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Saboo, Jai Vardhan. "An investment analysis model using fuzzy set theory." Thesis, Virginia Polytechnic Institute and State University, 1989. http://hdl.handle.net/10919/50087.
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Traditional methods for evaluating investments in state-of-the-art technology are sometimes found lacking in providing equitable recommendations for project selection. The major cause for this is the inability of these methods to handle adequately uncertainty and imprecision, and account for every aspect of the project, economic and non-economic, tangible and intangible. Fuzzy set theory provides an alternative to probability theory for handling uncertainty, while at the same time being able to handle imprecision. It also provides a means of closing the gap between the human thought process and the computer, by enabling the establishment of linguistic quantifiers to describe intangible attributes. Fuzzy set theory has been used successfully in other fields for aiding the decision-making process.
The intention of this research has been the application of fuzzy set theory to aid investment decision making. The research has led to the development of a structured model, based on theoretical algorithms developed by Buckley and others. The model looks at a project from three different standpoints- economic, operational, and strategic. It provides recommendations by means of five different values for the project desirability, and results of two sensitivity analyses. The model is tested on a hypothetical case study. The end result is a model that can be used as a basis for promising future development of investment analysis models.Master of Science
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Cilliers, Johanna Judith. "Investment potential assessment : an analysis model / by Judy Cilliers." Thesis, North-West University, 2004. http://hdl.handle.net/10394/2391.
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Binsaif, Ahmed Abdulaziz O. "Investment banks' business model innovation : evidence from Saudi Arabia." Thesis, University of Exeter, 2017. http://hdl.handle.net/10871/33018.
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The Investment bank industry is considered to be an essential element of not only the financial system but also the whole economy. Understanding multiple business models employed by multi-services industry such Investment bank is a matter of great significance for Investment banks’ executives, regulators and analysts. In 2008 the business model that had been employed by investment banks for almost two decades vanished due to the global financial crisis. Investment banks were forced to change and innovate their traditional business models. This research intends to develop a conceptual framework which helps to realize and study investment banks’ business models with the core components and related activities. Multiple business models mapping for investment banks is developed to give seniors executives core and possible activities and alternatives to innovate and change various business models for different lines including asset management, brokerage, investment banking and custody services. In addition, the business model (innovation) drivers are investigated to empirically explore the most powerful drivers on investment banks’ multiple business models (innovation), potential changes and degree of alteration on its activities for each business line. For these aims, a systematic literature review was carried to synthesise the recent advancements in the business model literature and explore how firms approach business model innovation. As result, a conceptual framework for business model (innovation) was developed, which encompasses four components value proposition, operational value, human capital and financial value. This framework can be utilized by practitioners as a 'navigation map' to determine where and how to change their business models. By using the qualitative methodology through semi-structured interviews with 29 senior executives from 10 fully-licensed investment banks in Saudi Arabia and secondary data including financial statements, annual reports and pillar III disclosures, the empirical study mapped the investment banks’ multiple business models and identified a business model for each business line. Sixteen activities for each business line were determined to provide core and possible activities and alternatives. This research contributes to our understating of managing and innovating multiple business models in the industry when investment banks should run these multiple business models. The Investment banks’ business models are different in terms of business lines, core offerings, clients, key assets, key process, revenue streams and costs structure. Over and above, each line shows diverse business models applied by investment banks. Furthermore, unlike other studies, this research contributed by investigating drivers that force investment banks to change their existing business models, the degree of changes and which activities did investment banks consider when responding to particular drivers. This study found that clients, crisis and economic changes, rivalry, top management and regulations are the five drivers forcing investment banks to not only embark on change events, but also carry out business model changes in most investment banks’ business lines.
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Guirguis, Michel. "A multifactor model of investment trust discounts." Thesis, Bournemouth University, 2005. http://eprints.bournemouth.ac.uk/346/.
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A closed-end fund, known as an investment trust in the UK and closed-end fund in the US, is a collective investment company that invests in shares of other companies. This study attempts to describe and explain the persistence of the excess discount return on UK investment trusts and US closed-end funds. The ability to identify which factors best capture return variation is central to applications of multifactor pricing models. So the main purpose of this thesis is the application of a multifactor risk model that will explain the-existence of the excess discount return. Hence, the title of the thesis: "A Multifactor Model of Investment Trust Discounts. A Comparative Study of UK Investment Trusts and US Closed-End Funds" First, the time-series properties of the closed-end funds' net asset values (NAVs) and discounts are investigated. In terms of normality, we find that the UK and US excess NAV returns and discounts are approximately normally distributed. In addition, through Augmented Dickey-Fuller tests, we find that the UK and US discounts are non-stationary, but the excess discount returns and the excess NAV returns are stationary. In terms of multicollinearity, we find that the independent variables included in our models are not closely correlated, so we do not have problems in using them in the regression models in Chapters 7 and 8. Finally, there are no significant differences in the discount during the month of January and other months. In Chapter 7, we study the importance of management performance in terms of excess NAV returns and discount persistence. We use three approaches: Fama and French's (1993) three-factor model, an extended Fama and French model which incorporates a market timing variable, and a performance persistence model used by Carhart (1997) and Dimson and Minio-Kozerski (2001). On average, the six-factor model developed in the thesis can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size, the book-to-market effect, momentum, sentiment and expenses. In contrast, Fama and French's (1993) three-factor and Carhart's (1997) four-factor models explain only 42% of the variation of the excess discount return. Similarly, the six-factor model can explain 66% of the variation in the excess discount return in the US market by taking into consideration the same six independent variables. In contrast, Fama and French's (1993) three-factor model explains 59% of the excess discount return variation and Carhart's (1997) four-factor model explains 65% of the variation.
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Wolff, Janik. "IT-Security Investment Models." Thesis, Växjö University, School of Mathematics and Systems Engineering, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-6390.
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Ercolani, Marco G. "Price uncertainty, investment and consumption." Thesis, University of Essex, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.265023.
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Nguyen, Hong-Oanh. "Business Fixed Investment: Some Theoretical Issues and Applications to U.S. Manufacturing Industries, 1947-1999." Thesis, Griffith University, 2005. http://hdl.handle.net/10072/368107.
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This study seeks to make a contribution toward gaining a greater understanding of investment dynamics. The study has two main objectives: (1) to carry out a theoretical analysis of the dynamic behaviour of investment; and (2) to combine two strands of investment theory, dealing with financial constraints and financial development, and to apply the combined model to industry-level data.
The study recognises that the neoclassical model represents a major advance from previous theories of investment, as it provides an explanation of how the desired capital stock is determined within a rigorous net-worth maximisation framework. By incorporating a convex adjustment cost function into that framework, the Q model has even greater theoretical appeal, in that it permits an explicit analysis of investment dynamics. However, the Q model generally does not perform well in empirical studies, due partly to a number of problems related to variable Q itself.
To achieve the first objective, the dynamic properties of investment are analysed within the framework of a neoclassical model that, like the Q model, incorporates a convex adjustment cost function. However, rather than proceeding through first-order conditions involving the capital stock and its shadow price variable as in the Q model and many of its variants, this study employs the Euler equation approach to focus directly on the relationship between capital stock and investment, which is found to be characterised by saddle point equilibrium. This means that, following a shock (such as an unexpected cut in interest rates) the system must jump immediately to an appropriate point on the new saddle path associated with the new equilibrium. The study shows that under reasonable assumptions concerning the adjustment cost and production functions, these initial jumps typically involve investment overshooting its steady-state value in the short term. Investment overshooting also implies overshooting by stock prices in financial markets.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
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曾建堂 and Kin-tong Andrew Tsang. "Macroeconomic model of housing investment in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B4257643X.
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Smith, Shaun. "Combining Markowitz's selection model with different investment styles." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64816.
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Portfolio selection has been a well-researched topic since the mid 1950Õs. Researchers such as Harry Markowitz obtained the Noble Prize for his work on portfolio selection. His model, which is underpinned by the concept that the market is efficient, has been the cornerstone of many investment strategies over the years.
Recently, however, many authors have claimed that the markets are inefficient, and that one cannot rely on a model that assumes a linear and static relationship between risk and reward, making the Markowitz Portfolio Selection Model (MPSM) obsolete.
Literature suggests that much of this inefficiency is created through the use of different styles; that is, styles in which shares are grouped together based on certain fundamental characteristics, to inform the investment strategies of investors.
Therefore, this study endeavours to supplement the MPSM with different investment styles. Firstly, testing whether the risk adjustment afforded by the MPSM is positively influenced by the different investment styles. Secondly, to determine which style achieves the highest returns over the selected period.
Monthly total return data from the JSE was used and portfolio rebalancing took place every six months for a period of 10 years. The share weightings of the portfolios were informed by risk adjusted style based predicted returns. The performance of these portfolios was subsequently compared.
Results indicated that style influenced portfolios outperform the non-style influenced MPSM, with some styles providing greater returns than others over the period selected.Mini Dissertation (MBA)--University of Pretoria, 2017.
lt2018
Gordon Institute of Business Science (GIBS)
MBA
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Tsang, Kin-tong Andrew. "Macroeconomic model of housing investment in Hong Kong." Click to view the E-thesis via HKUTO, 2001. http://sunzi.lib.hku.hk/hkuto/record/B4257643X.
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Ye, Ruyi. "An economic model of investment in information security /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?ISMT%202004%20YE.
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Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2004.Includes bibliographical references (leaves 39-41). Also available in electronic version. Access restricted to campus users.
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Pauna, T. (Tommi). "Stakeholder organization model for collaborative industrial investment projects." Master's thesis, University of Oulu, 2019. http://jultika.oulu.fi/Record/nbnfioulu-201908032736.
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Abstract. Industrial investment projects are carried out in complex networks of different organizations. Therefore, resources and competencies from different organizations have to be integrated to the project. Success statistics of large investment projects are quite weak when they are evaluated with traditional quality, cost and time indicators. Especially management of complex networks and integration of different stakeholders cause challenges. In the literature, it has been noted that team integration, collaboration and better management of inter-organizational integration can improve project performance. In industrial investment project context, there is a lack of knowledge about which stakeholders should be involved in collaboration and how deeply and in which project phases.
The purpose of the study is to construct a model that defines different levels of collaboration and supports in organizing stakeholders on these levels. In addition, the model should define that how deeply different levels are involved and what collaborative methods and tools they use. In the beginning of the research, literature related to inter-organizational integration, stakeholder management and level of collaboration are presented. Empirical research was conducted by observations in the case project and in a workshop that was arranged for industrial experts.
In complex projects with a lot of uncertainty and equivocality, important stakeholders should be involved early in the project. Early involvement, socialization, joint discussions and mutual collaboration can support the achievement of goals and help improve project performance. Stakeholders’ importance can be defined according to their roles and responsibilities in the project, their competencies, information and interests related to the project and the level they can affect the project. Important stakeholders of the case project had a central role in the project and they had competencies that were useful for the project design and scheduling. According to the literature review and empirical analysis, the stakeholder organization model is constructed and its use defined.
Stakeholder organization model includes five phases:
— Defining the project objectives and overall need for collaboration
— Stakeholder identification
— Evaluation of stakeholder importance
— Stakeholder organization on different levels of collaboration
— Defining appropriate integration mechanisms and collaborative methods and tools for each level
There were no guidelines for organizing stakeholders on different levels in industrial investment project context. The model of this study can be used for defining need for collaboration and important stakeholders, organizing stakeholders on different levels and definition of which collaborative methods and tools could be introduced in the project and how different levels should use them. The results can be utilized in collaborative investment projects but utility of the model should be validated in different industrial projects. Stakeholder levels and requirements for the use of collaborative methods and tools should be tested and adjusted if needed.Sidosryhmien organisointimalli yhteistoiminnallisiin teollisiin investointiprojekteihin. Tiivistelmä. Teolliset investointiprojektit toteutetaan erilaisten organisaatioiden verkostoissa. Siksi resursseja ja kompetensseja erilaisilta organisaatioilta tulee integroida mukaan projektiin. Suurten investointiprojektien onnistumistilastot ovat melko heikkoja, kun niitä arvioidaan perinteisillä laatu-, kustannus- ja aikaindikaattoreilla. Erityisesti kompleksisten verkostojen hallinta ja erilaisten sidosryhmien integrointi aiheuttavat haasteita. Kirjallisuudessa on huomattu, että tiimin integraatio, yhteistoiminnallisuus ja parempi organisaatioiden välisen integraation hallinta voivat parantaa suorituskykyä. Teollisten investointiprojektien tapauksessa ei tiedetä, mitkä sidosryhmät tulisi osallistaa yhteistoimintaan, kuinka tiiviisti ja missä projektin vaiheissa.
Tämän tutkimuksen tarkoitus on konstruoida malli, joka määrittää erilaiset yhteistoiminnallisuuden tasot ja tukee sidosryhmien organisointia näille tasoille. Lisäksi mallin avulla voidaan määritellä kuinka tiiviisti erilaiset tasot osallistuvat ja mitä yhteistoiminnallisia menetelmiä ja työkaluja ne käyttävät. Tutkimuksen aluksi esitellään kirjallisuutta organisaatioiden väliseen integraatioon, sidosryhmien johtamiseen ja yhteistoiminnallisuuden tasoihin liittyen. Empiirinen tutkimus suoritettiin havainnointitutkimuksena case-projektissa ja työpajana, joka järjestettiin teollisuuden asiantuntijoille.
Kompleksisissa projekteissa, joissa on paljon epävarmuutta ja tulkinnanvaraisuutta, tärkeät sidosryhmät tulisi osallistaa projektiin varhaisessa vaiheessa. Varhainen osallistaminen, sosialisointi, yhteiset keskustelut ja keskinäinen yhteistoiminta voivat tukea tavoitteiden saavuttamista ja auttaa parantamaan projektin suorituskykyä. Sidosryhmien tärkeys voidaan määritellä, niiden roolien ja vastuiden, projektiin liittyvien kompetenssien, informaation ja kiinnostuksen ja sen kuinka paljon ne voivat vaikuttaa projektiin, perusteella. Case-projektin tärkeillä sidosryhmillä oli keskeinen rooli projektissa ja kokemusta ja osaamista, jotka olivat hyödyllisiä projektin suunnitteluun ja aikataulutukseen. Sidosryhmien organisointimalli on konstruoitu ja sen käyttö määritelty kirjallisuuskatsauksen ja empiirisen analyysin perusteella.
Sidosryhmien organisointimalli sisältää viisi vaihetta:
— Määritellään projektin tavoitteet ja yhteistoiminnallisuuden kokonaistarve
— Tunnistetaan sidosryhmät
— Arvioidaan sidosryhmien tärkeys
— Organisoidaan sidosryhmät erilaisille yhteistoiminnallisuuden tasoille
— Määritellään sopivat integraatiomekanismit ja yhteistoiminnalliset menetelmät ja työkalut jokaiselle tasolle
Teollisille investointiprojekteille ei ollut olemassa ohjeita siitä, miten sidosryhmät tulisi organisoida erilaisille tasoille. Tämän tutkimuksen mallia voidaan käyttää määriteltäessä yhteistoiminnallisuuden tarvetta ja tärkeitä sidosryhmiä, sidosryhmien organisoinnissa eri tasoille ja määrittelyssä siitä mitä yhteistoiminnallisia menetelmiä ja työkaluja voitaisiin ottaa käyttöön projektissa ja kuinka erilaisten tasojen tulisi käyttää niitä. Tutkimustuloksia voidaan käyttää yhteistoiminnallisissa investointiprojekteissa mutta mallin käytettävyys tulisi validoida erilaisissa investointiprojekteissa. Sidosryhmien tasot ja yhteistoiminnallisten menetelmien ja työkalujen käytön vaatimukset pitäisi testata ja hienosäätää tarvittaessa.
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Araújo, Catarina Sofia Correia. "Financial reporting about investment properties: evidence from Portuguese listed companies." Master's thesis, NSBE - UNL, 2013. http://hdl.handle.net/10362/9806.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and EconomicsCompanies are increasing their investment properties; however they are not disclosing the information that is required by the IAS 40. It regulates the financial reporting of those assets, it defines the scope and the models that companies may use when measuring their investments properties. This research provides insights to understand which model the companies choose (fair value or the cost model) and why. The findings suggest that the Portuguese listed companies do not provide satisfying information about investment properties, as increases the financial leverage or the age of a company, it is more likely to adopt the fair value model.
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Radzevičiūtė, Eglė. "Assessment of foreign direct investment by gravity model approach." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2013. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2013~D_20130129_192400-56972.
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In the thesis foreign direct investment in the Baltic countries using gravity model have been analysed. The first part of the thesis consists of foreign direct investment definition, the positive and negative influencing factors of foreign direct investment evaluation criteria analysis of the scientific literature and the authors different approaches to them. It is also made a critical evaluation of literature, authors usually distinguishing factors mentioned in different sources that affect foreign direct investment. Also in the first part of the paper theoretically gravity model and its application in practice of direct foreign investment assessment has been described. In the practical, analytical part the analysis of the chosen 7 most popular parameters from has been performed using the graphical methods. Also analyzed the market size, average wages, education levels, tax burden, economic openness index , GDP per capita and the average disposable income per household member on foreign direct investment in the Baltic countries, using multiple regression and correlation analysis and using a gravity model. The thesis ends with conclusions and recommendations. Structure: introduction, theoretical part, practical part, conclusions and suggestions, references. Thesis consist of: 77 p. text without appendixes, 19 pictures, 34 tables, 55 bibliographical entries.Baigiamajame magistro darbe nagrinėjamos tiesioginės užsienio investicijos Baltijos šalyse taikant gravitacinį modelį. Pirmoje darbo dalyje pateikiama tiesioginių užsienio investicijų sąvokos, teigiamą ir neigiamą įtaką darančių veiksnių, tiesioginių užsienio investicijų vertinimo kriterijų analizė mokslinėje literatūroje bei skirtingas autorių požiūris į juos. Taip pat atliktas kritinis literatūros vertinimas, išskiriant dažniausiai autorių minimus veiksnius skirtinguose šaltiniuose, kurie daro įtaką tiesioginėms užsienio investicijoms. Taip pat pirmoje darbo dalyje teoriniu požiūriu išanalizuotas gravitacinis modelis bei jo taikymas praktikoje tiesioginėse užsienio investicijoms įvertinti. Praktinėje, analitinėje darbo dalyje pagal pasirinktus 7 parametrus iš dažniausiai pasitaikančių literatūros apžvalgose išanalizuotas Baltijos šalių tiesioginių užsienio investicijų atvejis naudojant grafinę analizę. Taip pat nagrinėjamas rinkos dydžio, vidutinio darbo užmokesčio, išsilavinimo lygio, mokesčių naštos, ekonominio atvirumo indekso BVP vienam gyventojui bei vidutinių disponuojamų pajamų vienam namų ūkio nariui įtaka tiesioginėms užsienio investicijoms Baltijos šalyse naudojant daugianarę koreliacinę regresinę analizę bei pritaikant gravitacinį modelį. Darbo pabaigoje pateikiamos išvados ir siūlymai. Darbą sudaro 2 dalys: įvadas, teorinė dalis, praktinė dalis išvados ir siūlymai, literatūros sąrašas. Darbo apimtis – 77 p. teksto be priedų, 19 iliustr., 34 lent., 55... [toliau žr. visą tekstą]
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Laposa, Steven P. "The foreign direct investment property model: explaining foreign property." Thesis, University of Reading, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.492692.
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Howie, Robert J. "A theory based stochastic investment model for actuarial use." Master's thesis, University of Cape Town, 2007. http://hdl.handle.net/11427/7476.
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Includes bibliographical references (leaves 73-79).This thesis reviews the origins, development and uses of asset-liability modelling, as well as existing largely stochastic investment models, notably those of the Maturity Guarantees Working Party (1980), Wilkie (1986,1995) and Thomson (1996). A stochastic investment model is developed which describes returns from equities, bonds and cash, as well as inflation and economic growth. The model is consistent with economic theory, adequately fits past data, and is relatively parsimonious compared with other models. A series of assumptions about the causal relationships between inflation, economic growth and interest rates are made based on standard economic theory. It is noted that consensus does not exist on some of the economic theory. Similarly a series of assumptions on the pricing of assets are made based on financial economic theory on market efficiency, expectations and asset pricing. Notably, it is assumed that financial markets are efficient. An economic model is described for inflation, economic growth and interest rates based on the set of assumptions. Each variable is modelled such that its value in one period is a function of its value in the previous period, the value of the other economic variables in the current and previous period, and a normally distributed residual. The model is a mixture of a random walk and autoregressive process that has two special cases of a (non-mean-reverting) pure random walk, and a (mean-reverting) pure autoregressive process. A financial market model is described for bond and equity returns based on the set of assumptions. Expected returns are derived from the expected real interest rate plus a risk premium, where the risk premium is linearly related to the standard deviation of real return. Bond yields are modelled as the sum of expected future short term real interest rates, expected future inflation, and a risk premium. Share prices are modelled as the present value of expected future distributable earnings, discounted at a rate equal to the sum of expected future short term real interest rates, expected future inflation, and a risk premium. The growth in earnings per share is modelled as the sum of inflation, real economic growth and a normal residual, and is also linked to real interest rates. Dividends are modelled as a smoothed function of earnings, with unit-gain from earnings to dividends. Annual data for a 15 year period is used to parameterise the model for the United States, Britain and South Africa respectively. The modelled volatilities of financial market returns, together with the economic data, are used to fit the economic model. The procedure is similar to the method of moments for statistical estimation. Parameters in the economic model that are not statistically significant or are not consistent with the assumptions are excluded. It was found that neither the random walk nor the autoregressive special case models could adequately explain observed volatility in financial markets, so the general case (mixture model) was adopted for economic variables. The parameterised models for the three countries studied exhibited a ""cascade structure"" where all variables are a function of one or two ""driving variables"", without any circularity/""feedback"". The models for the United States and Britain all have inflation as the driving variable, whereas the South African model has both inflation and economic growth as driving variables. The model achieves the objectives of consistency with economic theory as well as parsimony (when compared to Wilkie (1995)). With regards to the criterion of producing reasonable output, the model has advantages over existing models. These include that financial market returns simulated by the model are non-normal and exhibit significant leptokursis (fat-tails) with higher probabilities of severe down-market returns than are predicted by normal or log-normal distributions. Simulated returns also exhibit the weak and slow mean reversion that is observed in markets, and the simulated yield curve exhibits non-parallel shifts and inversions. However, simulated interest rates (particularly nominal interest rates), and even bond yields can become negative, although the probability of negative nominal interest rates is small in the model, and that of negative bond yields is negligible. Two areas where a good fit was not achieved were in the models of risk premiums and dividends. It is recommended that alternative approaches for estimating risk premiums be used. The poor fit to dividend data is not regarded as a significant weakness because modelled equity returns are not dependent on dividends.
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Dahlan, Nofri Yenita. "Valuation model for generation investment in liberalised electricity market." Thesis, University of Manchester, 2011. https://www.research.manchester.ac.uk/portal/en/theses/valuation-model-for-generation-investment-in-liberalised-electricity-market(d7e0e8d1-2bd8-4906-8aa5-c61cb5f46893).html.
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The introduction of a liberalised electricity market has brought a new challenge to generating companies as well as system regulators. Under this more competitive environment, generating companies are exposed to various risks that might compromise their investment return. Moreover, the various risks in the market affect each type of generation technology in a different way; hence influence the technology choice. Furthermore, it is not yet clear whether the investment cycles in a liberalised electricity market will take place in an orderly fashion or whether 'boom and bust' cycles may arise. As a consequence various market designs, investment incentives and policies have been implemented by system regulators to try to ensure the security of supply. Investment decisions under a market with incentive mechanism are even more complicated to model because the generating company needs to forecast the revenue that the new investment will make from both the energy market and the mechanism. This thesis develops some models that could be used by system regulators to study the performance of market designs and by generating companies to assess a new investment under a liberalised electricity market. Three main models have been developed to serve these purposes. A generation expansion model has been developed using Agent-based modelling approach. In this model each generating company makes investment decision taking into account their competitors' investment strategies and the interactions between them. Several incentive mechanisms are also modelled to study their impacts on the generating companies' investment decision and the dynamic of the investments. A more comprehensive investment framework for a generating company to evaluate an investment in a new power plant has also been developed. The framework consists of two stages: 1) it first models the expected future investments and retirements from all the companies in the market and 2) then calculates the market prices and revenues of the new investment against the future system expansion obtained in the first stage. Two investment models have been developed using this framework. The first model is a probabilistic valuation model to assess investment considering risks and uncertainties. The second model is developed to evaluate investment in an oligopoly electricity market taking into account various risk characteristics of different technologies. The investment framework for a generating company to evaluate an investment is also extended so that the generating company can evaluate investments in a market with an incentive mechanism.
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Bayer, Lucy. "The investment model and organizational commitment predicting workplace behaviors /." Diss., Connect to the thesis, 2009. http://hdl.handle.net/10066/3733.
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Rodriguez, Javier A. "Capacity expansion and capital investment decisions using the Economic Investment Time Model : a case oriented approach /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-07292009-090518/.
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Noakes, Michael A. "Factor-based replication of hedge funds using a state space model." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/21753.
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It has been suggested that the Kalman filter technique may be used to improve the quality of hedge fund replication, compared to existing replication techniques. This study uses the Kalman filter technique, along with three variations of the rolling-window regression technique, to create clones which attempt to replicate the returns of various categories of hedge fund indices. These clones are created over several scenarios and are used to compare the ability of the Kalman filter and rolling-window regression techniques. The clones are constructed using South African specific asset class and investment style factors. This study finds that the Kalman filter does not provide the expected improvement in replication ability over the rolling-window regression, for the hedge fund indices analysed. The competing techniques appear to each be better suited to replicating different hedge fund index strategies and may, therefore, be used in combination. While some of the hedge fund clones offer desirable risk characteristics, they offer lower mean returns and underperform their indices in most periods. As such, the hedge fund clones constructed in this study require further refinement and are not yet equipped for use in practice.
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Quinn, Fiona. "The Foreign Direct Investment Location Decision: A Contingency Model of the Foreign Direct Investment Location Decision-Making Process." Thesis, The University of Sydney, 2012. http://hdl.handle.net/2123/9062.
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Despite considerable prior research into foreign direct investment (FDI) location decisions, our understanding of the processes underlying such decisions is still limited. Findings from work based in the economics and behavioral theories of the multinational enterprise (MNE) both acknowledge that FDI is not a point-of-time decision but a gradual process that yields important changes over its duration. However, these competing traditions both fall short when attempting to portray the actual process by which FDI location decisions are made by managers in MNEs. This gap has been recently attributed to two interrelated limitations. Firstly, level of analysis concerns have artificially separated managerial decision-making processes from the organizational and environmental structures within which they are made. Secondly, because of the complexity inherent in the FDI location decision environment, the study of these decisions has not taken contextual factors into consideration. This study addresses three important questions in order to build our understanding of the FDI location decision-making processes: (1) What are the decision-making processes that lead to FDI location choice? (2) What is the impact of contextual variables on FDI location decision-making processes at different levels of analysis, and are there any patterns of variation in decision processes under different decision conditions? (3) What factors drive final FDI location choice, and can a useful framework or theory be developed that links FDI location decision-making processes and context to drivers of FDI location choice? In order to address level of analysis concerns, the study places the manager at the center of the FDI location decision in modeling and in research, a strategy recommended by an emerging stream of behavioral-focused international business research (Aharoni, 2010; Buckley et al., 2007; Devinney, 2011). By examining FDI location decisions from the perspective of the managers who implement them, it is possible to clarify the nature of processes that lead to FDI location choice, and identify the impact of different elements of decision maker, firm and environmental context on such processes. The conceptual framework builds on Aharoni’s (1966) pivotal research while incorporating findings from broader behavioral managerial decision models and international business research. The framework is based on the assumption that FDI location decision-making processes and final choice are contingent upon interactions between the environmental, firm and decision maker context under which the decision is made. The research was undertaken in three phases. Phase 1 included a literature review that covered research on the MNE, internationalization, and decision making. The findings of the review identified key aspects of FDI location decision context and led to the development of an initial contingency framework of strategic decision making. Phase 2 consisted of an exploratory case study of twenty four FDI location decisions. The initial contingency framework developed during the literature review was used during this stage to identify the relationship between decision-making processes and contextual variables at the case decisions. By drawing on results from the exploratory research, an initial conceptual model and a set of propositions were developed. In Phase 3, twenty case studies were theoretically sampled from a pool of MNEs of varying size and parent-country nationality within the knowledge-based industries. The data collection and analysis followed a process, event-driven approach to case study research involving the mapping of key sequences of events as well as within- and cross-case analysis. The results identify the key elements of the decision process that explain FDI location behavior and develop a framework that links them together and makes them sensible. The four key elements of the FDI location decision that comprise the framework include: (i) the process, (ii) the context, (iii) patterns, and (iv) location. Research findings show the FDI location decision process as comprising of five broad stages, the content of each driven by a dynamic and evolving interpretation of maximum subjective expected utility. Utility preferences are identified as the consequence of shifting and opaque goals, founded upon imperfect information, operating in an environment marked by uncertainty. Five variations in the overall orientation of utility at case decisions, classified in the study as ‘decision rules,’ proved to be more useful predictors of decision-making behavior than traditional notions of bounded rationality seeking rent extraction and profitability. Decision processes were found to vary in five prototypical patterns, according to clusters of contextual variables that together moderated the level of decision-maker autonomy, hierarchical centralization, rule formalization, commitment to strategy, and politicization of the decision. Patterns are described as FDI location decision-making models, and proposed as an initial step towards the development of a taxonomy of FDI location decision-making processes. Because of the dynamic and staged nature of the process, findings showed that factors that were important at one stage of the decision were not as important at the next. As such, the task of identifying universal drivers of FDI location was deemed an unfeasible one. In place of universal drivers, the initiating force of the investment, the purpose of investment and information sources and networks are identified as the key context-specific determinants of location in FDI decisions. Bounded by uncertainty, chance, the dynamics of the process and decision-maker effects, each of these aspects of the decision served to limit the possible consideration set for investment, and formed the value basis and measures from which to select the most attractive location choice. Despite the contextual differences in these drivers, however, the study revealed a strong pattern that showed that the importance of specific location considerations differed in much the same way across case decisions. During the first stage of case decisions primarily strategic aspects of locations were considered; during the second, considerations relating to the system; operational concerns in the third; implementation concerns in the fourth; and added value factors in the final choice. How each of these concerns was interpreted to reach final location choice differed according to the drivers mentioned previously, although the patterns were the same. This study develops a contingency framework for examining the FDI location decision-making processes of MNEs under different operating conditions. By identifying the four key components of the FDI location decision, their interrelationships and many sources of variance, this thesis shows that despite its complexity, the FDI location decision is amenable to useful conceptual structuring. From an academic standpoint, the framework answers Aharoni’s most recent call to action in ‘Behavioral Elements in Foreign Direct Investment’ (2010) by developing a replicable structure within which to think about incorporating managerial decision models and context into the theory of the MNE. These findings enhance understandings of decision making at MNEs, reconcile a number of inconsistencies between opposing perspectives of MNE theory, and thereby update extant theory so that it has greater relevance in today’s diverse international business environment. From a managerial standpoint, the thesis helps managers to recognize the opportunities and limitations posed by different aspects of decision context so that they are able to tailor their FDI location decision strategies to best suit their needs. Finally, from the perspective of policy markers, research findings provide great support for the use of investment attraction schemes through the use of targeted location marketing and investment incentives.
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Xu, Zhilin. "Premium payback period model and its application in stock investment." Thesis, Durham University, 2016. http://etheses.dur.ac.uk/11813/.
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A simple and effective investment strategy has always been the pursuit of both academicians and practitioners. This thesis introduces for the first time the concept of Premium Payback Period (PPP), the time required to earn back the premium paid for an asset. PPP is a powerful stock valuation model, which takes into account the company’s current accounting information and future earning ability. In the stock market, a stock’s PPP can be computed from its PB and ROE. In the real economy, a company’s PPP can be observed from the date of establishment to IPO. As a rule of thumb, stocks with PPP < 5 years are undervalued and stocks with PPP > 9.5 years are overvalued, where the threshold PPP is obtained from observation in real economy. PPP is proved to be an effective investment strategy in terms of stock selection as well as market timing. A pilot empirical study in Chapter 2 shows that a portfolio of stocks with PPP lower than 5 years can achieve excess return. In Chapter 3, I attempt to demonstrate the power of PPP model in selecting undervalued stocks. The size effect and PPP effect are incorporated in one framework and investigates both bull and bear market conditions. Investment recommendation is to invest in firms with small size and low PPP. When the indicators conflict, PPP criterion is the priority in the bear market and size criterion is the priority in the bull market. In Chapter 4, I endeavor to extend the application of PPP model to market timing. Both Treynor and Mazuy Model and Henriksson and Merton Model confirm the poor market timing performance of 10 Chinese equity-type funds. PPP model can help improve market timing significantly by adjusting position in stock market in line with PPP value of stock index. This research thus provides strong evidence that the PPP model performs as an effective investment strategy by selecting undervalued stocks and entering or exiting the stock market at appropriate timing.
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Ratcliffe, Gary Cole. "Redefining commitment and attractive alternatives: re-examining the investment model." Diss., Kansas State University, 2013. http://hdl.handle.net/2097/16822.
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Doctor of PhilosophyDepartment of Family Studies and Human Services
Jared R. Anderson
The current study tested Rusbult’s (1980) investment model of relationship commitment. Specifically, this study used data from 875 married individuals to examine the associations between marital satisfaction, alcohol use, video gaming, relationship length, and the presence of children on two types of relationship commitment: psychological attachment and behavioral intent. The results indicate that alcohol use, video gaming, relationship length, and presence of children are not significantly associated with psychological attachment or behavioral intent. However, findings in the current study do suggest that psychological attachment and behavioral intent are independent constructs and should be examined separately. Furthermore, neuroticism and religiosity did predict individual’s behavioral intent, but not psychological attachment.
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Schäfer, Carsten. "Asset Dividing Appraisal Model (ADAM) - Direct Real Estate Investment Evaluation." Doctoral thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-191784.
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The Asset Dividing Appraisal Model (ADAM) enables the appraisal of cash flows resulting from direct real estate investments. The model is an evaluation tool, which takes capital markets and the specific characteristics of real estate as an asset (heterogeneity, site-dependency, eternal land-yield, etc.) into consideration, while also considering different ownership approaches of real estate in the European Union. Thus, it contributes to the harmonization of capital markets and of direct real estate investment evaluation as intended by the "European Directive on Markets in Financial Instruments 2004/39/EC". ADAM is based on financial mathematical instruments and on the property valuation methods of different cultural areas. It combines continental European (Germ an Gross Rental-Method) and international (Discounted Cash Flow-Method) property valuation approaches. Although it is scientifically reasonable to take property valuation approaches into account, the aim of the model is not to valuate a property or to quantify an objective market value but to evaluate cash-flows resulting from direct real estate investments. A mathematical analysis based on empirical market data confirmed the validity of the methodology of the model. In the course of the analysis the major input variables that determine the results of the model and how the model reacts to marginal deviations of input data, were quantified. This was done using partial derivations and a simulation study. In Czech Republic a building isn't actually considered as a part of the underlying plot. Consequently, differing persons or institutions can be owner of the building, as of the appropriate plot. From 2014 on, a suitable reformation of the Czech Civil Code is supposed to cause a consolidation of real estate property. Czech law is going to be adjusted to German law, which considers plot and building as an economic entity. This consolidation of real estate could be an approach of the introduced model.
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Atenas, Maldonado Felipe Eduardo. "A two-stage model for planning energy investment under uncertainty." Tesis, Universidad de Chile, 2019. http://repositorio.uchile.cl/handle/2250/170925.
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Tesis para optar al grado de Magíster en Ciencias de la Ingeniería, Mención Matemáticas AplicadasMemoria para optar al título de Ingeniero Civil Matemático
We consider risk-averse stochastic programming models for the Generation Expansion Planning problem for energy systems with here-and-now investment decisions and generation variables of recourse. The resulting problem is coupled both along scenarios and along power plants. We develop a new decomposition technique to solve the energy optimization problem, resulting from the combination of two existing procedures, one to deal with stochastic programming problems through decomposition for different realizations of the stochastic process representing the uncertain data, and the second one is a method aim to find solutions to nonsmooth optimization problems. More precisely, we combine the Progressive Hedging algorithm to deal with scenario separability, obtaining a separate subproblem for each scenario, and an inexact proximal bundle method to handle separability for different power plants in each subproblem. By suitably combining these approaches, if the evaluation errors of the proximal bundle method vanish asymptotically, then bundle method converges to an approximate solution to each scenario subproblem. Thus, under mild convexity assumptions, the Progressive Hedging algorithm generates a sequence that converges to a solution to the original problem. The methodology is satisfactorily assessed on a test instance of the Generation Expansion Planning problem, whose reduced size allows us to compare the results with those obtained when solving the problem directly, and without decomposition.
CONICYT-PFCHA/Magister Nacional/2018-22181067 y CMM Conicyt PIA AFB170001
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Audo, S. "Development of a dynamic model for strategic port planning and investment." Thesis, Cranfield University, 1985. http://hdl.handle.net/1826/3696.
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Different levels of congesti'on are 'encountered in ports all over the
world and particularly in developing countries. Depending on the
volume of traffic flow over time, the changes of development in the
economy and industrial activity and the random arrival and service
pattern of ships; the optimum berthing capacity resulting in minimum
cost at any future time period has to be determined to avoid undesirable
repercussions.
The existing methods fail to provide the links between the aggregate
economy, demand and optimal berthing capacity for all time periods
of the planning horizon, and conventional techniques based on static
frameworks are used to arrive at optimal strategies for specific times
into the future.
This study is an attempt to remedy those difficulties and relate
future demand to optimal berthing capacity in an interactive dynamic
fashion.
Three models are developed: a forecasting model linking seaborne
trade to gross domestic product, population, productions consumption
and elasticity of demand;, a simulation model relating the various
demand levels to different port configurations; and an investment
model relating the resulting congestion cost to capital cost, where
an optimal strategy in berthing capacity is achieved for the years
19859 19909 1995 and 2000.
The last model has been extended using the above mentioned points in
time to result in an optimal berthing capacity for any future time
period within the planning horizon 1985 - 2000. This model is
validated through forecasting, simulating and appraising the 1992
and 1998 results and reducing the amount, costs and time of work by
75 per cent.
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Holm, Hanna. "Housing Investment in Germany : an Empirical Test." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7048.
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In this thesis I study the German housing market and specifically the level of housing investment. First, a theoretical background to housing market dynamics is presented and then I test whether there is a relationship between housing investments and GDP, the size of the population, Tobin’s Q and construction costs. An Error Correction Model is estimated and the result is that the equilibrium level of housing investment is restored after less then two quarters after a change in one of the explainable variables. The estimation indicates that GDP, the size of the population and construction costs affect the level of construction in the short run. However, in the long run the only significant effect is changes in construction cost.
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Buxton-Tetteh, Naa Ayorkor. "Artificial Neural Networks in Stock Return Prediction: Testing Model Specification in a Global Context." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32567.
Full textAbstract:
This research investigates whether artificial neural networks which make use of firm specific fundamental and technical factors can accurately predict the returns of a sample of several large-cap stocks from various markets across the globe. This study also explores which hidden layer configuration leads to the best network predictive performance. Furthermore, this research identifies which firm-specific factors predominantly influence the predictions made by the artificial neural networks. Five artificial neural networks are designed, trained and tested on a sample of 161 stocks from the Russell 1000 and the S&P International 700 stock indices. The investigation period extends over a 166-month period from January 2001 to October 2014 with a 70:30 split for training and testing subsamples respectively. Eighteen firm-specific factors, based on prior research about the presence of style effects or anomalies on the cross-section of global equity returns, are used as the input variables of the artificial neural networks to forecast one-month forward returns of all the stocks in the sample. The five artificial neural networks investigated in this research differed in hidden layer size. Specifically, the number of hidden neurons examined were three, nine, 13, 18 and 30. All five networks train significantly well, with each network's training error indicating a good model fit. Each network also achieves the desirable information coefficient of 0.1 between its predicted returns and the actual returns in the training sample. It is interestingly discovered that network performance generally improves as the number of hidden neurons in the hidden layer increases until a specific point, after which network performance weakens. In the context of avoiding overfitting, the best-trained network in this research is that with 13 neurons in its hidden layer. This is the primary network used for the out-of sample testing analysis. This network achieves an average prediction error magnitude of approximately 7% and an information coefficient of 0.05 during out-of-sample testing. These results underperform their respective benchmarks moderately. However, further analyses of the network's performance suggest an overall poor out-of-sample predictive ability. This is illustrated by a significant bias and a considerably weak relationship between the network's predicted returns and the actual returns in the testing sample. Global sensitivity analysis reveals that growth style effects, particularly, the capital expenditure ratio, return on equity, sales growth, 12-month percentage change in non-current assets and six-month percentage change in asset turnover were the most persistent factors across all the ANN models. Other significant factors include the 12-month percentage change in monthly volume traded, three-month cumulative prior return and one-month prior return. An unconventional result of this analysis is the relative insignificance of the size and value style effects.
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Gumbo, Victor. "Mean absolute deviation skewness model with transactions costs." Pretoria : [s.n.], 2005. http://upetd.up.ac.za/thesis/available/etd-09052005-115438.
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Пашова, С. М. "Класифікація інвестицій. Визначення інвестиційно-інноваційної моделі діяльності." Thesis, Українська академія банківської справи Національного банку України, 2009. http://essuir.sumdu.edu.ua/handle/123456789/61815.
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Ndackson, Danjuma. "Response to foreign investment regulations in Nigeria : the bargaining power model." Thesis, University of Strathclyde, 1987. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21495.
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The interest for this research developed from the researcher's observation of host countries' policies (particularly developing countries) towards foreign direct investments. Available literature identify five main categories (though not mutually distinguishable) of host country policies: expropriatory, regulatory, receptive, promotional, and open-door policies. In this research, we are concerned with regulatory (control) policies. The response of MNCs to regulatory policies is identified to comprise of two stages: initial behaviour to 'conflict' (the policy), and the exploitation of (ownership) advantages. An MNC's initial behaviour could be competitive, collaborative, accommodative, compromising, or avoidant. Where the MNC adopts a compromising behaviour, bargaining as a means of resolving the 'conflict' is pursued. Whether this takes place or not in resolving the 'conflict', the MNC is likely to look back (assess) on what its ownership advantages are, vis-a-vis the host-country's location advantages, and then act on the basis of this assessment. Nigeria, like any other host country has economic policies, some of which affect MNCs. These include the Business Permit / Immigration Act, 1963; the Companies Decree, 1968; the Nigerian Enterprises Promotion Decrees, 1972 and 1977; the Local Sourcing Policy; etc. This research considers the factors influencing the response of MNCs to three of these policies: indigenization of ownership; nigerianization of management; and the local sourcing of raw materials. Four host-country characteristics and five MNC characteristics were hypothetically chosen as influential in the firms' response to each of the policies. The host country characteristics are: Nigeria's market attractiveness, availability of needed raw materials in Nigeria, availability of required human resources in Nigeria, and competition in the firm's industry in Nigeria. The MNC characteristics are: the firm's technological intensity, export intensity, complexity of managerial and operational tasks, size, and age. The major research findings are: (a) Most of the firms in the sample were collaborative in their behaviour in all the policies. (b) The most important (actually, the only) host country characteristic that significantly influenced the response of firms to the policies was Nigeria's market attractiveness. (c) The most important MNC characteristic that influenced the firms' response to the policies was their technology. (d) Contrary to popular opinion, this research found that important MNC characteristics encouraged or made firms to remain in Nigeria as well as comply with government policy, rather than making them arrogant or delay compliance. (e) All the firms in the study indicated that they had complied with the policies. Survey results were complemented with case studies. And the findings from the cases support all the above.
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clements, john s. III. "Agricultural Commodity Futures and Farmland Investment: A Regional Analysis." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/real_estate_diss/8.
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Using seventeen years of data from 1991 to 2008, I derive a pricing model for farmland values. This valuation model is the first using agricultural commodity futures as a proxy for “ex ante” income projections for the crops grown or livestock grazed on United States farmland. While not all inclusive, the model is tested regionally including the Corn Belt, Delta States, Lake States, Mountain, Pacific Northwest, Pacific West and Southeast Regions. Additionally, I test whether interest rate futures contracts have a relationship with farmland values as interest rates have been proven to be a reliable predictor in past research. Farmland capitalization rates and anticipated inflation have hypothesized relationships, but are mainly used as control variables in the study.
In general, agricultural commodity futures contracts are a poor predictor of changes in farmland market values. When examining relationships with quarterly percentage change regression models of the included variables, I find the Mountain region provides the most reliable pricing model where both live cattle and Minnesota wheat futures contracts has a positive statistically significant relationships with farmland market values. Also, wheat futures prices have a significant relationship with farmland values in the Corn Belt region. Interest rate futures contracts, farmland capitalization rates and anticipated inflation are not statistically significant in the majority of the regions.
As a robustness check, I model the price levels of the variables using Johansen’s cointegration procedure. This time-series econometric methodology provides results in regards to long-run equilibrium relationships between the variables. The results are only slightly better. Corn, orange juice and sugar futures contracts have positive statistically significant relationships with farmland market values in multiple regions. Again, wheat has a statistically significant positive relationship with farmland values in the Corn Belt region. The Mountain region and interest rate futures contracts are not applicable for the cointegration tests as they are not integrated to the order of one.
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David, Carlos Ricardo de Freitas. "Investment valuation of a project in a winery : the case of Sociedade Agrícola de Vale de Fornos." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19324.
Full textAbstract:
Mestrado em FinançasA produção e consumo de vinho no Mundo tem sido bastante regular. Em Portugal, o sector vitivinícola tem uma longa tradição, estando sempre presente na vida dos portugueses, que são os maiores consumidores de vinho per capita do Mundo. Contudo, a tradição não impediu que o nível de interesse e a exigência do consumidor de vinho aumentasse ao longo do tempo. Essa exigência, juntamente com a dinamização das exportações de vinho, com o forte apoio do Estado Português mediante a atribuição de subsídios para requalificação das explorações agrícolas, potenciaram o aparecimento de novos players de mercado de maior dimensão e, sobretudo, de novos vinhos de qualidade mais elevada. Actualmente, Portugal é um dos maiores produtores e consumidores de vinho em volume do Mundo, sendo ainda o sexto país onde a exportação deste produto tem maior valor acrescentado. Baseado no caso específico de uma empresa vitivinícola nacional, que tem como core business a produção, engarrafamento, comercialização e distribuição de vinho em Portugal, o presente trabalho tem os seguintes objectivos: (1) enquadrar e identificar o cenário competitivo da empresa e (2) efectuar uma análise de viabilidade de um projecto de investimento com base no cenário anteriormente identificado, utilizando como método de avaliação os Discounted Cash Flows. Serão usados os modelos FCFF, APV e FCFE de forma a apurar o valor actualizado líquido do projecto de investimento e será demonstrado que, mantendo um rácio debt-to-equity constante, o resultado da avaliação é igual usando qualquer dos modelos.
Wine production and consumption in the world has been pretty regular. In Portugal, the wine production sector has a long tradition, being always present in the lives of Portuguese people who are the biggest wine consumers per capita in the world. However, tradition has not avoided an increase, over the time, of the level of interest and demand of the wine consumer. That demand, together with the revitalization of the wine exports, with the strong support of the Portuguese Government that has given subsidies for the requalification of wine explorations, has allowed the emergence of new and bigger market players, and above all, of new wines of higher quality. Currently, Portugal is one of the biggest wine producers and consumers in the world. And it is the sixth country in which the exportation of that product has a bigger added value. Based on the specific case of a national winery company, that has as core business the production, bottling, trading and distribution of wine in Portugal, this work as the following goals: (1) put in context and identify the competitive scenario of the company and (2) make an analysis of the viability of an investment project based on the previously identified scenario, using the Discounted Cash Flows as an evaluation method. Will be used the FCFF, APV and FCFE models to obtain the net present value of the project investment, aiming to proof that, if we maintain a constant debt-to-equity, the result of the evaluation is the same.
info:eu-repo/semantics/publishedVersion
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Galagedera, Don U. A. "Investment performance appraisal and asset pricing models." Monash University, Dept. of Econometrics and Business Statistics, 2003. http://arrow.monash.edu.au/hdl/1959.1/5780.
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Messner, Bryce Jaden. "Investing in United States Farmland: A Capital Asset Pricing Model Analysis." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/31635.
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This study examines the risk and returns to owning United States farmland. State, regional, and national farmland returns from 1998 to 2018 are analyzed via the capital asset pricing model. Results show that farmland may be an effective route of investment portfolio diversification due to its favorable returns and low correlation with other commonly held assets. This study’s findings are generally consistent with similar research conducted in the past.
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Trandafir, Simona Carmen. "A strategic model of investment and price competition among container ports /." View online ; access limited to URI, 2009. http://0-digitalcommons.uri.edu.helin.uri.edu/dissertations/AAI3367999.
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Scalata, Maria Rosa Giovanna. "Inside the Philanthropic Venture Capital Investment Model: An exploratory comparative Study." Doctoral thesis, Universitat Ramon Llull, 2010. http://hdl.handle.net/10803/9182.
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Aquesta tesi doctoral és el primer estudio exploratori sobre el procés d'inversió dels inversors de capital risc filantròpic en empreses socials. El model, des del punt de vista del finançador, uneix els principis del model tradicional de capital risc amb objectius socials. A través de la provisió de capital i de serveis no-financers a empreses socials, el capital risc filantròpic dóna suport a les necessitats de sostenibilitat de les empreses en què inverteix amb l'objectiu d'afavorir els seus creixement i en últim maximitzar els seus impacte social. La hipòtesis bàsica del capital risc filantròpic és que els fons filantròpics han de ser dirigits a problemes socials importants per la qual cosa els finançadors han de esforçar-se de maximitzar l'impacta del seu finançament donant compte dels resultats a les parts interessades. Els inversors de capital risc filantròpic creuen que la sostenibilitat econòmic- financera de les empreses socials participades pugui ser l'enllaç entre creixement i maximització de l'impacta social: només si aquestes empreses són capaços de ser independents des del punt de vista econòmic, poden enfocar en el seu missió social i per tant maximitzar el seu impacte.
De tota manera, la value proposition del model de capital risc filantròpic és fortament diferent de la del capital risc tradicional ja que el primer té l'objectiu de maximitzar l'impacta social, i el segon el rendiment financer de la inversió aquesta. És així clau entendre com les tècniques i l'estructura del procés d'inversió del capital risc es pugui adaptada en el cas del capital risc filantròpic.
Basant-se en la teoria de les asimetries informatives i utilitzant una metodologia de recerca articulada en dos passos, aquesta recerca contribueix a la literatura existent de capital risc i emprenedoria social mostrant com problemes de selecciona adversa són gestionats en la fase de deal flow i selecció. A més, s'analitza també la manera com problemes de moral hazard impacten en la fase d'estructuració de la inversió i en la seva fase de post-investment.
Els resultats indiquen que les inversions de capital risc filantròpic estan efectivament caracteritzades per un alt nivell de selecciona adversa que es gestiona amb una recerca proactiva de noves inversions i tenint en compte sobretot el factor humà. Al contrari, el moral hazard d'unes qüestió marginal en les fases de deal structuring i post-investment, amb els inversors que es aporten més com stewards de les empreses finançades que com a principals.
Esta tesis doctoral es el primer estudio exploratorio sobre el proceso de inversión del capital riesgo filantrópico en empresas sociales. El modelo, desde el punto de vista del financiador, une los principios del modelo tradicional de capital riesgo con objetivos sociales. A través de la provisión de capital y de servicios no-financieros a empresas sociales, el capital riego filantrópico apoya las necesidades de sostenibilidad de las empresas en que invierte, con el objetivo de favorecer su crecimiento y como último objetivo maximizar su impacto social.
La hipótesis básica del capital riesgo filantrópico es, que los fondos filantrópicos deben ser dirigidos a problemas sociales importantes por lo cual los financiadores tienen que esforzarse en maximizar el impacto de su financiación dando cuenta de los resultados a las partes interesadas. Los inversores de capital riesgo filantrópico creen que la sostenibilidad económico-financiera de las empresas sociales participadas puede ser el enlace entre crecimiento y maximización del impacto social: solo si estas empresas son capaces de ser independientes desde el punto de vista económico, pueden enfocarse en su misión social y por lo tanto maximizar su impacto.
De todas formas, la value proposition del modelo de capital riesgo filantrópico es considerablemente distinta de la del capital riesgo tradicional ya que el primero tiene el objetivo de maximizar el impacto social, y el segundo el rendimiento financiero de la inversión misma. Es así clave entender como las técnicas y la estructura del proceso de inversión del capital riesgo se pueda adaptar en el caso del capital riesgo filantrópico.
Basándose en la teoría de las asimetrías informativas y usando una metodología de análisis articulada en dos pasos, esta investigación contribuye a la literatura existente de capital riesgo y de iniciativas emprendedoras sociales demostrando, como problemas de selección adversa son gestionados en la fase de deal flow y selección de las inversiones. Además, se analiza también la manera en que problemas de comportamientos oportunistas impactan en la fase de estructuración de la inversión y en su fase de post-investment.
Los resultados indican que las inversiones de capital riesgo filantrópico están efectivamente caracterizadas por un alto nivel de selección adversa que se gestiona con una búsqueda proactiva de nuevas inversiones y teniendo en cuenta sobre todo el factor humano. Al contrario, el problema de comportamientos oportunistas resulta ser una cuestión marginal en las fases de estructuración de la inversión y de post-investment, con los inversores que actúan mas como stewards de las empresas financiadas que como principales.
This dissertation is a first exploratory study on philanthropic venture capital, a new and particular financing form available for social entrepreneurs that unites the profit-seeking investment principles characterizing the traditional venture capital investment model with social aims. The provision of capital and non-financial services to social enterprises are considered of key importance towards the maximizations of social impact as both elements are needs to enable social enterprises in becoming self-financially sustainable and thus able to successfully play in the marketplace.
The main assumption underlying the philanthropic venture capital's value proposition is that size matters: funding growing social organizations is a sign of social success and relevance. The basic commitments are grounded in the belief that philanthropic funds need to be applied to important social problems and that funders must strive to maximize the social impact of their investment and only through growth the aim can be achieved. Philanthropic venture capitalists believe sustainability can be the link between growth and social impact maximization: if social enterprises are able to become self-financially sufficient, they can focus on their social mission.
However, since the value proposition of the venture capital and philanthropic venture capital investment models are different, the key issue is understanding how the practices used in the former are modified by the latter. Grounded in an asymmetric information and stewardship theory framework and using a two step research design, I build on and contribute to previous work on venture capital and social entrepreneurship showing how adverse selection is mitigated in the deal flow and selection stages of the investment model. In addition to this, I also analyze how moral hazard issues shape the deal structuring and post-investment phases.
Results indicate that philanthropic venture capital investments are indeed characterized by adverse selection which is managed through a proactive search of new deals which are then selected based on the human capital of the social entrepreneur. On the contrary, moral hazard tends to be a marginal issue in the deal structuring and post-investment phased of the investment, with investors acting as stewards of the organizations they back rather than principals.
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Beurling, Steinar. "Investment Analysis with the EMPS Model with Emphasis on Central Norway." Thesis, Norwegian University of Science and Technology, Department of Electrical Power Engineering, 2010. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-11044.
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Central Norway has had a significant growth in power consumption over the last few years, and demand is expected to rise. Due to lack of investment in sufficient generation and transmission capacity, Central Norway is expected to have a significant power deficit in an average year and severe deficits in dry years. This thesis investigates the power situation in Central Norway by using the EMPS model developed at SINTEF Energy Research combined with newly developed investment functionality. The thesis has studied the EMPS model and developed new functionality for the investment model in order to do more precise investment analyses. Simulations on optimal investments in different cases concerning increased load and subsidies on wind power investments have been done as well. The simulations show that the power situation Central Norway is close to critical and that investments must be executed to avoid high risk of rationing in a future situation with higher demand. The investment analysis based on the present state show that the proposed transmission investments on Nea--Järpströmmen and Ørskog--Fardal are sensible and very useful for the power situation in Central Norway. Simulations show that subsidies to encourage wind power development might cause more uncertain and variable prices due to lower price incentives to build new transmission capacity. Simulations also show that large wind power investments will have a substantial impact on how hydro power is utilized in Norway. The investment functionality has shown a good capability to obtain sensible solutions that give less price variation throughout the system and reasonable price distributions as long as the investments are small enough to not have substantial impact on hydro power utilization.
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Chavda, Manoj. "Evaluation of a hybrid investment model on the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/95622.
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Thesis (MBA)--Stellenbosch University, 2012.The study determined whether an investment model on the Johannesburg Stock Exchange (JSE) incorporating risk, simple rules and simulating a realistic environment could yield statistically significant returns. Further, the study assessed the success of individual trades and profitability compared to a buy-and-hold strategy where funds were switched between shares and a riskless asset. JSE data from 1997 to 2011 were studied using popular technical rules and fundamental indicators integrated into a hybrid investment model. Investments on individual shares were simulated over time and results were analysed by profitability of individual trades and the interaction of technical rules and fundamental data. Parameters were identified that outperformed the All Share Index (ALSI) by 18.6% and exposed the investor to lower risk than the ALSI. Other parameters were also identified that earned a return 137% higher than an ALSI buy-and-hold strategy. However, the identification of a single set of parameters that yielded statistically significant returns at a lower risk than the ALSI, met a priori expectations of outperforming the ALSI and outperformed a buy-and-hold strategy was not identified. Areas of future research included expanding on the technical analysis implemented such as introducing stop-loss rules, and adopting a finer-grained approach to the sectors of companies. Areas to detect further patterns of market inefficiencies were also identified.
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Cheng, Jenny, and Josefin Westman. "Effects of Digitalization in Steel Industry : Economic Impacts & Investment Model." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-279581.
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The awareness and interest for digitalization have increased tremendously during recent years. However, many companies are struggling to identify the economic benefits and often face long payback time and large initial investment costs. This study aims to assess the potential economic effects from digitalization projects in the steel production industry. The study begins by elucidating central concept like, digitization, digitalization, digital transform and the link between digitalization and automation. Furthermore, the study identifies effects of digitization at production level from an internal efficiency perspective, based on existing literature. On this basis, an investment tool for digitization projects has been developed, consisting of three different analyzes; a level of automation analysis, a quantitative analysis and a qualitative analysis. To continue, the investment model has been applied to a potential investment of a smart automatic crane. The results from all three analyses provided positive results and incentives to initiate the project. As a result of poor data collection and rigid data, only one effect could be accounted for in the quantitative analysis, which generated a net present value of nearly 12 MSEK over a tenyear period. The most critical parameter proved to be the timing of initiating the project.Medvetenheten och intresset för digitalisering har ökat enormt under de senaste åren. Många företag kämpar emellertid med att identifiera de ekonomiska fördelarna och möter ofta långa återbetalningstider och stora initiala investeringskostnader. Denna studie syftar till att utvärdera de potentiella ekonomiska effekterna av digitaliseringsprojekt i stålproduktionsindustrin. Studien börjar med att redogöra för vad digitalisering är samt kopplingen mellan digitalisering och automation. Vidare identifierar studien effekter av digitalisering på produktionsnivå ur ett internt effektivitetsperspektiv baserat på befintlig litteratur. Baserat på detta har ett investeringsverktyg för digitaliseringsprojekt utvecklats, bestående av tre olika analyser; en automationsgradsanalys, en kvantitativ analys och en kvalitativ analys. Investeringsmodellen har dessutom tillämpats på en potentiell investering i form av en smart automatkran. Resultaten från samtliga tre analyser var positiva och utgjorde incitament till att initiera projektet. Som ett resultat av bristande datainsamling och ostrukturerade data kunde kostnadsbesparingen från endast en effekt redovisas i den kvantitativa analysen, vilken genererade ett nuvärde på nästan 12 MSEK under en tioårsperiod. Den mest kritiska parametern visade sig vara tidpunkten för att implementera projektet.
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CHAUHAN, ADITYA. "INVESTMENT MODEL TO RANK COMPANIES." Thesis, 2021. http://dspace.dtu.ac.in:8080/jspui/handle/repository/18995.
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Purpose
With the exponential development of commercial operations in today's world, the
presence of a performance evaluation mechanism in all organisations is a foregone
conclusion. This requirement is so obvious that the absence of an evaluation
mechanism is seen as a sign of the organization being unhealthy. Financial reviews
motivate businesses to improve their results by displaying a company's actual
financial status in comparison to other businesses by providing a favourable
atmosphere.
These types of evaluations are also helpful in reforming and strengthening
shortcomings by recognising the strengths of completed operations. In today's
intensely competitive climate, financial results evaluation is a critical process for
businesses. Company rating is a complicated mechanism that requires the
consideration of several financial ratios at the same time. Furthermore, the task of
selecting a suitable loan applicant firm has become more difficult, as financial
professionals must evaluate a broad variety of options based on a collection of
competing financial requirements
. As a result, all insiders and customers of a company benefit from establishing a
specific and appropriate performance evaluation procedure. To assess financial
results, we must consider a number of financial metrics that represent a company's
competitiveness. To properly measure and rate the relative success of rival firms,
multiple financial ratios must be considered simultaneously. To accomplish this goal,
a systematic literature analysis and expert advice are used to identify the key
requirements.
Method
The Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) method
was selected to solve the problem after a rigorous literature analysis. The TOPSIS
method will determine the financial ratios' importance to the evaluation result and
show how firms work differently on each financial ratio. This paper examines the TOPSIS approach and offers an online website platform that anybody can use to rate
US companies in various industries.
The created website takes data from a financial api and automatically executes
calculations using the TOPSIS model. It gives us the names of all the companies, their
tickers, and the rankings they have earned. Anyone in the world may use the website, which is used to rate firms in a specific industry in the US market Findings
The result of this research is a tool in the form of a website that can be used by
various investors, analysts, traders and researchers to ascertain the ranking of
companies in an industry according to the fundamental ratios. The ranking is based
on only the ratios and it doesn’t take into account other stock market factors such as
sentiments, macroeconomics and political forces etc. Ignoring all these factors the
model is a robust tool to rank companies and can be used in conjunction with other research that accounts for these other factors to provide fruitful results.
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LIN, QI-TUNG, and 林啟東. "An evalutain model for IT investment." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/66716613078724683050.
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陳惠君. "A Model for Corporate International Investment." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/56754586255071084573.
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Tung-Hsu, Shih, and 施東序. "Location Selection Model of Greenfield Investment." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/13545845863804343007.
Full textAbstract:
碩士輔仁大學
企業管理學系管理學碩士在職專班
101
In response to the growing toward globalization and worldwide enterprise since 1990s , many global organizations have been established, such as World Trade Organization(WTO)、International Monetary Fund(IMF)、International Bank for Reconstruction and Development(World Bank) , etc. Under the trend of globalization, products of many Taiwanese enterprises rely heavely on imported raw materials due to the lack of natural resources. Besides, land and labor costs have been increasing for years, so traditional labor-intensive industries have become not competitive in Taiwan. Comparing with those countries with highly labor-intensive industries, Taiwan has been gradually losing its advantage of low cost. In order to reduce the cost of production, Taiwanese enterprises have begun making large-scale investments in neighboring countries, such as China, Southeast Asian countries, including Thailand, Malaysia, Indonesia, Vietnam, Philippines, and Singapore. The scale of investment has been increasing year by year. Because the foreign direct investment is usually huge in scale, enterprises must consider and evaluate various factors before investing. If Greenfield Investment does not generate revenue as high as expected, enterprises will suffer from great losses, and then “cash-strapped enterprises” phenomenon occurs. Every factor of foreign direct investment evaluated by enterprises could potentially affect success or failure of a investment project. Therefore, this research study aims to collect and analyze the literature on procedures, evaluation methods, and evaluation factors of foreign direct investment by enterprises. This study provides evaluation model and evaluation factor analyses which enable Taiwanese businessmen who are willing to do foreign direct investment to analyze the Greenfield Investment. In view of Location Selection Model-Building for Greenfield Investment by enterprises, this study is divided into four parts. Part 1: Evaluation items and considerations of foreign direct investment are summarized according to pertinent literature. Part 2: Using the analysis of advantage and disadvantage to classify evaluation items and considerations which are collected and summarized. Part 3: Screening the critical factor and evaluation criteria by expert opinions. Part 4: Building the analytical model of Greenfield Investment by enterprises.
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Wang, Yan. "A bandit model for consumption-investment decisions." 2004. http://hdl.handle.net/1993/17934.
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Chen, Ming-Heng, and 陳明亨. "Constructing Evaluation Model for Real Estate Investment." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/az4rxs.
Full textAbstract:
碩士國立高雄應用科技大學
資訊管理研究所碩士班
103
The real estate investment is an important issue in the real estate related research. However, investment in the real estate of past literatures are intermittent, much different opinionative as well as not integrated and fewer studies provided a systematic real estate investment selection process for the real estate investor. Therefore, this research integrated the real-estate-investment literatures in the past as a basis. And then, this research added individual risk to correct prototype indicators. After that, this research combined Simon’s three-stage-decision theory and consumer decision-making process to export the evaluation model of this research. Next, this research used SWOT analysis to assist investors to make decisions on the real estate investment. Finally, this research proposed a four-stage evaluation model in the real estate investment, in order to recover the lack of past literature. Moreover, to reduce inconvenience, this research developed an investment evaluation decision support system.
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Huang, Shu Jen, and 黃淑貞. "HIGH TECHNOLOGY STRATEGIC JUSTIFICATION INVESTMENT ANALYSIS MODEL." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/93103313228661554740.
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碩士國立清華大學
工業工程研究所
84
During the past forty years, the remarkable economic performance of the Republic of China on Taiwan has captured the attention of developed and developing countries. Facing the changes of world wide economic fluctuation, can an enterprise, especially for a high technology company, sucessfully make adaptation to the fast changing environment and achieve its rapid growth ? What is the key success factor to promote new product development ? This study aims at formulating some possibilities to answer those questions and recommends SJ Investment Analysis Model for facilitating research and development decision making. The study started with a review of economic theory for consumer/production surplus, and economic efficiency was discussed. Marketing strategies prevailed in Japan were also reviewed. Next, the effective allocation of resources was evaluated by the degree of development and research leverage, and analysed as well as verified with three cases. Finally, a model was suggested, accordingly. It can be concluded that careful allocation of the R&D resources and selection high profitability new product for investment will increase the competitiveness and minimize the risk for the business in facing the changing economic environment and technological characteristics of the industry.
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Lin, Yi-Yen, and 林宜彥. "TSMC and UMC investment model in China." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/20889562313780489991.
Full textAbstract:
碩士淡江大學
中國大陸研究所碩士班
98
TSMC is the first dedicated foundry in the world. In the global foundry business, Taiwan''s annual production nowadays is more than 60% which is also the no.1 capacity and market share. Among them, TSMC and UMC are the top-two leaders while the first-place player TSMC''s market share is more than 40%. Having introducing its economic reform in 1978, Mainland China gradually rose and became the world factory today, thereby attracting many international semiconductor companies to build factories in mainland China. The investment strategy of TSMC and UMC is another case. In investing in Mainland China, the timing of Taiwan''s semiconductor manufacturers was relatively late and most of them used a joint venture model or other model. For example, SMIC, introduced the first 8-inch wafer fab in China''s semiconductor industry in 2001, has also developed 12-inch wafer fab for production. Later, TSMC and UMC also set up factories in Mainland China. Today, UMC’s friendly business Hejian Corporation has an 8-inch wafer fab in Suzhou. In 2005, the case of Hejian was officially investigated by Taiwan government. In 2007, Taiwan government officially permitted TSMC to establish its 8-inch Songjiang wafer factory in Shanghai. Both TSMC and UMC are the world''s leading companies, but their investment strategy represent different perpectives. In 2009, a new foundry company Globalfoundries was formed by a large consortium of a Middle Eastern capital in conjunction with the start-of-the-art technologies from American IBM and AMD. This new entrant quickly occupied the fifth position. After the acquisition of Singaporean Chartered Semiconductor, Globalfoundries moved up to the third place and the market share between it and the world’s second-place UMC was much closer. Besides, Globalfoundries announced that its biggest competitor was TSMC. The lawsuit between TSMC and SMIC Semiconductor was settled down in 2010. On this, SMIC had to pay TSMC a big cost. TSMC may take a large share in the Chinese biggest foundry SMIC. In 2009, the UMC’s Hejian lawsuit was found innocent in the second trial. In March 2010, Board of Directors of UMC decided to take Hejian if Taiwan government can allow such a purchase deal. The backgrounds of this thesis study are the global IC industry development and the development of the semiconductor industry between Taiwan and China. This thesis used the development strategy of TSMC and UMC as a case study to investigate the reason of local IC makers setting up wafer foundries in Mainland China, the policy advantages and disadvantages included. Besides, sudden changes after 2009 – the loss of the second lawsuit of SMIC to TSMC, the Hejian case, Globalfoundries’s appearance, etc., are all covered in this study.
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Chen, Wei Shin, and 陳韋心. "Corporate Valuation model research and investment strategies." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/38747360713541863530.
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碩士國立高雄應用科技大學
金融資訊研究所
101
A corporation is an organization that attempts to enhance its business value and make the most profits for its shareholders. However, there are many ways to evaluate a corporation. In 2002, the model of capital cash flow (CCF) was first developed. Some researchers discussed how a valuation model (CCF) is applied to a single corporation. This research selected 45 corporations in different industries and discussed how many other corporate valuation models are applied to these companies. This research applies various models, such as the discounted cash flow model, free cash flow model (FCF), capital cash flow model (CCF), adjusted present value model (APV), economic value added model (EVA), PE ratio model (PER), and market value to book value ratio (PBR) to evaluate corporate value and estimate its rational stock price. Then, we compared it with the actual market stock price. Furthermore, we also applied the Autoregressive model (AR) to forecast growth rate, and discussed its usefulness to better evaluate the value of a corporation. The smaller the prediction errors, the better the predicting investment performances are as an evaluation model. In terms of prediction error, relative valuation models are better than the discounted cash flow model (DCF). The economic value added model (EVA) is regarded as the most stable valuation model. From the views of investors, the discounted cash flow method (DCF) is steadier than relative valuation methods (such as PER and PBR). However, the forecasting growth rate by ARMA (1) is significantly better at evaluating the value than using the original growth rate data of the model. Overall, the discounted cash flow model (DCF) is more stable than other models, as well as a better model for predicting market value.
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CHEN, JIAN-YOU, and 陳建友. "Applying Contingency Model Embedded with Real Estate Investment Risk Management Enhance Investment Performance." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/64677581113667051993.
Full textAbstract:
碩士國立臺北教育大學
資訊科學系碩士班
105
In recent years, Taiwan's city housing prices have been rising, causing people to invest in real estate is more difficult. This study uses contingency model to simulate the risks of investing in real estate and analyze it, and put forward the risk management method for risk. We use real estate transaction information provided by the Ministry of the Interior website. To do the increased and decreased housing prices statistical analysis of the administrative districts. Add with the factor of impact housing prices to do the discuss and analysis. Include Taipei City, New Taipei City, Taoyuan City and Taichung City. Finally, we found that investment in real estate, needs to do risk management by information technology. It can reduce the risk of investment, the risk is reduced, will be able to improve the performance of investment real estate.