region in the country to be declared an Airshed Priority Area in terms of the National Environmental Management Act (39/2004). Economic literature reveals that there is a strong positive correlation between poverty and pollution. It is on this basis that the study provides a theoretical background to poverty and pollution. The study makes use of a Contingent valuation method to elicit respondents‘ maximum willingness to pay for the reduction of air-pollution in the area. The survey questionnaire covers three broad socio-economic categories namely, the demographic profile, labour force profile and the residents‘ attitudes towards environmental issues. The valuation part of the questionnaire makes use of an open-ended questionnaire to elicit the respondents‘ maximum willingness to pay for the reduction of air pollution in Bophelong. The mean willingness to pay for the reduction of air-pollution in Bophelong is estimated at R132 per annum. The annual social cost of air-pollution in Bophelong is calculated by multiplying the mean willingness to pay with the estimated total population. Bophelong‘s total population was estimated at 49 408. The annual social cost of pollution is thus estimated at R6 521 856. The regression analysis shows that several factors positively influence respondents‘ willingness to pay. The analysis shows that education, employment and level of income are positively correlated with the respondents‘ willingness to pay. This study indicates that there is a positive correlation between poverty and pollution. Most of the air pollution that affects the population of Bophelong is generated from domestic sources such as the burning of coal and biomass fuels for VALUING THE SOCIAL COST OF AIR-POLLUTION IN BOPHELONG TOWNSHIP heating and cooking purposes. In order to eliminate the negative impacts of air pollution on the residents of Bophelong the study recommends that authorities must begin by ameliorating the poverty situation in the area. On the main authorities must introduce measures that target domestic sources of pollution. Some of the measures that could be undertaken to reduce the impact of pollution could include: (a) encouraging residents to adopt the more cleaner top-down coal ignition method known as Basa-njengo-Magogo, (b) providing free basic electricity to poor households in the area and (c) ensuring that houses are constructed with thermal comfort in mind, as this will minimise the need for space heating particularly during winter months. / PhD (Economics), North-West University, Vaal Triangle Campus, 2013

Contingent claims models have recently been applied to the field of corporate insolvency prediction in an attempt to provide the art with a theoretical methodology that has been lacking in the past. Limited studies have been carried out in order to empirically compare the performance of these “market” models with that of their accounting number-based counterparts. This thesis contributes to the literature in several ways: The thesis traces the evolution of the art of corporate insolvency prediction from its inception through to the present day, combining key developments and methodologies into a single document of reference. I use receiver operating characteristic curves and tests of economic value to assess the efficacy of sixteen models, carefully selected to represent key moments in the evolution of the art, and tested upon, for the first time, post-IFRS UK data. The variability of model efficacy is also measured for the first time, using Monte Carlo simulation upon 10,000 randomly generated training and validation samples from a dataset consisting of over 12,000 firmyear observations. The results provide insights into the distribution of model accuracy as a result of sample selection, which is something which has not appeared in the literature prior to this study. I find overall that the efficacy of the models is generally less than that reported in the prior literature; but that the theoretically driven, market-based models outperform models which use accounting numbers; the latter showing a relatively larger efficacy distribution. Furthermore, I obtain the counter-intuitive finding that predictions based on a single ratio can be as efficient as those which are based on models which are far more complicated – in terms of variable variety and mathematical construction. Finally, I develop and test a naïve version of the down-and-out-call barrier option model for insolvency prediction and find that, despite its simple formulation, it performs favourably compared alongside other market-based models.

The adequacy of existing transport infrastructure to four distinct clusters in Austria's key regions is tested by examining the willingness of logistics managers to pay for additional service improvements. Findings show an overall willingness to pay for multiple service improvements; this reveals a general dissatisfaction with current shipping options, regardless of transport mode, where rail mode services ("Bahn") provoke the greatest dissatisfaction. Willingness to pay for improvements generally increases by degrees of regional EU remoteness and relative youth of cluster industries, as hypothesized from Schumpterian assumptions concerning infrastructure innovation. / Series: SRE - Discussion Papers

This dissertation examines the five battalions of the Canadian Expeditionary Force designated as the American Legion. Authorized in Canada between 1915 and 1917, these units were formed to recruit volunteers from the United States to serve in the Canadian Overseas Contingent during the First World War. This work reviews the organization of Canada’s militia and the history of Anglo-American relations before examining the Canadian war effort, the formation of the American Legion, the background of its men, and the diplomatic, political, and constitutional questions that it raised. Much of the research focuses on the internal documents of its individual battalions (the 97th, 211th, 212th, 213th and 237th) and the papers of Reverend Charles Bullock now housed at the Public Archives of Canada. Documentation for the diplomatic furor the American Legion caused comes largely through the published diplomatic documents, British Foreign Office records held at the Public Record Office at Kew, and United States Department of State files at the National Archives at College Park, Maryland. The most useful sources for American Legion correspondence are the Beaverbrook papers held at the House of Lords Record Office, the papers of Canadian Prime Minister Sir Robert Laird Borden, and those of the Governor-General, the Duke of Connaught found in the Public Archives of Canada. During its brief existence the American Legion precipitated diplomatic and political problems in the United States, the United Kingdom, and the Dominion of Canada. Among the issues raised by the controversy surrounding the American Legion were: the relationship between the dominion government in Canada and the British government; the structural problems of imperial communications; the rise of a Canadian national identity and the desire for greater autonomy; and, the nature of citizenship and expatriation. This dissertation is also a long overdue account of the thousands of United States citizens who left their homes and families to join the American Legion in order to fight another country’s war.

This thesis examines the feasibility of economic incentives for reforestation, with improved water quality being one potential benefit, in the Fond D’or watershed of Saint Lucia. Population growth, economic development, and the onset of climate change have decreased the environmental quality in Small Island Developing State (SIDS) while increasing risk to the islands’ water security. The unique topography and geology of Caribbean island nations contribute to the challenges of managing freshwater resources. The governments of SIDS often lack the human and financial resources to provide potable water for their citizens, as well as to monitor and enforce environmental regulations limiting land use in watersheds. Therefore, a new approach to watershed management in Saint Lucia is imperative for the provision of valuable ecosystem services at the local, regional, and global scales. Payments for ecosystem services (PES) are a promising approach to the protection and maintenance of public ecosystem services where there is little incentive for private landowners to provide them. The first article explores household willingness-to-pay (WTP) for reforestation in Fond D’or watershed. The contingent valuation method was used to obtain residents’ WTP for a hypothetical scenario in which an increase in water users’ fees are used to fund a program where farmers in the upper watershed are compensated for taking land near water sources out of agricultural production for reforestation. The findings from 294 household surveys provide a description of the state of water quality and quantity in the Fond D’or, domestic water uses and sources, as well as attitudes and opinions about current water service. Bivariate analyses were performed to identify underlying factors that influence WTP, revealing that increased WTP is not a result of higher education and income. Rather, residence in a particular community group likely influences opinions about water, ultimately shaping WTP. Lastly, I discuss WTP in terms of its potential contribution to a PES scheme in Saint Lucia; WTP by local beneficiaries represents one potential funding source for PES mechanisms as well as public support for environmental improvement programs. The second article describes a methodological approach to constructing a PES scheme in the Fond D’or watershed. Of the five environmental policy approaches— prescription, penalties, property rights, persuasion, and payments—payment is likely to be the most feasible method to influence private land management decisions for the provision of ecosystem services for the public good. This article draws upon existing PES schemes for hydrological services around the globe to provide key lessons for expanding the use of the instrument to Saint Lucia. I apply these lessons to the social, political, and institutional context of Saint Lucia, identifying opportunities for and challenges to developing local or regional payment schemes for ecosystem services in the Fond D'or watershed. I outline the steps to constructing a PES and recommend further research to Saint Lucian policymakers.

Although romantic relationships are an important source of self-esteem, individuals vary in the degree to which romantic relationships determine their self-esteem. For individuals with relationship-contingent self-esteem (RCSE), self-esteem is based on the quality of perceived romantic relationship functioning. In contrast, global self-esteem is derived from a variety of domains, not specifically relationship quality. The present study investigated the moderating effects of RCSE and global self-esteem on the effects of relationship specific or relationship-unrelated threats and self-affirmations. Individuals with low global self-esteem react to threats by distancing themselves from their romantic partners. For those low in RCSE, this should occur only when the threats are relationship specific, whereas those low in global self-esteem distance themselves regardless of what type of threat they experience. Exposure to self-affirmations limits this defensive distancing in individuals with low global self-esteem. Prior studies examining the effects of induced self-threats and self-affirmations on perceived relationship functioning have been limited by reliance on college student samples, whose relationships are often shorter in duration than older adults. The current studies examined self-esteem and RCSE within the context of older participants in longer romantic relationships. Specifically, Study 1 examined how self-threats and self-affirmations interacted with dispositional levels of RCSE and self-esteem to predict romantic relationship outcomes. Participants wrote about past experiences to induce self-affirmations or self-threats, which were either relational (i.e., about their current relationship) or non-relational (i.e., about their personal lives), and then completed measures of relationship functioning. Contrary to predictions, there were no significant interactions between either RCSE or self-esteem and the experimental conditions. There was a significant main effect for self-esteem, such that participants with low self-esteem reported less commitment, closeness, and satisfaction as compared to participants with high self-esteem. In Study 2, participants completed one of two writing prompts: a prompt to induce high RCSE, or a control prompt. Participants then wrote about past experiences to induce self-threats that were either relational or non-relational. Contrary to hypotheses, inducing high levels of RCSE and exposing participants to a relational self-threat did not result in decreased relationship commitment, closeness, or satisfaction. The results of both Study 1 and Study 2 are contrary to previous research; potential explanations for this discrepancy and implications are discussed.

Neste trabalho, apresentamos uma Teoria de Mercados Financeiros com custos de penalidade. Os custos de penalidade sao atribuídos a posicoes vendidas a descoberto. Estes custos diferem dos custos de transacao, pois nao dependem de mudancas nas estrategias de negociacao. No caso da venda de acoes a descoberto, o agente aluga a ação e depois realiza a venda; nesse caso, o custo de penalidade representa o custo do aluguel. Para o caso do título livre de risco, o custo de penalidade representa o diferencial ou spread no custo para o agente tomador de recursos (credito). O trabalho e desenvolvido em um espaco de estados discreto e finito; a matematica envolvida e a mesma dos textos tradicionais de finanças e envolve conceitos de algebra linear, programacao linear e calculo estocastico discreto. A utilizacao dessa estrutura vem ao encontro dos objetivos deste trabalho que consistem em introduzir uma nova teoria sem perder a intuicao financeira ou a capacidade de implementação computacional, ou seja a aplicacao pratica dos conceitos desenvolvidos. Iniciamos o estudo para o caso Uni-Período e em seguida estendemos os resultados para o caso Multi-Período. Em particular, apresentamos as condicoes necessarias e suficientes para a nao existencia de arbitragem; vale notar que essas condicoes se tornam as mesmas do modelo tradicional quando os custos sao nulos. Mostramos ainda que a condicao necessaria e suficiente para que o modelo seja completo e a mesma no modelo com penalidade e tradicional. A introducao do custo de penalidade implica na existencia de uma diferenca no valor da estrategia replicante do título contingente -X e X; os precos iniciais destas estrategias serao denominados preco de compra e preco de venda, respectivamente. Por fim, mostramos que sob certas condicoes podemos construir um algoritmo para calcular uma estrategia maxima que replica um título contingente de forma consistente, ou seja, podemos calcular os precos de venda e compra de um título contingente sem que exista arbitragem. / In this work we present a financial theory with penalty costs on short selling positions. Penalty costs differ from transaction costs for they do not depend on changes on trading positions (strategies). In the case of short selling in stocks, the investor borrows and then sells the position; in this case, the penalty costs are associated with the borrowing rate. For the risk free asset the penalty costs are associated with the spread between the credit and deposit rates. The work is developed in a discrete and finite framework; the mathematics involved is the same found in traditional financial literature; roughly, it runs through concepts of linear algebra, linear programming and discrete stochastic calculus. This framework is aligned with the objectives of this work which consist of developing a new theory without losing its financial intuition or the computational feasibility to implement solutions; in other words, the ability to apply the theory in practical applications. We begin by studding the Single-Period case and then extend the results to the Multi-Period case. In particular we present the necessary and sufficient conditions for the non existence of arbitrage, these conditions become the same as in the traditional model if the penalty costs are zero. Also, we show that the necessary and sufficient conditions for the model to be complete are the same in both cases. The introduction of penalty costs induces a difference in the costs of replicating the contingent claims -X and X; the replicating prices will be denominated bid and ask prices, respectively. To finish, we show that under certain conditions we can build an algorithm to calculate the maximal replicating strategy in a consistent manner, that is, we can calculate the bid and ask prices free of arbitrage.