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Μόνιμο URI για αυτήν τη συλλογήhttps://pyxida.aueb.gr/handle/123456789/34

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Πλοήγηση Διδακτορικές διατριβές ανά Συγγραφέα "Chondrokouki, Maria I."

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  • Μικρογραφία εικόνας
    Τεκμήριο
    Contingent claims analysis of investment under uncertainty: an empirical investigation
    (06/15/2022) Chondrokouki, Maria I.; Χονδροκούκη, Μαρία; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos; Episcopos, Athanasios; Georgoutsos, Dimitrios; Kavousanos, Emmanuel G.; Leledakis, Georgios; Spyrou, Spyros; Tsekrekos, Andrianos
    The aim of this thesis is to empirically examine predictions of the real options theory and to contribute to the empirical literature on real options models. The thesis consists of three essays.The first essay examines the predictions of a real options model by Kavussanos and Tsekrekos (2011), who formulate the decision to change flag as an optimal switching problem, and predict that shipping companies register vessels in open registries in periods of high volatility in freight rates. A Cox proportional hazards model, in which the hazard rate of time until a flag change is a function of variables that have been reported to affect flag choice and freight rate volatility, is employed. The empirical findings suggest that increased volatility has a positive effect on the hazard of change from a national to an open registry, and is associated with a short time interval to (and a high probability of) a flag change.The second essay tests the predictions of a real options model by Alvarez and Stenbacka (2006), which suggests that firms supplement their acquisitions with subsequent divestitures of non-core assets so as to extract value from the acquisition-divestiture combination. Strong evidence in favour of the theoretical predictions is reported: (a) the endogenous decision to undertake such sequences of deals is affected by the acquirer’s bargaining power, the target’s cash flow uncertainty and exogenous deal-implementation risks, and (b) firms implementing subsequent divestments pay higher acquisition premia.The third essay tests the prediction of the option-based investment model that total investment risk affects investment behaviour, using aggregate construction data on residential real estate from eight OECD countries. Total uncertainty is found to be significantly negatively related to investment in the short-run in almost all examined countries. The investigation is extended to the long-run equilibrium relationship between investment and uncertainty.