Portfolio size and the reduction of dispersion: the case of the United Kingdom commercial real estate market

This paper investigates the potential benefits and limitations of equal and value-weighted diversification using as the example the UK institutional property market. To achieve this it uses the largest sample (392) of actual property returns that is currently available, over the period 1981 to 1996. To evaluate these issues two approaches are adopted; first, an analysis of the correlations within the sectors and regions and secondly simulations of property portfolios of increasing size constructed both naively and with value-weighting. Using these methods it is shown that the extent of possible risk reduction is limited because of the high positive correlations between assets in any portfolio, even when naively diversified. It is also shown that portfolios exhibit high levels of variability around the average risk, suggesting that previous work seriously understates the number of properties needed to achieve a satisfactory level of diversification. The results have implications for the development and maintenance of a property portfolio because they indicate that the achievable level of risk reduction depends upon the availability of assets, the weighting system used and the investor’s risk tolerance.

The "value" of property rights in social security law

This article provides a critical examination of the way that property rules are applied judicially in the context of social security law concerned with the assessment of capital, and especially in connection with the determination of ownership and the valuation of assets, which can have a critical bearing on entitlement to various means-tested benefits.

Exploring methods to evaluate the carbon impact of network investment deferral

Replacement, expansion and upgrading of assets in the electricity network represents financial investment for the distribution utilities. Network Investment Deferral (NID) is a well discussed benefit of wider adoption of Distributed Generation (DG). There have been many attempts to quantify and evaluate the financial benefit for the distribution utilities. While the carbon benefits of NID are commonly mentioned, there is little attempt to quantify these impacts. This paper explores the quantitative methods previously used to evaluate financial benefits in order to discuss the carbon impacts. These carbon impacts are important for companies owning DG equipment for internal reporting and emissions reductions ambitions. Currently, a GB wide approach is taken as a means for discussing more regional and local methods to be used in future work. By investigating these principles, the paper offers a novel approach to quantifying carbon emissions from various DG technologies.

Capital structure choice of foreign subsidiaries: evidence from multinationals in Brazil

Is the capital structure choice of a foreign subsidiary different from the choice of a comparable company controlled by nationals? If so, what are the differences? In this paper we shed some light on these questions by looking at a sample of foreign subsidiaries in Brazil over the period 1985 to 1994. We find that the foreign subsidiaries in our sample are more levered than their Brazilian counterparts. This difference, however, has declined over time. The evidence is consistent with the hypothesis that foreign subsidiaries increase leverage as a hedge against an expropriation of assets in a nationalization process.

Debt management in Brazil: evaluation of the Real Plan and challenges ahead

The Brazilian domestic debt has posed two challenges to policy-makers: it has grown very fast and its maturity is extremely short. This has prompted fears that a default or a compulsory lengthening scheme would be imposed. Here, we analyse the domestic public debt management experience in Brazil, searching for policy prescriptions for the next few years. After briefiy reviewing the recent domestic public debt history, we decompose the large rise in federal bonded debt during 1995-2000, searching for its macroeconomic causes. The main culprits are the extremely high interest payments-which, unti11998, were caused by the weak fiscal stance and the quasi-fixed exchange-rate regime; and since 1999, by the impact ofthe currency depreciation On the dollar-indexed and the externai debt-, and the accumulation of assets of doubtful value, much of which may have to be written off in the future. Simulation exercises of the net debt path for the near future underscore the importance of a tighter fiscal stance to prevent the debt-GDP ratio from growing further. Given the need to quickly lengthen the debt maturity, our main policy advice is to foster, and rely more on, infiation-linked bonds.

The impact of corruption on the performance of state-owned companies: case of Petrobras Brasil

As empresas estatais são freqüentemente consideradas como componentes cruciais da economia de um país. Eles são responsáveis pela criação de vários postos de trabalho e proveem serviços essenciais que exigem um grande investimento de capital. Porém, em países com instituições fracas, onde a responsabilidade dos políticos é limitada e a gestão dos recursos financeiros das empresas estatais sofre pouco controle, os funcionários são muitas vezes tentados pela corrupção. Enormes quantidades de fundos públicos são facilmente desviados, e dinheiro que deveria ter sido investido nas despesas de capital, no pagamento de dívida da empresa ou no aumento do retorno para os acionistas, é usado para aumentar a riqueza privada de indivíduos ou para financiar ilegalmente partidos políticos. O desempenho da empresa sofre com essas alienações visto que parte dos lucros da empresa não são reinvestidos na empresa e dado que incentivos dos gestores estão desalinhados com os interesses dos acionistas. Petrobras, a maior empresa da América Latina em termos de ativos e receitas anuais, sofreu em 2014 e 2015 um escândalo de corrupção imenso, cujo impacto económico foi considerável, levando ao enfraquecimento da confiança de muitos investidores no Brasil após o evento. O escândalo expôs um extenso esquema de corrupção através do qual os contratantes foram conspirando para aumentar os preços de contratos de construção, com a aprovação da administração da Petrobras que pediu em troca ganhos pessoais ou fundos para o Partido dos Trabalhadores (PT). A exposição do escândalo na imprensa brasileira teve um grande impacto sobre a credibilidade da Petrobras: as contas da empresa estavam escondendo imensas irregularidades dado que a empresa tinha pago demais para os contratos de construção que não foram precificados no valor do mercado. Ao longo deste estudo, usamos o exemplo da Petrobras para ilustrar como a corrupção dentro empresas estatais prejudica o desempenho da empresa e como ela afeta as várias partes interessadas da empresa.

Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Preliminary Overview of the Economies of Latin America and the Caribbean 2006

Includes bibliography

Practices of environmentally responsible reverse logistics systems in Brazilian companies

The aim of this paper is to propose a classification of reverse logistics systems based on activities for value recovery from returned products. Case studies were carried out in three Brazilian companies. Research results show that Company 1 uses a reverse logistics system based on ‘disposal logistics system’, the main reason for returns is ‘end of life’ and the main motivation is ‘legislation’; Company 2 uses ‘Recycling logistics system’, the main reason for the returns is ‘products not sold’ and the main motivation is ‘recovery of assets and value’; finally, Company 3 uses ‘product reprocessing logistics system’, the main reason for returns is ‘end of life’ and the main motivation is ‘social and environmental responsibility’.

Estimating greenhouse gas emissions of highway construction and rehabilitation to support pavement life cycle assessment

Highway infrastructure plays a significant role in society. The building and upkeep of America’s highways provide society the necessary means of transportation for goods and services needed to develop as a nation. However, as a result of economic and social development, vast amounts of greenhouse gas emissions (GHG) are emitted into the atmosphere contributing to global climate change. In recognizing this, future policies may mandate the monitoring of GHG emissions from public agencies and private industries in order to reduce the effects of global climate change. To effectively reduce these emissions, there must be methods that agencies can use to quantify the GHG emissions associated with constructing and maintaining the nation’s highway infrastructure. Current methods for assessing the impacts of highway infrastructure include methodologies that look at the economic impacts (costs) of constructing and maintaining highway infrastructure over its life cycle. This is known as Life Cycle Cost Analysis (LCCA). With the recognition of global climate change, transportation agencies and contractors are also investigating the environmental impacts that are associated with highway infrastructure construction and rehabilitation. A common tool in doing so is the use of Life Cycle Assessment (LCA). Traditionally, LCA is used to assess the environmental impacts of products or processes. LCA is an emerging concept in highway infrastructure assessment and is now being implemented and applied to transportation systems. This research focuses on life cycle GHG emissions associated with the construction and rehabilitation of highway infrastructure using a LCA approach. Life cycle phases of the highway section include; the material acquisition and extraction, construction and rehabilitation, and service phases. Departing from traditional approaches that tend to use LCA as a way to compare alternative pavement materials or designs based on estimated inventories, this research proposes a shift to a context sensitive process-based approach that uses actual observed construction and performance data to calculate greenhouse gas emissions associated with highway construction and rehabilitation. The goal is to support strategies that reduce long-term environmental impacts. Ultimately, this thesis outlines techniques that can be used to assess GHG emissions associated with construction and rehabilitation operations to support the overall pavement LCA.

Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

Farm-level Capital: Capital positions, structures, the dynamics of farm-level investments, capital accumulation and leverage positions. Factor Markets Working Paper No. 7, October 2011

This Factor Markets Working Paper describes and highlights the key issues of farm capital structures, the dynamics of investments and accumulation of farm capital, and the financial leverage and borrowing rates on farms in selected European countries. Data collected from the Farm Account Data Network (FADN) suggest that the European farming sector uses quite different farm business strategies, capabilities to generate capital revenues, and segmented agricultural loan market regimes. Such diverse business strategies have substantial, and perhaps more substantial than expected, implications for the financial leverage and performance of farms. Different countries adopt different approaches to evaluating agricultural assets, or the agricultural asset markets simply differ substantially depending on the country in question. This has implications for most of the financial indicators. In those countries that have seen rapidly increasing asset prices at the margin, which were revised accordingly in the accounting systems for the whole stock of assets, firm values increased significantly, even though the firms had been disinvesting. If there is an asset price bubble and it bursts, there may be serious knock-on effects for some countries.

The wealth effect of housing on aggregate consumption

This study Measures the effect of changes in net housing and financial wealth oil household consumption using Australian data over the period Q2:1988-Q1:2003. It is found a permanent one dollar rise in housing wealth leads to a six cent increase in consumption, three times the effect of financial wealth. The result speaks strongly against the notion of assets fungibility.. and Suggests that a sharp movement in house prices is potentially more disruptive than a corresponding movement ill financial asset prices.

On the opportunism-independent theory of the firm

Previous developments in the opportunism-independent theory of the firm are either restricted to special cases or are derived from the capabilities or resource-based perspective. However, a more general opportunism-independent approach can be developed, based on the work of Demsetz and Coase, which is nevertheless contractual in nature. This depends on 'direction', that is, deriving economic value by permitting one set of actors to direct the activities of another, and of non-human factors of production. Direction helps to explain not only firm boundaries and organisation, but also the existence of firms, without appealing to opportunism or moral hazard. The paper also considers the extent to which it is meaningful to speak of 'contractual' theories in the absence of opportunism, and whether this analysis can be extended beyond the employment contract to encompass ownership of assets by the firm. © The Author 2005. Published by Oxford University Press on behalf of the Cambridge Political Economy Society. All rights reserved.

Increasing competitiveness of third party logistics with RFID

Competition in the 3PL market continues to intensify as providers compete to win and retain clients. 3PL providers are required to reduce costs while offering tailored innovative logistical solutions in order to remain competitive. 3PL providers can reduce costs through the consolidation of assets and introduction of cross-docking activities. Innovative logistical services can be tailored to each client via the introduction of real-time data updates. This paper highlights that RFID enabled RTE can assist in improvements of both these areas through increased network visibility. A framework is presented where the 3PL provider focuses on asset reduction, asset utilisation, real-time data employment and RTE cycle time reduction in order to enhance competitiveness. © 2011 IEEE.