Potential für Kraftwerke mit Kohlendioxidrückhaltung aus Systemperspektive

System considerations support a discussion of selected factors influencing the economic viability of power plants with CO₂ sequestration technology (CCS, for carbon dioxide capture and storage), leading to conclusions when and how much of their potential may conceivably be realised. The CCS realisation is interconnected to investments into other technologies, to technological advances, to the price of CO₂ emission certificates, to plant dispatch, and to the prices of power. In a system of CCS potential realisation by individual actors, these variables are endogenous. This article is mainly about them. CCS is more of a long term option than a bridge technology. In contrast to other CO₂ reduction technologies, both economic operation and economic investment necessarily require high CO₂ certificate prices. An increase in power plant efficiency without CCS, switching to natural gas and power generation from renewable sources involve more mature technologies that may benefit from further application within the coming decades. Even far beyond 2020 this effect may delay and dampen the potential of CCS technology. An economic or market potential is dependent to a lesser extent on assumptions about future barriers but rather on their dynamic interactions.     

Multinationality and downside risk: The roles of option portfolio and organization

Multinational operations confer firms a portfolio of switching options that offer potential operating flexibility in the context of input cost variability, helping firms reduce downside risk. We suggest that two conditions may shape the relationship between multinationality and downside risk. When subadditivity is present in a firm's option portfolio, such as when the firm operates affiliates in host countries with similar labor cost developments, multinationality is less likely to reduce downside risk since less valuable opportunities exist for shifting operations. Multinationality is more likely to reduce downside risk if a firm's organization facilitates the coordination of cross‐border activities, enabling the exploitation of the shifting opportunities. Analysis of a comprehensive panel dataset of Japanese manufacturing firms and their foreign manufacturing affiliates provides support for these conjectures. Copyright © 2013 John Wiley & Sons, Ltd.     

基于波动率指数的期权对冲策略研究

波动率指数反映了期权投资者对未来市场波动性的预期,被用作衡量市场风险的重要依据。试图应用波动率指数来构建一种风险收益特性类似于债券的期权投资策略,即寻找市场中隐含波动率较相应的波动率指数高估或低估的期权品种并进行建仓,再用标的现货使组合保持delta中性。最后采用香港恒生指数期权数据进行了实证分析,结果显示该策略具有一定的实用价值,对期权投资具有一定的参考意义。     

The influence of relative values of outside director stock options on firm strategic risk from a multiagent perspective

Prior work has examined the effects of absolute levels of outside director stock option grants on risk behavior without recognizing that relative stock option values could differentially affect risk taking. Drawing from the house money effect perspective, we extend this literature by examining how positive deviation from prior outside director option grants values influences firm strategic risk. Additionally we draw from the behavioral agency model and the power literature to develop a multiagent contingency framework suggesting the effect of positive director pay deviation depends on the incentives and power of CEOs reflected in CEO stock ownership and CEO duality, respectively. Our empirical results indicate positive pay deviation has a positive effect on firm risk taking while high ownership and duality independently and jointly weaken this base relationship. Copyright © 2013 John Wiley & Sons, Ltd.     

Integrating Real Options with Managerial Cash Flow Estimates

This article presents a real options model that fits managerial cash flow estimates (optimistic, likely, and pessimistic projections) to a continuous geometric Brownian motion (GBM) cash flow process with changing growth and volatility parameters. The cash flows and the value of a project are correlated to a traded asset, so the real option is priced under the risk-neutral measure with a closed-form solution. The analysis is extended to a sequential compound call option for investments over multiple periods. If the project is correlated to the market, then some of the risk may be mitigated by a delta-hedging strategy. A numerical example shows that the effect of the correlated asset on the real option value is significant, and the relationship between the volatility of the project and the real option value is not analogous to the typical relationship found in financial option pricing. Integrating the expertise and industry knowledge of management, this approach makes possible a more rigorous estimation of model inputs for real option pricing.     

Brokerage commissions and margin requirements: With special reference to Japan

In Japan, brokerage commissions and margin requirements are currently regulated by the Ministry of Finance. However, commissions may soon be deregulated. This paper examines several economic factors which determine commissions and margins in a deregulated environment. The analysis is motivated by the observations that for Japan's securities companies, 1) brokerage commissions constitute a large component of their revenues; 2) margin transactions account for a significant proportion of their trading volume; 3) their gross income exhibits a great deal of volatility; 4) income tax is one of their two largest expenses; and 5) they face a significant tax asymmetry.While executing an unmargined long transaction for a customer is a riskless activity, executing either a margined long or a short transaction exposes the firm to some risk and possibly negative profits. While the commission charged by a brokerage firm for executing a riskless (unmargined) long transaction is simply equal to the marginal cost of producing the firm's total number of transactions, it is demonstrated that the gross commission charged for executing either a margined long or a short transaction includes two other components. The first additional component is a risk/tax premium that is determined by the brokerage firm's tax rate and degree of tax asymmetry, the security's volatility, and the customer's margin deposit. The second additional component is the premium required for the implicit put option associated with a margined long transaction, or for the implicit call option associated with a short transaction. The option falls in-the-money if the security's price changes significantly, so that it is optimal for the customer to default on his contract with the brokerage firm.The determinants of the customer's optimal margin, for both long and short transactions, are also examined. The benefit to the customer of depositing a higher margin is that his commission cost declines. For example, with short transactions a higher margin increases the exercise price of the implicit call option, causing both the risk/tax premium and the implicit option premium to decline. However, a higher margin may increase the customer's opportunity cost of capital. Consequently, the optimal margin increases with the firm's tax rate and degree of tax asymmetry, and decreases with the customer's opportunity cost of capital. An increase in the security's volatility has an ambiguous impact on the optimal margin.The authors are from York University, Canada and International University of Japan, respectively. Part of this paper was written while the first author was on leave at Kyoto University, Japan. We acknowledge helpful comments by Richard Arnott, Lawrence Harris, Hiromitsu Ishi, Eliakim Katz, Johannes Raaballe and Lim Kian Guan (the editor).     

Bereitstellung von Regelleistung durch Elektrofahrzeuge: Modellrechnungen für Deutschland im Jahr 2035

The German government has set ambitious goals for both the expansion of renewable energy supply and electromobility. According to its Energiewende policy, electricity supply from fluctuating renewables is supposed to further increase considerably. This will tend to require a greater provision of balancing reserves. At the same time, supply from conventional dispatchable plants, which used to provide the bulk of reserves, will decrease. Against this background, this article analyzes the scope for an assumed fleet of 4.4 million electric vehicles to supply balancing reserves in 2035. Examining two different future power plant scenarios, it explores the potentials of reserve provision with and without the option of feeding electricity from vehicle batteries back to the grid. Results from an extended open-source power system simulation model show that the assumed vehicle fleet can efficiently provide a substantial share of reserve requirements, also in case the vehicle-to-grid option is not available. Arbitrage on wholesale markets, on the other hand, is negligible under basic assumptions. Likewise, total system cost savings are minor when compared to a pure cost-optimal loading of vehicle batteries. Under alternative assumptions on the future power plant portfolio as well as on battery degradation costs, however, wholesale arbitrage, reserve provision, and system cost savings can be substantial.     

Exploring Portfolio Decision‐Making Processes*

Portfolio management is the set of activities that allows a firm to select, develop, and commercialize a pipeline of new products aligned with the firm's strategy that will enable it to continue to grow profitably over the long term. To appropriately manage the firm's new product portfolio, decisions must be made about which projects to fund, to what levels, at what point in time. Previous research has investigated portfolio management decisions as individually discrete decisions. Significant streams of research have investigated both project selection and project termination decisions. This research project shows, however, that portfolio decision making may be better understood if it is considered as an integrated system of processes that considers these decisions simultaneously, along with other decisions such as those to continue a project with reduced funding. Using in‐depth data from four diverse case studies, we use a grounded theory approach to develop a general model of how firms make new product portfolio decisions. According to the findings from these cases, effective portfolio decision‐making processes produce a portfolio mindset, focus effort on the right projects, and allow agile decision making across the portfolio's set of projects. Effective portfolio decision making is the result of the interaction between three types of decision‐making processes that managers use in making decisions: evidence‐, power‐, and opinion‐based. Being able to use each of these types of processes to make decisions depends upon having the data inputs that they require. Three domain‐based decision input‐generating processes (i.e., cross‐functional collaboration, practices of critical thinking, and practices of market immersion) are associated with making evidence‐based portfolio decisions. In addition, organizational politics produces the inputs that are associated with power‐based portfolio decision making, while managerial intuition is associated with opinion‐based portfolio decision making. Firm cultural factors, including trust, collective ambition, and leadership style, are associated with how these evidence‐, power‐ and opinion‐based processes are combined into an overall portfolio decision making process, and whether the firm's processes are more rational and objectively made, or more politically and intuitively made. The article presents propositions for how the decision‐making processes interact in their associations with decision‐making effectiveness.     

基于模糊层次分析法的越南燃煤电厂BOT项目风险管理研究

越南作为我国友好邻邦,是“一带一路”沿线上的主要国家之一。其近年来加大了对外开放力度,促使越来越多国家和地区的资金向其涌入,也倍受我国电力企业的青睐。虽然越南与我国在文化、社会风俗、民族文化、生活方式、建设社会主义市场经济等方面有许多相同点,但是在急速发展的社会、经济环境下,电力建设项目全寿命周期长造成管理过程中存在的不确定因素很多,这使得我国各企业提高了境外电力建设项目风险管理重视度。文章基于模糊层次分析法设计了越南燃煤电厂BOT项目风险评估方案与流程;建立了越南燃煤电厂BOT项目风险评估层次分析模型及其评价指标体系;将越南燃煤电厂BOT项目风险分为两国关系、恐怖事件、政策影响、行业改制和融资风险等21项风险因素,计算各风险因素权重,有效评价越南燃煤BOT项目风险,并基于项目管理全寿命周期理论,给出了风险防护措施及建议。     

Variance-enhancing corporate entrepreneurship under deregulation: An option portfolio approach

The current study draws upon the real option portfolio theory to examine the relationship between deregulation and corporate entrepreneurship. We propose that a firm could respond to deregulation with variance-enhancing corporate entrepreneurial activities (CEAs), which increase the portfolio value of real options to exploit the upside opportunities and constrain the downside loss. We develop two dimensions of CEAs—frequency and diversity—to capture the value of the option portfolio, and we propose that these two dimensions contribute to a company’s long-term equity return and innovation performance. We test these arguments with 526 Chinese listed firms in five innovative industries from 2001 to 2005, and we find significant support for our hypotheses. Our empirical findings and the option portfolio approach carry important implications for entrepreneurship theory and policy. The CEA portfolio could be a useful tool to configure and allocate strategic investments proactively.     

Strategic Behavior and International Benchmarking for Monopoly Price Regulation: The Case of Mexico

This paper looks into various models that address strategic behavior in the supply of gas by the Mexican monopoly Pemex. The paper has three very strong technical results. First, the netback pricing rule for the price of domestic natural gas (based on a Houston benchmark price) leads to discontinuities in Pemex’s revenue function. Second, having Pemex pay for the gas it uses and the gas it flares increases the value of the Lagrange multiplier associated with the gas processing constraint. Third, if the gas processing constraint is binding, having Pemex pay for the gas it uses and flares does not change the short run optimal solution for the optimization problem, so it will have no impact on short-run behavior. These results imply three clear policy recommendations. The first is that the arbitrage point be fixed by the amount of gas Pemex has the potential to supply in the absence of processing and gathering constraints. The second is that Pemex be charged for the gas it uses in production and the gas it flares. The third is that investment in gas processing and pipeline should be in a separate account from other Pemex investment.     

Commodity price inflation, retail pass-through and market power

When commodity prices rise, wholesalers and retailers of products derived from basic commodities respond by passing along at least a portion of the price increase to consumers. In this paper we examine whether firms respond differently to positive commodity price shocks than to negative commodity price shocks; that is, whether commodity price volatility alters market power. We exploit recent volatility in food commodity prices over the period 2007-2010 to investigate how commodity price shocks translate into market power in two different vertically-structured food product industries: potatoes and fluid milk. For potatoes, we find both wholesale and retail market power decreases (increases) during periods of rising (falling) commodity prices. Moreover, price-cost margins widen a substantially greater degree in response to negative shocks than margins narrow in response to positive shocks, indicating that commodity price volatility increases market power. For fluid milk, we find that market power likewise declines during periods of rising commodity prices; however, market power does not significantly change during periods of falling commodity prices, suggesting that commodity price volatility decreases market power.     

Some evidence on the gains from international diversification for Canadian investors

It is easily demonstrated ex post that international portfolio diversification results in increased returns and reduced risk. However, to determine the value of international diversification as an effective portfolio management strategy, it is necessary to form portfolios based on information available at the time of their composition, and then evaluate the performance of the portfolio in the following months. This is the main focus of our study, which adds several innovations to past research. First, we use daily rates of return on 23 national indices to evaluate the value of international diversification for a Canadian investor. Second, we evaluate the predictive value of the historical variance-covariance matrix vis-à-vis alternative models. Third, we use the Bayes-Stein correction to reduce errors in the historical return vector. Finally, we use a quadratic programming model in order to introduce the effects of constraints on the optimisation process. The results, obtained over the 1986–1989 period, are not in favour of international diversification. Returns on diversified portfolios were often lower than returns on the low-risk Canada market during the low-performance portfolio test periods. In other cases, higher returns on diversified portfolios could not be justified by their higher volatility. It is possible that these results may be partially due to the effects of the market crash in October 1987. Nevertheless, our study brings up many directions for future research. Is international diversification in fact profitable? Is portfolio optimisation appropriate in an international context? Finally, what is the best way to estimate the expected return vector in various markets?     

Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets

We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior, asymmetric volatility spillover effects and exceedance correlations, this study shows that the real estate markets in these two countries experience significant interaction on a daily basis when synchronously priced data are utilized. These results are different from when close-to-close returns are examined, implying that the use of close-to-close data can misconstrue the true dynamics that exist between these markets. Results also show significant asymmetric effects on both the volatility and correlation dynamics between the markets. This has several implications for property portfolio managers, indicating that positive and negative news impact the markets differently. This is particularly true for the United Kindom, where daily foreign news from the United States can influence U.K. volatility.     

Interest Rate Risk, Residential Mortgages and Financial Futures Markets

Residential mortgage markets in both the United States and Canada have recently been dominated by instruments such as variable-rate and short-term rollover mortgages which require borrowers to assume a greater burden of interest rate risk. An outstanding question is whether this approach to risk allocation is Pareto optimal or whether there are other more effective methods of dealing with the risk created by interest rate volatility. This study examines the potential for shifting this risk from the mortgage market to the financial futures market. After considering the rationale for expecting that neither mortgage borrowers nor lenders wish to absorb the high levels of risk present in the existing financial environment, this study discusses the hedging of interest rate risk through financial futures markets. Empirical tests are then performed to evaluate the effectiveness of U.S. futures markets for hedging positions from the U.S. mortgage market. These results indicate that the interest rate risk inherent in residential mortgages can be substantially shifted through one or more positions in the existing futures contracts and long-term, fixed-rate mortgages may still be financially feasible under conditions of interest rate volatility.     

The Performance of Commercial Mortgages

This study examines the return characteristics of a large, well-diversified commercial mortgage portfolio. Mortgage-specific cash-flow histories are constructed for 2,480 loans originated over the period 1974 through 1990, and a contingent-claims approach to pricing risky debt is used to estimate inter-temporal market values. Quarterly holding-period returns are compared across selected mortgage groups and to alternate asset classes. Our findings suggest that both mortgage returns and volatility of return are comparable to those of other forms of fixed-income assets over the study period. Implied property price volatility is found to average 17%, a result significantly higher than reported in earlier studies. While mortgage returns are found to vary by property type and region of origin, cross correlation of returns is found to be high, illustrating the systematic effect of interest rates on the performance of commercial mortgages over the period 1974 through 1990. However, an increase in credit risk in the latter years of the study suggests that diversification may be a worthwhile objective for holders of these assets. We do not find evidence to suggest that abnormal returns were earned on commercial mortgage portfolios over the study period.     

On the Effects of Uncertainty on Investment Timing and Option Value

This article demonstrates that when the relationship between systematic risk and project value is taken into account, the sensitivity of investments with respect to volatility changes dramatically. By taking cash flows as a fundamental variable, the article shows that the value of an option to invest can be decreasing in volatility, contradicting the conventional wisdom. Second, the recent proposition, according to which the expected time to invest is U-shaped, does not generally hold; the expected time and the cash flow trigger are likely to be always increasing in volatility.     

Modeling beef supply response and price volatility under CAP reforms: The case of Greece

This study examines the supply response of the Greek beef market and the possible effect of the European Union’s Common Agricultural Policy (CAP) on the Greek beef sector during the period 1993–2005. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process is used to estimate expected price, and price volatility, while several different symmetric, asymmetric and non-linear GARCH models are estimated. The empirical results show that price volatility and feed price are important risk factors in the supply response function, while the negative asymmetric price volatility that was detected implies that producers have a weak market position. Furthermore, the empirical findings confirm that the annual premium paid by the EU to beef producers had a positive impact on the production level and also, the change of the EU price support regime, after 2006, is having negative effects on beef production level in Greece.     

The Investment in Housing As a Forward Market Transaction: Implications for Tenure Choice and Portfolio Selection

A model of tenure choice is presented which treats the benefits and costs of homeownership from a theory of finance perspective. The incremental benefits from homeownership over renting housing services are from two sources: protection against rental price risk (a forward transaction in the housing market) and from a possible capital gain from the eventual sale of a house (substitutes for portfolio investment). The cost of these benefits is higher initial outlay on housing, which reduces the funds available for portfolio investments. The comparative statics of this model is presented. It is shown that rental risk and portfolio risk add to the value of homeownership. Since homeownership is a partial substitute for portfolio investment, it is shown that the lower the covariance between portfolio returns and future home prices the more valuable is homeownership. In the presence of differential borrowing opportunities it is shown that the leverage available to housing significantly increases the value of homeownership.