Net Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición Única

Hdl Handle:
http://hdl.handle.net/11285/572610
Title:
Net Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición Única
Issue Date:
2006-12-01
Abstract:
The main contribution of this dissertation is focused on the Capital Investments Theory that influences on Real Option Theory. My Ph.D Thesis asserts that net cash flow (NCF) and the interest rate (rt) of a investment project are stochastic processes. A new model of mean reversion for the NCF administration named “Vasicek extended” is made, among others; the Cox-Ingersoll-Ross (CIR) model for interest rate is considered. A fundamental contribution to this thesis is considering external control variables (Zt) which modify the Net Cash Flow trajectory. To the system of dynamic variables is joined Vector Autoregressive VAR(l) which captures the dynamic interaction of the control variables used by the council administration. We work through from a continuous to a discrete version. Then is explained NPV from my new point of view. The modified NPV(Zt) this gives a more accurate value for valuating VPN(Zt) +<�, � is the real option, therefore we see a step forward on the topic. There is a complete analysis for the discrete case and therefore a complete methodology for applying these ideas to any enterprise in any country. This methodology is applied to the Mexican case, particularly to large enterprises which are listed in the Mexican Stock Market and a taxonomy to get a classification of their situation derivates from it. We arrive 9 naturally possible cases and any enterprise is classified into one of them. The general model are estimated for 69 large enterprises and it shows where every enterprise is located over its corresponding quadrant, this also results as a map allowing having a clear panorama about industrial situation in Mexico. Through the thesis development, we enter upon the information asymmetry notion to obtain the “news cash flow curve” applied to the NCF profit as another contribution. An application on 69 large enterprises listed in the Mexican Stock Market is made.
Keywords:
Capital Investments Theory; Real Options; Net Present Value; Net Cash Flow; Stochastic Processes; Vector Autoregressive (VAR); Generalized Autoregressive; Conditional Heteroskedasticity (GARCH); Asymmetric Information; Mexican Stock Market; Mexico
Degree Program:
Doctoral Program in Administration
Advisors:
Dr. Belen Villalonga-Morenés
Committee Member / Sinodal:
Dr.Francisco Venegas-Martínez; Dr.Luis García-Calderón Díaz; Dr.Alejandro Ibarra-Yúnez
Degree Level:
Doctor of Philosophy in Management
School:
Graduate School of Business and Leadsership
Campus Program:
Campus Monterrey
Discipline:
Negocios y Economía / Business & Economics
Appears in Collections:
Ciencias Sociales

Full metadata record

DC FieldValue Language
dc.contributor.advisorDr. Belen Villalonga-Morenésen
dc.creatorMota Aragón, Martha B.en
dc.date.accessioned2015-08-17T11:36:28Zen
dc.date.available2015-08-17T11:36:28Zen
dc.date.issued2006-12-01-
dc.identifier.urihttp://hdl.handle.net/11285/572610en
dc.description.abstractThe main contribution of this dissertation is focused on the Capital Investments Theory that influences on Real Option Theory. My Ph.D Thesis asserts that net cash flow (NCF) and the interest rate (rt) of a investment project are stochastic processes. A new model of mean reversion for the NCF administration named “Vasicek extended” is made, among others; the Cox-Ingersoll-Ross (CIR) model for interest rate is considered. A fundamental contribution to this thesis is considering external control variables (Zt) which modify the Net Cash Flow trajectory. To the system of dynamic variables is joined Vector Autoregressive VAR(l) which captures the dynamic interaction of the control variables used by the council administration. We work through from a continuous to a discrete version. Then is explained NPV from my new point of view. The modified NPV(Zt) this gives a more accurate value for valuating VPN(Zt) +<�, � is the real option, therefore we see a step forward on the topic. There is a complete analysis for the discrete case and therefore a complete methodology for applying these ideas to any enterprise in any country. This methodology is applied to the Mexican case, particularly to large enterprises which are listed in the Mexican Stock Market and a taxonomy to get a classification of their situation derivates from it. We arrive 9 naturally possible cases and any enterprise is classified into one of them. The general model are estimated for 69 large enterprises and it shows where every enterprise is located over its corresponding quadrant, this also results as a map allowing having a clear panorama about industrial situation in Mexico. Through the thesis development, we enter upon the information asymmetry notion to obtain the “news cash flow curve” applied to the NCF profit as another contribution. An application on 69 large enterprises listed in the Mexican Stock Market is made.en
dc.language.isoenen
dc.rightsOpen Accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.titleNet Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición Únicaen
dc.typeTesis de Doctoradoes
thesis.degree.grantorInstituto Tecnológico y de Estudios Superiores de Monterreyes
thesis.degree.levelDoctor of Philosophy in Managementen
dc.contributor.committeememberDr.Francisco Venegas-Martínezes
dc.contributor.committeememberDr.Luis García-Calderón Díazes
dc.contributor.committeememberDr.Alejandro Ibarra-Yúnezes
thesis.degree.disciplineGraduate School of Business and Leadsershipen
thesis.degree.nameDoctoral Program in Administrationen
dc.subject.keywordCapital Investments Theoryen
dc.subject.keywordReal Optionsen
dc.subject.keywordNet Present Valueen
dc.subject.keywordNet Cash Flowen
dc.subject.keywordStochastic Processesen
dc.subject.keywordVector Autoregressive (VAR)en
dc.subject.keywordGeneralized Autoregressiveen
dc.subject.keywordConditional Heteroskedasticity (GARCH)en
dc.subject.keywordAsymmetric Informationen
dc.subject.keywordMexican Stock Marketen
dc.subject.keywordMexicoen
thesis.degree.programCampus Monterreyen
dc.subject.disciplineNegocios y Economía / Business & Economicsen
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