Thesis (Ph. D.)--University of Missouri-Columbia, 2000. / Typescript. Vita. Includes bibliographical references (leaves 84-88). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2000. / Typescript. Vita. Includes bibliographical references (leaves 84-88). Also available on the Internet.

This paper’s objective is to investigate whether Modigliani and Miller (MM) I & II proposition from 1958 with regard to capital structure, is still valid among public Swedish firms. We have chosen the 63 firms on the Stockholm Stock Exchange (OMX) that Affärsvärlden magazine’s general index (AFGX) has categorized as industrial firms. We based this selection on the assumption that these firms are relatively capital intense and have a clear focus on production and, therefore, mainly uses capital structure as a mean to finance their production and not as a means in itself. To be able to fully evaluate these firms we have calculated the current key ratios based each firm’s annual report. To make the figures comparable across the entire population we adjusted them to each firm’s turnover. The results we have reached concur with MM’s proposition I regarding capital structures independence of the firm value. However, proposition II that states that an increase in the debt/equity ratio is shown in a higher return of equity is not valid in this case. / Denna uppsats skall undersöka huruvida Modigliani och Millers (MM) första och andra proposition från 1958 gällande kapitalstruktur är tillämpbar bland dagens noterade industriföretag i Sverige. Vi har valt hela populationen av de 63 noterade bolag på Stockholmsbörsen som tidningen Affärsvärldens General Index (AFGX) har kategoriserat som industriföretag. Detta urval har baserats på antagandet att företagen är kapitalintensiva och har en tydlig tillverkningsbasis där kapitalstrukturen inte är en huvudgren utan bara ett medel för den övriga verksamheten. För att få full jämförbarhet mellan företagen har vi själva beräknat de aktuella nyckeltalen utifrån företagens egna årsredovisningar. Vi har sedan anpassat siffrorna till företagens storlek för att få jämförbara siffror över hela sektorn. De resultat vi uppnått överensstämmer med MM:s proposition I om kapitalstrukturens oberoende av värdet på företaget. Däremot finner vi inget samband med proposition II, som menar att en ökande skuldsättningsgrad avspeglar sig i ett högre avkastningskrav i form av räntabilitet (avkastning på eget kapital).

We compare two popular scenario tree generation methods in the context of financial optimization: Moment matching and scenario reduction. Using a simple problem with a known analytic solution, we find that moment matching - accompanied by a check to ensure absence of arbitrage opportunities - replicates this solution precisely. On the other hand, even if the scenario trees generated by scenario reduction are arbitrage-free, the solutions to the approximate optimization problem represented by the reduced tree are biased and highly variable. These results hold for correlated and uncorrelated asset returns, as well as for normal and non-normal returns. (authors' abstract)

We consider weak convergence of a sequence of asset price models (Sn) to a limiting asset price model S. A typical case for this situation is the convergence of a sequence of binomial models to the Black-Scholes model, as studied by Cox, Ross, and Rubinstein. We put emphasis on two different aspects of this convergence: firstly we consider convergence with respect to the given "physical" probability measures (Pn) and secondly with respect to the "risk-neutral" measures (Qn) for the asset price processes (Sn). (In the case of non-uniqueness of the risk-neutral measures also the question of the "good choice" of (Qn) arises.) In particular we investigate under which conditions the weak convergence of (Pn) to P implies the weak convergence of (Qn) to Q and thus the convergence of prices of derivative securities. The main theorem of the present paper exhibits an intimate relation of this question with contiguity properties of the sequences of measures (Pn) with respect to (Qn) which in turn is closely connected to asymptotic arbitrage properties of the sequence (Sn) of security price processes. We illustrate these results with general homogeneous binomial and some special trinomial models. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Doctor of Philosophy / This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.

Calif., Univ., Dep. of Management Science and Engineering, Diss.--Stanford, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich.

Thesis (M. Phil.)--University of Hong Kong, 2008. / Includes bibliographical references (leaf 99-108) Also available in print.

Thesis (Ph. D.)--University of Wyoming, 2007. / Title from PDF title page (viewed on Feb. 6, 2009). Includes bibliographical references (p. 131-141).

Thesis (Ph. D.)--University of Michigan, 1941. / Without thesis note. Includes bibliographical references.