This thesis investigates how competition effects in government procurement auction are affected by the risk distribution between the procurer and the winning bidder. The risk distribution is linked to the conditions of payment which is assumed to be largely determined by the procurer. Thus, by investigating whether competition effects are different dependent on the risk distribution, this thesis contributes to the previous literature which almost exclusively model competition effects to be determined exogenous sources of uncertainty and characteristics of the market. There is a previous literature on the effects of various payment conditions in auctions but it mostly considers ex post moral hazard issues, and not effects on the competitive behavior at the bidding stage. An econometric analysis is conducted on auctions of infrastructure construction contracts held by the Swedish Transport Administration between 2010 and 2013. The results suggest that the choice of risk distribution can shift an auction from having no competition effects in bidding to strong bid-reducing competition effects. Seemingly, the procurer appears to face a trade-off between avoiding risk and enjoying bid-reducing competition effects. The difference in competition effects between contracts with fixed and more flexible payment conditions is found to increase with the auctioned project’s expected duration. In terms of government procurement policy, the results suggest that it can be cost-efficient for the procuring entity to share the risk with the contractor in risky projects instead of avoiding risk with fixed price contracts. Whilst this may contradict some common notions regarding government procurement, it is in line with the wide use of flexible payment conditions in private-sector procurement. Arguably, the recent decade’s increased ambitions regarding innovation and sustainability in government procurement adds even further weight to these policy considerations for the risk management of procurers.

<p>Abstract</p><p>Title: The Swedish real estate companies choices of valuation within investment properties and its further effects on the qualitative characteristics of accounting.</p><p>-A study of the Swedish real estate companies listed and non - listed on the stock market, after the application of the international rule board.</p><p>Background and Problem: From January 2005, all companies, listed on a stock market within the European Union, are required to prepare their consolidated accounts using common set of International Accounting Standards, IAS/IFRS. In Sweden, this opportunity has also been given to non-listed companies, to voluntary implement these rules in their consolidated accounts. One difference between Swedish accounting rules and contemporary International rules, deals with the accounting treatment of investment properties, which foremost affects the real estate market’s accounts. In contrast to the Swedish Financial Accounting Standards Council’s recommendation RR 24, the new standard, IAS 40, permits a choice between different accounting alternatives. Investment properties can either be measured according to the Fair value model or the Cost model. By applying the Fair value model, enterprises get the opportunity to allow internal or external valuers to implement the valuation. Furthermore they can also choose if the fair value should be determined by market price/value or cash flow analysis. Difficulties concerned with the fair value model are that the market value has the tendency to follow inflation-developments and there is a high level of uncertainty in the valuation process. This combined with increased choices, can have negative effects on the qualitative characteristics of accounting; relevance, reliability, comparability and consistency. The International Standards has been implemented in Swedish companies and the first indications of the real estate companies’ choices regarding investment properties can be found in their published consolidated accounts for year 2004, as well as in the semi-annual reports for 2005. Therefore interests arose to find out if it exist any uniform accounting of investment properties among listed as well as non- listed Swedish real estate companies. Has a practice has occurred? and how has the quality of the real estate market’s accounting information been affected by IAS 40 and fair value?</p><p>Purpose: The purpose of this study has been to state the choices the real estate companies, listed and non- listed, on the stock market, have made in compliance with accounting of investment properties, concerning the principles of valuation, valuers and the basis of valuation. On the basis of this, the possible causes of these choices and the further effects on the qualitative characteristics of the accounting; relevance, reliability, comparability and consistency, has been analyzed with independent auditors perspective on the subject.</p><p>Method: This study has been carried out partly with a quantitative study of the real estate companies’ financial reports and partly with a qualitative study consisted of interviews with independent auditors.</p><p>Result and Conclusion: All of the listed Swedish real estates companies have through cooperation chosen the Fair value model, mainly because the component depreciation is considered being a poor alternative. The majority have chosen both internal and external valuers to make the valuations. Through this combination companies can achieve better valuations as well as control and quality safety. All have chosen the cash flow analysis as the basis of valuation. This choice is due to the lack of a transparent market value. Only four of the non- listed Swedish real estate companies in this study, have chosen the fair value model. Due to their size and some loans listed on the market, these companies gain more by being comparable with the listed companies. The qualitative characteristic relevance is considered most beneficial, where reliability is considered least. Comparability and consistency are also considered beneficial, but there are some conditions to be considered for them in order to benefit more in the future. The conclusion can be drawn that there exist a uniform accounting of investment property only amongst listed Swedish real estate companies. Thereby a practice has occurred only amongst them. Since three out of four qualitative characteristics of accounting are considered being beneficial, the conclusion can be drawn that fair value measures have a positive effect on the Swedish real estates market companies’ accounts.</p> / <p>Bakgrund och problem: Alla bolag noterade på en reglerad marknad inom den Europeiska Unionen skall från och med januari 2005 tillämpa gemensamma redovisningsregler, IAS/IFRS standarder, vid upprättandet av koncernredovisningen. I Sverige har även onoterade bolag fått möjligheten att frivilligt tillämpa dessa regler i koncernredovisningen. En skillnad som förekommer mellan tidigare svenskt och ny internationellt regelverk berör redovisningen av förvaltningsfastigheter, vilket framför allt påverkar fastighetsbranschens redovisning. I motsatts till redovisningsrådets rekommendation RR 24 beviljar den nya standarden IAS 40 val mellan olika redovisningssätt. Förvaltningsfastigheter kan antingen redovisas till verkligt värde eller till anskaffningsvärde med komponentavskrivningar. Vid förstnämnda valet får bolagen vidare välja att låta interna eller externa värderingsmän utföra värderingen. Dessutom får de välja värderingsunderlag, där alternativen utgörs av antingen marknadsvärde eller andra värderingsmetoder som kassaflödesmodeller. Problemen med verkligt värde är att marknadsvärdet tenderar att följa inflationsutvecklingen och osäkerheten i värderingarna är stora. Detta i kombination med utökade valmöjligheter kan i sin tur vara skadligt för redovisningens kvalitativa egenskaper, relevans, tillförlitlighet, jämförbarhet och begriplighet. Eftersom IAS/IFRS reglerna redan har trätt i kraft finns de första indikationerna på vilka faktiska val svenska fastighetsbolag har gjort gällande redovisningen av förvaltningsfastigheter i bolagens publicerade koncernredovisningar för år 2004 samt i delårsrapporterna för 2005. Härigenom har intresset väckts berörande om det förekommer en enhetlig redovisning av förvaltningsfastigheter bland svenska noterade respektive onoterade fastighetsbolag? Har en praxis uppkommit, och Hur har kvaliteten av fastighetsbranschens redovisningsinformation påverkats av övergången till IAS 40 och framförallt av införandet av verkligt värde i redovisningen?</p><p>Syfte: Syftet med denna undersökning har varit att, efter implementeringen av de internationella reglerna i koncernredovisningen år 2005, undersöka vilka val noterade respektive onoterade svenska fastighetsbolag har gjort vid redovisningen av förvaltningsfastigheter gällande värderingsprincip, värderingsmän och värderingsunderlag. Utifrån detta har sedan de möjliga bakomliggande orsakerna till dessa val samt effekterna på redovisningsinformationens kvalitativa egenskaper, tillförlitlighet, relevans, jämförbarhet och begriplighet undersökts med utgångspunkt från oberoende kunniga revisorers perspektiv.</p><p>Metod: Denna studie grundar sig på dels en kvantitativ och dels en kvalitativ undersökning. Den förstnämnda kommer i uttryck genom en granskning av fastighetsföretagens finansiella rapporter och den sistnämnda genom intervjuer med ett antal oberoende revisorer med expertis inom området.</p><p>Resultat och slutsatser: Samtliga noterade bolag har genom samarbete valt att redovisa sina förvaltningsfastigheter till verkligt värde. Anledning har framförallt varit att alternativet med komponent avskrivningar är för dåligt. Majoriteten av dessa bolag har även valt att låta både interna och externa värderingsmän utföra värderingen. Genom denna kombination uppnås bättre värderingar, kontroll och trovärdighet. Som värderingsunderlag har samtliga valt kassaflödesmodeller, vilket kan förklaras med att det sker för få transaktioner på marknaden som försvårar den direkta avläsningen av marknadsvärdet. Bland de onoterade bolagen i studien har endast fyra bolag, valt att efterfölja de noterade bolagens handlingar. På grund av deras storlek och marknadsnoterade lån vinner dessa bolag på att bli jämförbara med de noterade bolagen. Resterande onoterade bolag antingen avvaktar eller missgynnas av att byta regelverk. Av de kvalitativa kraven gynnas relevansen mest och tillförlitligheten gynnas minst, Även jämförbarheten och begripligheten blir bättre av redovisningsalternativet verkligt värde men det finns förutsättningar till att dessa gynnas mer i framtiden. Av noterade bolagens enhetliga val och onoterade bolagens varierande val kan slutsatsen dras att det förekommer en praxis endast bland de noterade svenska fastighetsbolagen. Eftersom tre av fyra kvalitativa krav gynnas kan även slutsatsen dras att kvaliteten av den svenska fastighetsbranschens redovisning blir bättre med införandet av verkligt värde.</p>

Pollen spectra found in sediments enable the research of quantitative changes in vegetation composition in the past. The fact is conditioned upon assumption of unchangeable linear relationship between abundance of pollen and the vegetation that is responsible for its production. Calibration of this relationship is experimentally performed on modern pollen samples and current vegetation. Relative pollen produktivity etimates (PPEs) represents basic parameters for the conversion of proportional pollen data into the vegetational ones. Their knowledge is indispensible for the quantitative vegetation restoration and for the simulating of the processes of pollen dispersion and deposition. PPEs estimation is performed by ERV model which corrects nonlinear relationship of proportional pollen and vegetation data back to the linear relationship. ERV model estimates PPEs values together with values of pollen background by maximum likelihood method. Knowledge of PPEs of main tree species is crucial for the understanding of processes which takes place on the level of landscape scale. Model area of Křivoklátsko was selected due to its high forest coverage and tree diversity. Twenty-four localities were chosen upon stratified random selection. Moss polsters containing modern pollen loading were taken and detailed...

Ces dernières années, la conception de produit vise de plus en plus à remettre le client aucentre du processus de développement. De nouvelles méthodes et outils ont permis de formaliser nonseulement l’identification des besoins et des attentes du client mais également leur transformation enexigences. Cependant, malgré les progrès récemment apparus dans ce domaine, la notion de valeurperçue par le client qui est associée au produit reste faiblement considérée durant le développement duproduit alors que la perception de cette valeur par le client va jouer un rôle clé au moment du choix duproduit.Dans cette thèse, nous proposons une approche normative visant l’intégration de la notion devaleur du produit dans le processus d’établissement des exigences. Un état de l’art présente lesconcepts et les pratiques impliqués dans le déploiement de la fonction de qualité, étroitement liée auprocessus de spécification des exigences basé sur la valeur. Ces concepts sont relatifs aux notionsd’objectifs, de modèles de la valeur, de fonctions d’utilité multi attributs et de hiérarchie et de réseauxd’objectifs.Notre approche se déroule en 4 étapes : (1) identifier et structurer les objectifs à partir del’expression des attentes du client, (2) spécifier les attributs de la valeur perçue par le client etconstruire un modèle de la valeur client, (3) transformer les objectifs en exigences pour construire unmodèle global de la valeur produit et (4) dériver ce modèle global en un modèle de la valeur pourchaque composant du produit. Cette approche permet ainsi de prendre en compte explicitement lavaleur produit perçue par le client en l’intégrant dans les phases de développement, ce qui favorise uneconception proactive dirigée par la valeur.Nous l’illustrons sur un exemple d’avion de ligne développé en Vanguard Studio. Cet exemplea été élaboré par l’ensemble des partenaires au cours du projet Européen IST CRESCENDO et sert decas-test pour ce projet / Recently customer-based product development is becoming a popular paradigm. Customer needsand expectations are identified and transformed into requirements in systematic processes for productdesign with the help of various methods and tools. However, in many cases, these approaches fail tofocus on the perceived value that is crucially important when customers make the decision ofpurchasing a product. The requirements specification derived from these approaches are typicallyvalue-implicit.In this thesis, a prescriptive approach to derive value-based requirements specification is proposedby integrating the concept of value into the house of quality of quality function deployment. Anintegrated set of theories, methods and concepts is introduced in order to mitigate the sevenmethodological problems of house of quality regarding to establishing appropriate value-basedrequirements specification. The foundations of the approach include concepts of objective, valuemodel and consequence model, methods of means-ends objectives network, fundamental objectiveshierarchy, response surface methodology and value-driven design, and theory of multi-attribute utilitytheory. The procedure of the approach is a four-step process: (1) identify and structure objectives frominitial customer statements of expectations, (2) specify attributes and construct customer value model,(3) transform fundamental objectives into engineering characteristics to construct system value model,and (4) derive component value models from system value model. Through this procedure, initialcustomer statements can be reasonably derived into customer value model, system value model andcomponent value model. The benefits of the approach are that it enables (1) reasonably qualifying andquantifying customer value, and performing value modeling and simulation, (2) perceived customervalue being subsequently used reactively for design evaluation, and proactively for value-drivendesign.The approach is applied in the context of a European Community’s R&D project CRESCENDO tohelp constructing airlines’ group value model for commercial aircraft development. This applicationfocuses on the first two-steps of the approach, and the value models are implemented in businesssoftware Vanguard Studio

Abstract Title: The Swedish real estate companies choices of valuation within investment properties and its further effects on the qualitative characteristics of accounting. -A study of the Swedish real estate companies listed and non - listed on the stock market, after the application of the international rule board. Background and Problem: From January 2005, all companies, listed on a stock market within the European Union, are required to prepare their consolidated accounts using common set of International Accounting Standards, IAS/IFRS. In Sweden, this opportunity has also been given to non-listed companies, to voluntary implement these rules in their consolidated accounts. One difference between Swedish accounting rules and contemporary International rules, deals with the accounting treatment of investment properties, which foremost affects the real estate market’s accounts. In contrast to the Swedish Financial Accounting Standards Council’s recommendation RR 24, the new standard, IAS 40, permits a choice between different accounting alternatives. Investment properties can either be measured according to the Fair value model or the Cost model. By applying the Fair value model, enterprises get the opportunity to allow internal or external valuers to implement the valuation. Furthermore they can also choose if the fair value should be determined by market price/value or cash flow analysis. Difficulties concerned with the fair value model are that the market value has the tendency to follow inflation-developments and there is a high level of uncertainty in the valuation process. This combined with increased choices, can have negative effects on the qualitative characteristics of accounting; relevance, reliability, comparability and consistency. The International Standards has been implemented in Swedish companies and the first indications of the real estate companies’ choices regarding investment properties can be found in their published consolidated accounts for year 2004, as well as in the semi-annual reports for 2005. Therefore interests arose to find out if it exist any uniform accounting of investment properties among listed as well as non- listed Swedish real estate companies. Has a practice has occurred? and how has the quality of the real estate market’s accounting information been affected by IAS 40 and fair value? Purpose: The purpose of this study has been to state the choices the real estate companies, listed and non- listed, on the stock market, have made in compliance with accounting of investment properties, concerning the principles of valuation, valuers and the basis of valuation. On the basis of this, the possible causes of these choices and the further effects on the qualitative characteristics of the accounting; relevance, reliability, comparability and consistency, has been analyzed with independent auditors perspective on the subject. Method: This study has been carried out partly with a quantitative study of the real estate companies’ financial reports and partly with a qualitative study consisted of interviews with independent auditors. Result and Conclusion: All of the listed Swedish real estates companies have through cooperation chosen the Fair value model, mainly because the component depreciation is considered being a poor alternative. The majority have chosen both internal and external valuers to make the valuations. Through this combination companies can achieve better valuations as well as control and quality safety. All have chosen the cash flow analysis as the basis of valuation. This choice is due to the lack of a transparent market value. Only four of the non- listed Swedish real estate companies in this study, have chosen the fair value model. Due to their size and some loans listed on the market, these companies gain more by being comparable with the listed companies. The qualitative characteristic relevance is considered most beneficial, where reliability is considered least. Comparability and consistency are also considered beneficial, but there are some conditions to be considered for them in order to benefit more in the future. The conclusion can be drawn that there exist a uniform accounting of investment property only amongst listed Swedish real estate companies. Thereby a practice has occurred only amongst them. Since three out of four qualitative characteristics of accounting are considered being beneficial, the conclusion can be drawn that fair value measures have a positive effect on the Swedish real estates market companies’ accounts. / Bakgrund och problem: Alla bolag noterade på en reglerad marknad inom den Europeiska Unionen skall från och med januari 2005 tillämpa gemensamma redovisningsregler, IAS/IFRS standarder, vid upprättandet av koncernredovisningen. I Sverige har även onoterade bolag fått möjligheten att frivilligt tillämpa dessa regler i koncernredovisningen. En skillnad som förekommer mellan tidigare svenskt och ny internationellt regelverk berör redovisningen av förvaltningsfastigheter, vilket framför allt påverkar fastighetsbranschens redovisning. I motsatts till redovisningsrådets rekommendation RR 24 beviljar den nya standarden IAS 40 val mellan olika redovisningssätt. Förvaltningsfastigheter kan antingen redovisas till verkligt värde eller till anskaffningsvärde med komponentavskrivningar. Vid förstnämnda valet får bolagen vidare välja att låta interna eller externa värderingsmän utföra värderingen. Dessutom får de välja värderingsunderlag, där alternativen utgörs av antingen marknadsvärde eller andra värderingsmetoder som kassaflödesmodeller. Problemen med verkligt värde är att marknadsvärdet tenderar att följa inflationsutvecklingen och osäkerheten i värderingarna är stora. Detta i kombination med utökade valmöjligheter kan i sin tur vara skadligt för redovisningens kvalitativa egenskaper, relevans, tillförlitlighet, jämförbarhet och begriplighet. Eftersom IAS/IFRS reglerna redan har trätt i kraft finns de första indikationerna på vilka faktiska val svenska fastighetsbolag har gjort gällande redovisningen av förvaltningsfastigheter i bolagens publicerade koncernredovisningar för år 2004 samt i delårsrapporterna för 2005. Härigenom har intresset väckts berörande om det förekommer en enhetlig redovisning av förvaltningsfastigheter bland svenska noterade respektive onoterade fastighetsbolag? Har en praxis uppkommit, och Hur har kvaliteten av fastighetsbranschens redovisningsinformation påverkats av övergången till IAS 40 och framförallt av införandet av verkligt värde i redovisningen? Syfte: Syftet med denna undersökning har varit att, efter implementeringen av de internationella reglerna i koncernredovisningen år 2005, undersöka vilka val noterade respektive onoterade svenska fastighetsbolag har gjort vid redovisningen av förvaltningsfastigheter gällande värderingsprincip, värderingsmän och värderingsunderlag. Utifrån detta har sedan de möjliga bakomliggande orsakerna till dessa val samt effekterna på redovisningsinformationens kvalitativa egenskaper, tillförlitlighet, relevans, jämförbarhet och begriplighet undersökts med utgångspunkt från oberoende kunniga revisorers perspektiv. Metod: Denna studie grundar sig på dels en kvantitativ och dels en kvalitativ undersökning. Den förstnämnda kommer i uttryck genom en granskning av fastighetsföretagens finansiella rapporter och den sistnämnda genom intervjuer med ett antal oberoende revisorer med expertis inom området. Resultat och slutsatser: Samtliga noterade bolag har genom samarbete valt att redovisa sina förvaltningsfastigheter till verkligt värde. Anledning har framförallt varit att alternativet med komponent avskrivningar är för dåligt. Majoriteten av dessa bolag har även valt att låta både interna och externa värderingsmän utföra värderingen. Genom denna kombination uppnås bättre värderingar, kontroll och trovärdighet. Som värderingsunderlag har samtliga valt kassaflödesmodeller, vilket kan förklaras med att det sker för få transaktioner på marknaden som försvårar den direkta avläsningen av marknadsvärdet. Bland de onoterade bolagen i studien har endast fyra bolag, valt att efterfölja de noterade bolagens handlingar. På grund av deras storlek och marknadsnoterade lån vinner dessa bolag på att bli jämförbara med de noterade bolagen. Resterande onoterade bolag antingen avvaktar eller missgynnas av att byta regelverk. Av de kvalitativa kraven gynnas relevansen mest och tillförlitligheten gynnas minst, Även jämförbarheten och begripligheten blir bättre av redovisningsalternativet verkligt värde men det finns förutsättningar till att dessa gynnas mer i framtiden. Av noterade bolagens enhetliga val och onoterade bolagens varierande val kan slutsatsen dras att det förekommer en praxis endast bland de noterade svenska fastighetsbolagen. Eftersom tre av fyra kvalitativa krav gynnas kan även slutsatsen dras att kvaliteten av den svenska fastighetsbranschens redovisning blir bättre med införandet av verkligt värde.

This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle &amp; Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock valuations.

Made available in DSpace on 2016-03-15T19:26:47Z (GMT). No. of bitstreams: 1 Edward Bernard Bastiaan de Rivera y Rivera.pdf: 1167837 bytes, checksum: 41d8da3c55729cd22e09b6eb7f9ec567 (MD5) Previous issue date: 2010-03-02 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The Present Value Model (PVM) in which current security prices depend upon the present value of future discounted dividends, where the discount rate is equivalent to the required rate of return is one of the models in Finance Theory. This relationship has gathered attention from empirical literature due to the rapid price increase in stock markets throughout the decade of 1990 and its subsequent fall. The objective of this work is to analyze the validity of the PVM between prices and dividends at the firm level from panel techniques applied to nonstationary and potentially cointegrated processes for the Brazilian stock market. Results indicate that, in the Present Value Model with Constant Expected Returns, the hypothesis that real prices and real dividends have a unit root cannot be rejected. Respective panel cointegration tests indicate that real prices and real dividends are cointegrated, and hence attributing validity to the PVM under the hypothesis of constant expected returns. Regarding the Present Value Model with Time-Varying Expected Returns, the hypothesis that log real prices and log real dividends are nonstationary (1) and that log price-dividend ratio is (0) cannot be rejected as analyzed in theory for the validation of the underlying Model. The respective panel cointegration tests yield evidence that the series log real prices and log real dividends are cointegrated, validating the PVM under the hypothesis of time-varying expected returns. Considering FMOLS and DOLS estimators for panel cointegration models, results indicate that stock prices are overvalued under either constant or time-varying expected returns. / O Modelo de Valor Presente (MVP) - no qual os preços correntes dos títulos dependem do valor presente de dividendos futuros descontados, em que a taxa de desconto é equivalente à taxa requerida de retorno - é um dos modelos da Teoria Financeira. Esta relação tem sido alvo da literatura empírica pelo rápido aumento dos preços no mercado de ações na década de 1990 e queda subsequente. O objetivo deste trabalho é analisar a validação do MVP por meio da análise da relação de longo prazo entre preços e dividendos em nível da empresa a partir de técnicas de painéis aplicados a processos não estacionários e potencialmente cointegrados para o mercado acionário no Brasil. Os resultados indicam que, no Modelo de Valor Presente com Retornos Esperados Constantes no Tempo, não se rejeita a hipótese de que preços reais e dividendos reais possuam raiz unitária. Os respectivos testes de cointegração em painel apontam que as séries de preços reais e dividendos reais são cointegradas, validando-se o MVP sob a hipótese de retornos esperados constantes. Em relação ao Modelo de Valor Presente com Retornos Esperados Variantes no Tempo, não se rejeita a hipótese de que log de preços reais e log de dividendos reais sejam não estacionários (1) e que o log da razão preço-dividendo seja (0) como previsto em teoria para a validação do Modelo. Os respectivos testes de cointegração em painel indicam que as séries log de preços reais e log de dividendos reais são cointegrados, validando-se o MVP sob a hipótese de retornos esperados variantes. Estimadores FMOLS e DOLS aplicados a painéis cointegrados indicam que os preços das ações encontram-se sobreavaliados, admitindo-se retornos esperados constantes ou variantes no tempo.

Made available in DSpace on 2016-03-15T19:31:11Z (GMT). No. of bitstreams: 1 Carlos Eduardo Mariano da Silvaprot.pdf: 2595730 bytes, checksum: 9833a96c1c04d678ce0e727b83b72b45 (MD5) Previous issue date: 2015-02-11 / The aim of this work is to test the rationality of the Brazilian market for commodities actively negotiated at the BM&FBovespa, the exchange for stocks and derivatives in Brazil. The study encompasses live cattle, arabic coffee, corn and the US$/R$ exchange rate. The Present Value Model (PVM) was used to test the ratio between the future and spot prices spread and the market price of commodity under study. The ratio between the convenience yield, that accrues to holders of inventory, and the spot price is also tested. Cointegration tests, Granger causality tests and serial autocorrelation are among the tools employed. Conformance to the present value model is weak, since there is no cointegration between the convenience yield and the spot price for none of the four commodities. Prices, therefore, deviate from fundamentals. It is not possible to reconcile return forecasts with an efficient market environment under a context of rational expectations for the above mentioned assets. It is thus necessary continued investigations in this field. Two alternative schools of thought for investigations would be using equilibrium models between future and spot prices with arbitrage finite elasticity and, if prices follow an stochastic multivariate process, reverting to a trend line, to treat the convenience yield as an endogenous variable. / Este trabalho de pesquisa teve por objetivo principal testar a racionalidade do mercado brasileiro de commodities agropecuárias, para os ativos boi gordo, café arábica, milho e no âmbito de ativos financeiros, para a taxa de câmbio do dólar norteamericano. Essas commodities estocáveis são largamente transacionadas na Bolsa de Mercadoria e Futuros (BM&FBovespa). Utilizou-se o modelo de valor presente (PVM) da razão entre o spread dos preços futuros e a vista ( spot ) e o preço de mercado do ativo em questão, bem como entre o ganho de conveniência, que é o benefício obtido pelos detentores de estoque físico e o preço de mercado spot , utilizando testes de cointegração, de causalidade no sentido de Granger e de auto correlação dos excessos de retorno. Os resultados da pesquisa mostram uma fraca evidência do modelo para explicar os preços das commodities estocáveis estudadas, já que não houve cointegração entre o preço spot e o ganho de conveniência para nenhuma das commodities. Os preços, portanto, se desviam dos valores fundamentais para as commodities neste estudo. Assim, não é possível compatibilizar a previsibilidade de retornos com a existência de um mercado eficiente sob um contexto de expectativas racionais para os ativos estudados. Nesse sentido é necessária a continuidade das investigações neste campo. Duas vertentes alternativas para esses estudos seriam a utilização de modelos de equilíbrio de preços spot e futuros com elasticidade finita de arbitragem e, em outra linha de pesquisa, se os preços seguirem um processo multivariável estocástico, revertendo à uma linha de tendência, tratar o ganho de conveniência como uma variável endógena.

Made available in DSpace on 2016-03-15T19:31:20Z (GMT). No. of bitstreams: 1 Patricia Marilia Ricomini e Almeida.pdf: 431610 bytes, checksum: 0efa171a28be7631027cccbcc8a1bc23 (MD5) Previous issue date: 2010-03-08 / Fundo Mackenzie de Pesquisa / The concept of efficient market hypothesis has been the focus of finances for a long time, with the development of powerful theoretical reasons to explain why the hypothesis should remain. Since the beginning of 1930, the first papers about the analysis of securities were in evidence, it s been emerging the idea that the fundamental value of any security should be equal to the discounted cash flow from it and prices would vary around their fundamental values. Despite of security s present value beeing the best indicator to reflect their true value, this model covers expectations about future income, discount rate and people s racionality, becoming dificult the aplication of this model uses. As consequence, Campbell e Shiller (1987) developed the cointegration model, a powerful framewoork for testing expectations and racionality in financial markets. In this context, the literature about panel with unit roots and cointegration have been extended in a fast way. In part, this is happening due to the complex nature of interactions and dependences that, generally, ocurrs during the time and between individual units in the panel. The major recent concern of econometric literature, related to the cointegration tests and the unit roots of the dynamic panels, has been the development of tests that control the cross sectional dependence. In such case, an econometric model was adopted based on the application of the unit roots and the cointegration tests in panel, with the firm beeing the unit of analysis. To deal with the serial correlation, problems of nonstationary series as well as problems of small sample, recent techniques were applied in this study: panel dynamic OLS (DOLS) and fully modified OLS (FMOLS). Nine stocks, that compose the São Paulo Stock Exchange Index, have been analyzed throughout the period between 1994 and 2008. Summarizing, in spite of some conflicting results, it s possible to prove that there is a cointegration process between the prices of equities traded at BM&FBOVESPA and the dividends. The results obtained in this study allow the partial validation of the present value model at the firm level. However, the prices seemed not to reflect the expectation of dividends for the brazillian market. Therein, the prices of equities are over valued in relation to the payment of the dividends. Future researchs about the present value model for the brazillian market should be done. / A Hipótese de Eficiência de Mercado tem sido a proposição central das finanças durante muitos anos, com o desenvolvimento de razões teóricas poderosas explicando porque a hipótese deveria permanecer. A partir da década de 30, destacam-se os primeiros trabalhos relacionados à análise de títulos, surgindo a idéia de que o valor fundamental de qualquer título seria igual ao fluxo de caixa descontado deste, e que os preços atuais iriam variar em torno dos valores fundamentais. Apesar do valor presente de um ativo ser o melhor indicador para refletir seu verdadeiro valor, ele envolve expectativas sobre a renda futura, a taxa de desconto e a racionalidade das pessoas, tornando difícil a aplicação na prática desse modelo. Surge, então, o modelo de cointegração de Campbell e Shiller (1987), uma ferramenta útil para o teste de expectativas e racionalidade nos mercados financeiros. Nesse contexto, a literatura sobre painel com raízes unitárias e cointegração começa a crescer rapidamente. Em parte isso ocorre em função da natureza complexa de interações e dependências que geralmente existem ao longo do tempo e entre as unidades individuais no painel. A maior preocupação da literatura, no que diz respeito à análise de dados em painéis dinâmicos, tem sido o desenvolvimento de testes que controlem a dependência cross sectional. Nesse estudo,adotou-se um modelo econométrico baseado na aplicação de raízes unitárias e testes de cointegração em painel, tendo a empresa como unidade de análise. Para tratar a correlação serial, problemas de não estacionariedade das séries bem como problemas de pequena amostra, foram adotadas as técnicas de Panel Dynamic OLS (DOLS) e Fully Modified OLS (FMOLS). Analisaram-se nove ações (Klabin, Petrobrás, Bradesco, Itáu, Cemig, Ambev, Souza Cruz, Aracruz e Vale) para o período de 1994 a 2008. Apesar de alguns resultados conflitantes, é possível afirmar que existe um processo de cointegração entre os preços das ações negociadas e os dividendos. Os resultados permitem a validação parcial do modelo de valor presente a nível individual, já que os preços das ações parecem não refletir integralmente a expectativa dos dividendos para o mercado brasileiro. Os preços das ações estão superavaliados com relação aos dividendos. Recomendam-se pesquisas futuras sobre o modelo de valor presente para o mercado financeiro brasileiro.

L'intérêt pour les énergies renouvelables et pour la réduction des émissions de gaz à effet de serre a conduit au développement de l'éthanol comme carburant pour les moteurs à combustion interne. Les moteurs dits Flexfuel, en particulier, peuvent fonctionner avec un mélange quelconque d'essence et d'éthanol. Ces deux carburants ont des propriétés physico-chimiques différentes, qui influent sur le fonctionnement du moteur et, partant, sur son contrôle. Les systèmes de contrôle moteur habituels ne prennent pas en compte ces propriétés variables. Sur un moteur Flexfuel, les réglages doivent être adaptés à chaque carburant, afin de maintenir le niveau des émissions polluantes et l'agrément. Cependant, ces adaptations ne doivent pas se faire au prix d'un accroissement excessif du travail de calibration. Cette thèse traite de ces questions. Les effets des différentes propriétés du carburant sur le moteur et son contrôle sont tout d'abord analysés afin de définir les besoins en termes de contrôle. Un modèle moyen de moteur, adapté aux variations de propriétés du carburant, est alors développé pour reproduire ces effets et permettre l'évaluation de stratégies de contrôle. Dans ce travail, celles-ci incluent une méthode d'estimation de la composition du carburant pendant le fonctionnement du moteur, et son utilisation dans le contrôle de la richesse. / The interest in renewable energies and in the reduction of greenhouse gas emissions has led to the development of ethanol as a fuel for internal combustion engines. In particular, so-called Flexfuel engines can run on any mixture of gasoline and ethanol. These two fuels have different physico-chemical properties. These influence engine operation, and in turn, its control. These variable properties are not taken into account in conventional engine management systems. In a Flexfuel engine, the engine settings must be adapted to each fuel used, in order to maintain the pollutant emissions and the drivability levels, andto take advantage of the performance and efficiency improvements allowed by ethanol. However, these adaptations should not result in a cumbersome increase in the calibration work. This thesis addresses these issues. The effects of the different fuel properties on the engine and its control are first analyzed, for defining the control requirements. A mean-value, fuel-flexible, engine model reproducing these effects is then developed for the evaluation of control strategies. These include in this work a method for estimating the fuel composition during engine operation, and its use in the equivalence ratio control.