An experimental approach to project risk identification and prioritization

One of the aims of a broad ethnographic study into how the apportionment of risk influences pricing levels of contactors was to ascertain the significant risks affecting contractors in Ghana, and their impact on prices. To do this, in the context of contractors, the difference between expected and realized return on a project is the key dependent variable examined using documentary analyses and semi-structured interviews. Most work in this has focused on identifying and prioritising risks using relative importance indices generated from the analysis of questionnaire survey responses. However, this approach may be argued to constitute perceptions rather than direct measures of the project risk. Here, instead, project risk is investigated by examining two measures of the same quantity; one ‘before’ and one ‘after’ construction of a project has taken place. Risks events are identified by ascertaining the independent variables causing deviations between expected and actual rates of return. Risk impact is then measured by ascertaining additions or reductions to expected costs due to the occurrence of risk events. So far, data from eight substantially complete building projects indicates that consultants’ inefficiency, payment delays, subcontractor-related problems and changes in macroeconomic factors are significant risks affecting contractors in Ghana.

Systematic property risk: quantifying UK property betas 1983-2005

The increased frequency in reporting UK property performance figures, coupled with the acceptance of the IPD database as the market standard, has enabled property to be analysed on a comparable level with other more frequently traded assets. The most widely utilised theory for pricing financial assets, the Capital Asset Pricing Model (CAPM), gives market (systematic) risk, beta, centre stage. This paper seeks to measure the level of systematic risk (beta) across various property types, market conditions and investment holding periods. This paper extends the authors’ previous work on investment holding periods and how excess returns (alpha) relate to those holding periods. We draw on the uniquely constructed IPD/Gerald Eve transactions database, containing over 20,000 properties over the period 1983-2005. This research allows us to confirm our initial findings that properties held over longer periods perform in line with overall market performance. One implication of this is that over the long-term performance may be no different from an index tracking approach.

Internal rents and corporate property management: a study into the use of internal rents in UK corporate organisations

Research in the late 1980s showed that in many corporate real estates users were not fully aware of the full extent of their property holdings. In many cases, not only was the value of the holdings unknown, but there was uncertainty over the actual extent of ownership within the portfolio. This resulted in a large number of corporate occupiers reviewing their property holdings during the 1990s, initially to create a definitive asset register, but also to benefit from an more efficient use of space. Good management of corporately owned property assets is of equal importance as the management of other principal resources within the company. A comprehensive asset register can be seen as the first step towards a rational property audit. For the effective, efficient and economic delivery of services, it is vital that all property holdings are utilised to the best advantage. This requires that the property provider and the property user are both fully conversant with the value of the property holding and that an asset/internal rent/charge is made accordingly. The advantages of internal rent charging are twofold. Firstly, it requires the occupying department to “contribute” an amount to the business equivalent to the open market rental value of the space that it occupies. This prevents the treating of space as a free good and, as individual profit centres, each department will then rationalise its holdings to minimise its costs. The second advantage is from a strategic viewpoint. By charging an asset rent, the holding department can identify the performance of its real estate holdings. This can then be compared to an internal or external benchmark to help determine whether the company has adopted the most efficient tenure pattern for its properties. This paper investigates the use of internal rents by UK-based corporate businesses and explains internal rents as a form of transfer pricing in the context of management and responsibility accounting. The research finds that the majority of charging organisations introduced internal rents primarily to help calculate true profits at the business unit level. However, less than 10% of the charging organisations introduced internal rents primarily to capture the return on assets within the business. There was also a sizeable element of the market who had no plans to introduce internal rents. Here, it appears that, despite academic and professional views that internal rents are beneficial in improving the efficient use of property, opinion at the business and operational level has not universally accepted this proposition.

Impression management, myth creation and fabrication in private social and environmental reporting: insights from Erving Goffman

This paper explores the nature of private social and environmental reporting (SER). From interviews with UK institutional investors, we show that both investors and investees employ Goffmanesque, staged impression management as a means of creating and disseminating a dual myth of social and environmental accountability. The interviewees’ utterances unveil private meetings imbued with theatrical verbal and physical impression management. Most of the time, the investors’ shared awareness of reality belongs to a Goffmanesque frame whereby they accept no intentionality, misrepresentation or fabrication, believing instead that the ‘performers’ (investees) are not intending to deceive them. A shared perception that social and environmental considerations are subordinated to financial issues renders private SER an empty encounter characterised as a relationship-building exercise with seldom any impact on investment decision-making. Investors spoke of occasional instances of fabrication but these were insufficient to break the frame of dual myth creation. They only identified a handful of instances where intentional misrepresentation had been significant enough to alter their reality and behaviour. Only in the most extreme cases of fabrication and lying did the staged meeting break frame and become a genuine occasion of accountability, where investors demanded greater transparency, further meetings and at the extreme, divested shares. We conclude that the frontstage, ritualistic impression management in private SER is inconsistent with backstage activities within financial institutions where private financial reporting is prioritised. The investors appeared to be in a double bind whereby they devoted resources to private SER but were simultaneously aware that these efforts may be at best subordinated, at worst ignored, rendering private SER a predominantly cosmetic, theatrical and empty exercise.

Impression management, fabrication and myth creation in private social and environmental reporting: insights from Erving Goffman

This paper explores the nature of private social and environmental reporting (SER). From interviews with UK institutional investors, we show that both investors and investees employ Goffmanesque, staged impression management as a means of creating and disseminating a dual myth of social and environmental accountability. The interviewees’ utterances unveil private meetings imbued with theatrical verbal and physical impression management. Most of the time, the investors’ shared awareness of reality belongs to a Goffmanesque frame whereby they accept no intentionality, misrepresentation or fabrication, believing instead that the ‘performers’ (investees) are not intending to deceive them. A shared perception that social and environmental considerations are subordinated to financial issues renders private SER an empty encounter characterised as a relationship-building exercise with seldom any impact on investment decision-making. Investors spoke of occasional instances of fabrication but these were insufficient to break the frame of dual myth creation. They only identified a handful of instances where intentional misrepresentation had been significant enough to alter their reality and behaviour. Only in the most extreme cases of fabrication and lying did the staged meeting break frame and become a genuine occasion of accountability, where investors demanded greater transparency, further meetings and at the extreme, divested shares. We conclude that the frontstage, ritualistic impression management in private SER is inconsistent with backstage activities within financial institutions where private financial reporting is prioritised. The investors appeared to be in a double bind whereby they devoted resources to private SER but were simultaneously aware that these efforts may be at best subordinated, at worst ignored, rendering private SER a predominantly cosmetic, theatrical and empty exercise.

The role of rules-based compliance systems in the new EU regulatory landscape: perspectives of institutional change

Purpose The research objective of this study is to understand how institutional changes to the EU regulatory landscape may affect corresponding institutionalized operational practices within financial organizations. Design/methodology/approach The study adopts an Investment Management System as its case and investigates different implementations of this system within eight financial organizations, predominantly focused on investment banking and asset management activities within capital markets. At the systems vendor site, senior systems consultants and client relationship managers were interviewed. Within the financial organizations, compliance, risk and systems experts were interviewed. Findings The study empirically tests modes of institutional change. Displacement and Layering were found to be the most prevalent modes. However, the study highlights how the outcomes of Displacement and Drift may be similar in effect as both modes may cause compliance gaps. The research highlights how changes in regulations may create gaps in systems and processes which, in the short term, need to be plugged by manual processes. Practical implications Vendors abilities to manage institutional change caused by Drift, Displacement, Layering and Conversion and their ability to efficiently and quickly translate institutional variables into structured systems has the power to ease the pain and cost of compliance as well as reducing the risk of breeches by reducing the need for interim manual systems. Originality/value The study makes a contribution by applying recent theoretical concepts of institutional change to the topic of regulatory change uses this analysis to provide insight into the effects of this new environment

Influence diagnostics for linear models with first-order autoregressive elliptical errors

We introduce in this paper the class of linear models with first-order autoregressive elliptical errors. The score functions and the Fisher information matrices are derived for the parameters of interest and an iterative process is proposed for the parameter estimation. Some robustness aspects of the maximum likelihood estimates are discussed. The normal curvatures of local influence are also derived for some usual perturbation schemes whereas diagnostic graphics to assess the sensitivity of the maximum likelihood estimates are proposed. The methodology is applied to analyse the daily log excess return on the Microsoft whose empirical distributions appear to have AR(1) and heavy-tailed errors. (C) 2008 Elsevier B.V. All rights reserved.

Variabeltryck med inkjet i dagspress : Möjligheten att införa anpassade upplagor

På uppdrag av Tidningsutgivarna har en studie utförts angående olika möjligheter att införa tryck av variabeldata med tryckmetoden inkjet i svensk dagspress. Målet var att undersöka tekniska möjligheter och begränsningar samt att utreda om det fanns något intresse på marknaden som skulle kunna ge någon avkastning. Studien utfördes med hjälp av noggranna källstudier och ett fortlöpande samarbete med olika företag med intresse för dagspress. Rapporten beskriver också företag som arbetar med den här typen av innovationer idag och diverse tidigare projekt med variabeltryckta tidningar. Nya teknologier som eventuellt kan vara av intresse för framtida utveckling har också beskrivits och hur tidningens framtid kommer att se ut ur ett kortare och ett längre perspektiv. Studien visar att inkjetpressar inte klarar av den hastighet som de moderna tidningspressarna håller idag. Men i takt med minskade upplagor och utvecklad teknologi, samt ett stort marknadsmässigt intresse så tyder det på att det kommer att finnas möjlighet att tillverka anpassade digitaltryckta tidningsupplagor inom en överskådlig framtid. Inkjet kan fungera som ett bra komplement till offset. Inlinepressar ger möjligheten att införa variabeltryck i stora tidningsupplagor medan separata inkjetpressar passar bra för tryck av mindre lokala upplagor.

Capital Asset Price Model (CAPM) : uma aplicação ao mercado brasileiro de ações

Este trabalho tem por objetivo apresentar a fundamentação teórica e efetuar uma aplicação prática de uma das mais importantes descobertas no campo das finanças: o modelo de precificação de ativos de capital padrão, denominado de Capital Asset Price Model (CAPM). Na realização da aplicação prática, comparou-se a performance entre os retornos dos investimentos exigidos pelo referido modelo e os realmente obtidos. Foram analisadas cinco ações com a maior participação relativa na carteira teórica do Ibovespa e com retornos publicados de junho de 1998 a maio de 2001. Os dados foram obtidos da Economática da UFRGS e testados utilizando-se o Teste-t (duas amostras em par para médias) na ferramenta MS Excel. Os resultados foram tabelados e analisados, de onde se concluiu que, estatisticamente, com índice de confiança de 95%, não houve diferença de performance entre os retornos esperados e os realmente obtidos dos ativos objeto desta dissertação, no período estudado.

Debt composition and exchange rate balance sheet effects in Brazil: A firm level analysis

In this paper we study the interaction between macroeconomic environment and firms’ balance sheet effects in Brazil during the 1990’s. We start by assessing the influence of macroeconomic conditions on firms’ debt composition in Brazil. We found that larger firms tend to change debt currency composition more in response to a change in the exchange rate risk than small firms. We then proceed to investigate if and how exchange rate balance sheet effects affected the firms’ investment decisions. We test directly the exchange rate balance sheet effect on investment. Contrary to earlier findings (Bleakley and Cowan, 2002), we found that firms more indebted in foreign currency tend to invest less when there is an exchange rate devaluation. We tried different controls for the competitiveness effect. First, we control directly for the effect of the exchange rate on exports and imported inputs. We then pursue an alternative investigation strategy, inspired by the credit channel literature. According to this perspective, Tobin’s q can provide an adequate control for the competitiveness effect on investment. Our results provide supporting evidence for imperfect capital markets, and for a negative exchange rate balance sheet effect in Brazil. The results concerning the exchange rate balance sheet effect on investment are statistically significant and robust across the different specifications. We tested the results across different periods, classified according to the macroeconomic environment. Our findings suggest that the negative exchange rate balance sheet effect we found in the whole sample is due to the floating exchange rate period. We also found that exchange rate devaluations have important negative impact on both cash flows and sales of indebted firms. Furthermore, the impact of exchange rate variations is asymmetric, and the significant effect detected when no asymmetry is imposed is engendered by exchange rate devaluations.

Redistribution with ex-ante unobserved choice

Introducing dynamics to Mirrlees' (1971) optimal taxation model creates a whole new set of issues that are only starting to be investigated in the literature. When choices are made before one's realizing her productivity incentive constraints ought to be defined as a function of more complex strategies than in the static case. 80 far, all work has assumed that these choices are observable and can be contracted upon by the government. Here we investigate choices that : i) are not observed, andj ii) affect preferences conditional Oil the realization of types. In the simplest possible model where a non-trivial filtration is incorporated we show how these two characteristics make it necessary for IC constraints to be defined in terms of strategies rather than pure announcements. Tax prescriptions are derived, and it is shown that they bear some resemblance to classic optimal taxation results. We are able to show that in the most 'natural' cases return on capital ought to be taxed . However, we also show that the uniform taxation prescription of Atkinson and Stiglitz fails to hold, in general.

Testing covariance stationarity

In this paper, we show that the widely used stationarity tests such as the KPSS test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing tests. Monte Carlo experiments show that the proposed test possesses the following characteristics: (i) In the presence of unit root or a structural change in the mean, the proposed test is as powerful as the KPSS and other tests; (ii) In the presence a changing variance, the traditional tests perform badly whereas the proposed test has high power comparing to the existing tests; (iii) The proposed test has the same size as traditional stationarity tests under the null hypothesis of stationarity. An application to daily observations of return on US Dollar/Euro exchange rate reveals the existence of instability in the unconditional variance when the entire sample is considered, but stability is found in subsamples.

Análise da tributação do consumo no Brasil

Nas últimas décadas, as propostas de reforma tributária em diversos países foram redirecionadas para a redução dos encargos incidentes sobre poupança e investimento, para a atenuação da progressividade do imposto sobre a renda do trabalho e para o aumento da participação dos impostos sobre o consumo na receita tributária. Atualmente, os impostos sobre o consumo representam a parcela mais significativa da carga tributária no Brasil. O presente trabalho tem como objetivo apresentar as principais características e ineficiências da tributação do consumo no Brasil. Algumas distorções já foram corrigidas, mas outras ainda necessitam de correção. Pretende-se também mostrar os maiores desafios para a reformulação dessa forma de tributação.

Crime and punishment with habit formation

Moral concepts affect crime supply. This idea is modelled assuming that illegal activities is habit forming. We introduce habits in a intertemporal general equilibrium framework to illegal activities and compare its outcomes with a model without habit formation. The findings are that habit and crime presents a non linear relationship that hinges upon the level of capital and habit formation. It is possible to show that while the effect of habit on crime is negative for low levels o habit formation it becomes positive as habits goes up. Secondly habit reduces the marginal effect of illegal activities return on crime. Finally, the effect of habit on crime depends positively on the amount of capital. This could explain the relationship between size of cities and illegal activity.

Previdência complementar no Brasil : análise do impacto da legislação na alocação de ativos entre 2003 e 2005

This work aims to identify the impacts brought about by legislation alterations regarding assets allocation by Pension Funds Companies. Focused on that, this work carried on a detailed review on the existing literature concerning Modern Portfolio Theory, Pension Funds Investment Strategies and on Brazilian Legislation for Financial Market and Pension Funds. On a second moment, the work identified asset allocation differences when comparing national financial market players and the data released by the official Social Security Secretary - SPC - regarding the 35 Pension Funds analyzed. In accordance with what the literature indicates, the work also reveals that Pension Funds pursue asset allocation policies different than those adopted by other market players due to the Fund¿s long term investment characteristics. No major impacts were identified on the legislation issued by the National Monetary Council ¿ CMN - in what it concerns asset allocation and impacts were only identified on the legislation regarding - CPMF - taxes on financial operations - which led Pension Funds to allocate expressive part of their assets on investment funds.