Looking for new measures of capital return and uncertainty. : an econometric approach of modelling investment behaviour

Abstract

This thesis develops an econometric model of investment behaviour of a tanker company. I use the neo classical q investment theory and real option theory. I establish new measures of the theoretical q value, and a recursive GARCH method to model the uncertainty of an investment in a tanker boat. One problem of investment theory has been a difficulty to observe expectations of investment profitability. The thesis links the capital return of the tanker company directly to the tanker rates, and builds on this, in order to model the investment behaviour.