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Immobilier de bureaux et environnement économique en Europe : essais sur les réactions et interactions de marché / European office market and economic environment : essays on the reactions and interactionsLefebvre, Benoît 08 March 2019 (has links)
Cette thèse porte sur les marchés de bureaux en Europe au travers de différentes perspectives. Dans une première partie, nous étudions les effets des politiques monétaires non conventionnelles sur le marché des bureaux. Tout d’abord, nous analysons les effets de l’offre de monnaie sur la dynamique du marché des bureaux londoniens puis sur les principaux marchés européens. Nous trouvons que l’offre de monnaie a un effet positif sur les prix des bureaux suite à une augmentation de la demande. Ces résultats sont attendus théoriquement suite au développement d’un modèle théorique IS-LM de MundellFleming. Cependant, cet effet est fortement hétérogène en Europe avec une plus grande capacité pour les principaux marchés à capturer l’afflux des capitaux. Enfin, nous analysons les dynamiques des valeurs locatives en Europe en utilisant une modélisation à deux niveaux : à un niveau pan-européen et à un niveau local. Nos résultats montrent que même si l’Europe tend à être considérée comme une union fédérale, les marchés immobiliers possèdent toujours une hétérogénéité importante qui doit être étudiée par les investisseurs. / This thesis studies the European office market through different perspectives. In the first part, we study the effects of the unconventional monetary policies on the office market. First, we analyse the effect of the money supply on the dynamics of the London office market and then, on the main office markets across Europe. We find that the money supply has a positive effect on the office prices through an increase of the demand. This result confirms our theoretical expectations based on a IS-LM Mundell-Fleming framework. We find also an important heterogeneity across the European markets, with the biggest ones that have more benefited from QE policies and the others that were not able to attract the available liquidities. Finally, we analyse the dynamics of the rental values across the main office markets in Europe using a twostage modelling: at a Pan-European level and at a local level. Our results highlight that, even if Europe could be considered as a federal union, real estate markets still have important heterogeneities that need to be studied by investors.
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Hétérogénéité, financiarisation et formation des prix dans les marchés dérivés de matières premières / Heterogeneity, financialization and price formation in commodity derivative marketsJaeck, Edouard 23 February 2017 (has links)
Les marchés futures de matières premières existent depuis des siècles. Néanmoins, depuis le début du 21e siècle, le développement en parallèle de la financiarisation et de marchés futures sur une matière première non-stockable (l’électricité) a bouleversé leur fonctionnement.Les trois essais de cette thèse étudient théoriquement et empiriquement les marchés futures de matières premières dans différentes conditions de fonctionnement.Le premier essai est une étude empirique qui montre l’existence de l’effet Samuelson sur les marchés futures d’électricité. Ce faisant, il montre que le stockage n’est pas une condition nécessaire à l’existence d’un tel effet.Le second essai est un modèle qui montre comment le comportement dynamique des prix d’une matière première stockable sur un marché futures segmenté du reste de l’économie est impacté par ses caractéristiques physiques, et notamment par le coût de stockage.Enfin, le troisième essai est un modèle qui montre que la financiarisation modifie la fonction de partage des risques des marchés futures de matières premières, et ce, quelle que soit la maturité concernée. / Commodity futures markets have a long history. However, since the beginning of the 21st century, both the financialization process and the development of futures markets on a non-storable commodity (the electricity) have shake up their functioning.The three essays of this thesis study theoretically and empirically commodity futures markets in different situations of functioning.The first essay is an empirical study that shows that the Samuelson effect exists on electricity derivative markets. As a consequence, it shows that storage is not a necessary condition for such an effect.The second essay is a model that shows how the dynamic behavior of storable commodity prices on a segmented futures market is affected by its physical characteristics, and more precisely by the cost of storage.Further, the third essay is a model that shows that financialization changes the risk sharing function of commodity futures markets, whatever the concerned maturity.
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Propojenost akcií, jejich ceny a riziková prémie / Asset Prices, Network Connectedness, and Risk PremiumProcházková, Vendula January 2020 (has links)
This diploma thesis introduces the measures of network connectedness in the context of asset pricing. It proposes an asset pricing model in which the factor of connectedness is included as one of the risk factors together with the three Fama-French factors. The goal of the analysis is to examine whether the con- nectedness represents a signifcant risk factor that should be considered while determining the risk premium of the portfolio in diferent sectors in the market. Using the realized volatilities and returns of 496 assets of SP 500 index over the period 2005 - 2018, that are divided into 11 sectors, we frstly determine the linkages of connectedness between the assets in the same sector. Applying Fama-MacBeth two-step regression model, we explore the signifcance of the connectedness factor for the determination of the risk premium. We argue that the sector overall connectedness represents a signifcant risk in most of the sec- tors and should be therefore taken into account by the investors in all sectors. Moreover, the total directional connectedness that captures the spillover of shocks to one asset from the other assets in the sector, is a signifcant risk fac- tor that should increase the risk premium of the portfolio, especially in sectors such as the fnancial, health care, consumer...
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The yield on newly built rental properties - Does the investor require a risk premium / Direktavkastningskrav på hyresfastigheter i nyproduktion – Kräver investeraren en riskkompensationEngsner, Sebastian, Signäs, Joakim January 2020 (has links)
In this thesis we have investigated if there is a risk premium on residential properties with presumption rent in comparison to the other two rental systems, individually-set rent and utility rent. The method chosen was a qualitative method and therefore six interviews were conducted with real estate professionals with at least ten years of experience, five real estate companies and one real estate consultancy company. From the interviews, evidence was found that there are pros and cons regarding the different Swedish rental systems and how it affects an investment on a property. However, investors seem to put more weight on initial rent levels and the expected rental growth. Vacancy risk is considered almost insignificant for investors due to the shortage in residential properties in Sweden. The analysis showed that the initial yield does differ between the rental systems. This is due to the difference in expected rental growth over the investment period. For an investment of 20 years presumption rent is the best alternative. Risks were discussed in the interviews and that every risk associated with each rental system were considered in the calculation. According to the simulations, identified risks affect the calculation which adds a risk premium that should be taken into consideration by the investors. / I denna uppsats har vi undersökt om hyresfastigheter med presumptionshyra behöver en riskkompensation gentemot de två andra hyressystemen, bruksvärdeshyra och egensatt hyra. Uppsatsen är en kvalitativ studie och sex intervjuer har genomförts, fem med fastighetsbolag och en men ett fastighetskonsultbolag. Från intervjuerna gick det att identifiera fördelar och nackdelar med det olika hyressystemet och hur de påverkar en fastighetsinvestering i en hyresfastighet. Från intervjuerna framgick att investerare förlitar sig mer på initiala hyresnivåer och förväntad hyrestillväxt under investeringsperioden. Vakansrisken anses vara mer eller mindre obetydlig för en fastighetsinvesterare givet dagens marknadsläge med den bostadsbrist som finns i Sverige. Analysen påvisade att det finns en skillnad i direktavkastningskravet mellan de olika hyressystem. Denna skillnad beror på skillnaden i förväntad hyrestillväxt över investeringsperioden. För en investering på 20 år är presumptionshyra det bästa alternativet då den får högst kalkylränta. Risker diskuterades i intervjuerna och varje risk förknippad med hyressystemen beaktades i kalkylerna. Enligt simuleringarna påverkar de identifierade riskerna kalkylerna vilket adderar en riskpremie som bör beaktas av investerarna.
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The Impact of Risk Premium Factors on Cap Rates in Sweden’s Office Market / Riskpremiefaktorerss inverkan på cap rates på den svenska inverkan på cap rates på den svenska kontorsmarknadenAdolfsson, Elias, Jansson, Jesper January 2023 (has links)
This study examines the impact of risk premium factors on cap rates within Sweden's largest office markets. The research questions address the significance of various micro- and macroeconomic variables on cap rates, as well as the extent of this impact and how it varies across different locations. The study employed a quantitative approach, specifically regression analyses, to examine three different localizations from the years 2003 to 2022. The dataset used included information from JLL and large institutions. The study found that the top three optimized models could explain 80-90% of the fluctuations in office cap rates in the CBD of Stockholm, Gothenburg, and Malmö. To sum up, the 10-year treasury bill and the spread between Baa and Aaa corporate bond yields are the main variables that have the largest impact on cap rates across all locations. The 10-year treasury bill serves as a proxy for the risk-free rate. Nonetheless, the risk-free rate had a relatively lower impact in Malmö compared to Stockholm and Gothenburg's CBD. / Denna studie undersöker effekterna av riskpremiefaktorer på cap rates för Sveriges största kontorsmarknader. Forskningsfrågorna behandlar betydelsen av olika mikro- och makroekonomiska variabler på cap rates, samt omfattningen av påverkan och hur den varierar mellan olika städer. Studien använde ett kvantitativt förhållningssätt, specifikt regressionsanalyser, för att undersöka tre olika områden från åren 2003 till 2022. Datamängden som användes innehöll information från JLL och stora institutioner. Studien fann att de tre mest optimerade modellerna kunde förklara 80-90% av fluktuationerna i cap rate för kontorsmarknaden i Stockholm, Göteborg och Malmö CBD. Sammanfattningsvis är den 10-åriga statsobligationen och spreaden mellan Baa- och Aaa-företagsobligationsräntorna de variablerna som har störst inverkan på cap rates för de tre städerna. Den 10-åriga statsobligationen fungerar som en proxy för den riskfria räntan. Dock har den riskfria räntan en relativt lägre påverkan i Malmö jämfört med Stockholm och Göteborg CBD.
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Risikoprämien von Unternehmensanleihen: Eine theoretische und empirische UntersuchungLu, Yun 10 July 2013 (has links)
Die Risikoprämie einer Unternehmensanleihe dient prinzipiell der wirtschaftlichen Kompensation für die Übernahme zusätzlicher Risiken gegenüber den Risiken der Benchmark. Allerdings findet sich in der bisher veröffentlichen Literatur eine Vielzahl von den praktischen Messkonzepten, die in vielen Fällen nicht fehlerfrei und problemlos zustande gekommen sind. Daher ist die präzise und quantitative Messung der Risikoprämien von Unternehmensanleihen eine betriebswirtschaftliche Notwendigkeit. In der vorliegenden Arbeit werden im Hinblick auf die Erreichbarkeit drei alternative Messkonzepte bezüglich der Risikoprämien von Unternehmensanleihen vorgestellt und miteinander verglichen.
Einige bisherige Studien sind der Auffassung, dass die Risikoprämien von Unternehmensanleihen zumeist von den Nicht-Kreditkomponenten beeinflusst werden. Um diese Marktanomalien zu erklären, verwenden die vorliegenden Untersuchungen das statistische lineare Faktor-Modell. In diesem Zusammenhang wird die Untersuchung von LITTERMAN/SCHEINKMAN (1991) auf die risikobehafteten Unternehmensanleihen übertragen. Im Kern steht die Frage, welche Risikoarten bzw. wie viele Einflussfaktoren wirken sich auf die Risikoprämien von Unternehmensanleihen in wieweit aus. Das Ziel ist ein sparsames lineares Faktor-Modell mit wirtschaftlicher Bedeutung aufzubauen. Somit leistet diese Dissertationsschrift einen wesentlichen Beitrag zur Gestaltung der Anleiheanalyse bzw. zur Portfolioverwaltung.
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[pt] MODELO DE OTIMIZAÇÃO ESTOCÁSTICA PARA A TOMADA DE DECISÃO NA COMERCIALIZAÇÃO DE ENERGIA ELÉTRICA NO BRASIL / [en] STOCHASTIC OPTIMIZATION MODEL FOR DECISION MAKING IN THE COMMERCIALIZATION OF ELECTRIC ENERGY IN BRAZILVICTOR CAMPOS VIEIRA DA ROSA 13 June 2022 (has links)
[pt] Com o advento do novo modelo do setor elétrico a partir de 2004, foi
permitida aos agentes de mercado a comercialização de energia no ambiente de
contratação livre. Considerando a natureza destas operações e a influência de
variáveis meteorológicas na formação e volatilidade dos preços, as decisões no
âmbito da comercialização de energia são tomadas sob condições de incerteza,
levando os agentes a buscarem estratégias de contratação para maximização do
retorno dos ativos e/ou mitigação dos riscos envolvidos. No setor elétrico brasileiro,
a gestão do risco de mercado é realizada principalmente por contratos a termo, de
forma a reduzir os impactos adversos da flutuação do PLD. Neste contexto, os
objetivos deste estudo são avaliar a aplicabilidade de dois modelos de otimização
sob incerteza, estágio único e estocástico de dois estágios, na tomada de decisão de
uma comercializadora e comparar as decisões recomendadas pelos modelos. Estes
modelos utilizaram uma função de preferência que permite representar a variação
do nível de aversão ao risco considerando diferentes bandas de preferência, tendo
os seus parâmetros determinados pelo método Analytic Hierarchical Process. Para
a construção das curvas forward do modelo estocástico de dois estágios, foi
ponderado o preço de mercado observado e as 2.000 séries do PLD da previsão
oficial do ONS. Os resultados evidenciaram a efetividade na mitigação do risco
para os produtos avaliados. Ademais, devido à redução do custo do arrependimento
a partir da modelagem do problema de otimização em dois estágios, este modelo
apresentou soluções mais rentáveis quando comparado ao modelo de único estágio. / [en] With the advent of the new model for the electricity sector in 2004, market
agents were allowed to sell energy in the free market. Considering the nature of
these operations and the influence of meteorological variables on the formation and
volatility of prices, energy trading decisions are taken under conditions of
uncertainty, leading agents to seek contracting strategies to maximize the return on
assets or mitigation of the risks involved. In the Brazilian electricity sector, market
risk management is mainly accomplished through forward contracts, in order to
reduce the adverse impacts of PLD fluctuation. In this context, the objectives of this
study are to evaluate the applicability of two optimization models under
uncertainty, single-stage and two-stage stochastic, in the decision making of a
trading company and to compare the decisions recommended by the models. These
models used a preference function that allows representing the variation of the risk
aversion level considering different preference groups, having its parameters
determined by the Analytic Hierarchical Process. For the construction of the
forward curves of the two-stage stochastic model, the observed market price and
the 2,000 PLD series of the ONS official forecast were weighted. The results
evidenced the effectiveness in risk mitigation for the evaluated products.
Furthermore, due to the reduction in the cost of regret from the two-stage
optimization problem modeling, this model presented more cost-effective solutions
when compared to the single-stage model.
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[en] DECOMPOSING THE BRAZILIAN YIELD CURVE / [pt] DECOMPOSIÇÃO DA CURVA DE JUROS BRASILEIRABRENO MAURICIO MATTOS MARTINS 02 February 2021 (has links)
[pt] Entender a formação da estrutura a termo da taxa de juros é de suma
importância para a autoridade monetária e demais agentes do mercado.
No presente trabalho, replicamos o modelo proposto por Adrian, Crump
e Moench (2013) para decompor a curva de juros brasileira e criar séries
históricas para as expectativas das taxas de juros futuras, e para os prêmios
de risco variantes no tempo. Este modelo gaussiano afim de 5 fatores latentes
estima a curva de juros brasileira a partir de um método por mínimos
quadrados ordinários em três etapas e obtém a precificação neutra ao
risco. Por fim, apesar de a literatura empírica de macroeconomia e finanças
reconhecer as limitações dos modelos gaussianos afins, nossas previsões fora
da amostra apresentaram resultados ligeiramente superiores ao modelo de
random walk. / [en] Understanding the term structure of interest rate has an important
role as a tool for the monetary authority and other market players. In
the present work, we replicate the model proposed by Adrian, Crump and
Moench (2013) to decompose the Brazilian yield curve and create historical
series for expectations of future interest rates, and for time-varying risk
premiums. This five-factor Gaussian model estimates the Brazilian yield
curve using a three-step ordinary least squares method and obtains riskneutral
pricing. Finally, although the empirical macroeconomics and finance
literature recognizes the limitations of Affine models, our out-of-sample
estimations showed results slightly superior to the random walk model.
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A Discrete Choice Mean Variance (EV) Cost Model to Measure Impact of Household Risk from Drinking Water Pipe CorrosionSarver, Eric Andrew 08 June 2017 (has links)
In traditional investment decision making, one tool commonly used is the mean variance model, also known as an expected-value variance (EV) model, which evaluates the anticipated payout of different assets with respect to uncertainty where portfolios with higher risk demand higher expected returns from an individual. This thesis adapts this framework to a cost setting where decision makers are evaluating alternative physical assets that carry lifetime cost uncertainty for maintenance. Specifically, this paper examines homeowner choices for their home plumbing systems in the event of a pinhole leak, a tiny pin-sized hole that forms in copper, drinking-water pipes. These leaks can cause substantial damage and cost homeowners thousands of dollars in repairs. Since pinhole leaks are not related to the age of pipe material, a homeowner is subject to the risk of additional costs if a pinhole leak occurs again despite their repair efforts.
The EV cost model in this paper defines two discrete choices for the homeowner in the event of a leak; to apply a simple repair at lower cost and higher future cost uncertainty, or to replace their plumbing with new pipe material, usually made of plastic, at a higher upfront cost but lower likelihood of future expenses. The risk preference of homeowners are demonstrated by their repair strategy selection, as well as the level of cost they incur to reduce uncertainty. Risk neutral individuals will select the repair strategy with the lowest lifetime expected cost and high variance, while risk averse homeowners will prefer to replace their plumbing with higher cost but lower variance. Risk averse individuals are also exposed to indirect costs, which is an additional unobserved cost in the form of a risk premium the homeowner is willing to pay to remove all uncertainty of future pinhole leak expense.
Expected costs and variances are also higher for regions in the U.S. that experience elevated leak incident rates, known as hotspots. Using this mean variance cost framework, indirect cost can be quantified for homeowners in hotspot regions and compared to the rest of the U.S. to evaluate the magnitude of pinhole leak risk. The EV cost model estimates risk premiums on pinhole leaks to be $442 for homeowners in hotspots and $305 for those in the rest of the U.S. Finally, this paper examines the impact of pinhole leak cost uncertainty on the U.S. economy. Of an estimated $692 million in annual pinhole leak costs to homeowners, this study estimates a lower bound cost of $54 million per year (7.8% of estimated national annual cost) in risk premium that homeowners would be willing to pay to avoid pinhole leak cost uncertainty.
Information in this study on the role of risk in home plumbing decisions and indirect costs would be helpful to policymakers and water utility managers as they deal with infrastructure management decisions. Furthermore, the EV cost methodology established in this paper demonstrates an effective use of mean variance modeling under cost uncertainty. / Master of Science
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股票報酬與資訊不對稱 / Information Asymmetry and Stock Return曾一平 Unknown Date (has links)
Abstract
In this paper, we examine the relation among different information asymmetry measures in Taiwan Stock Exchange and exploit the ability of the microstructure measures to measure asymmetric information. We also investigate the role of information asymmetry measures in affecting stock returns. With a random sample of 180 firms, we find that the market microstructure measure is significantly correlated with most of the corporate finance measures that should shed lights on the level of information asymmetry in advance. We also find that the analysts’ forecast measures have no relation with the microstructure measure. One main result is that the adverse selection risk does affect the stock returns. For the whole sample period, the adverse selection component has a significant impact on the stock returns and dominates all other variables except for the number of analysts following. Other significant measures include the volatility, firm size, leverage, and market to book ratio of equity. Although these information asymmetry measures act as competent determinants in the whole- period regression, they do not have consistent performance across quarters. The inconsistent result suggests that these measures may have diverse performance with regard to different periods.
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