Made available in DSpace on 2016-04-26T20:24:05Z (GMT). No. of bitstreams: 1 Thiago Taborda Simoes.pdf: 1072775 bytes, checksum: f76c11af3345d916bca6e6415f95193e (MD5) Previous issue date: 2015-12-07 / Stock Options are most used to retrain and retain executives and employees. In the United States, rules on the subject have been around since the 40s. In Brazil , Law 6.404/1976 addressed the issue in a superficial way, and only in late 2008 it appeared that the first specific rule on the subject, with the CPC 10 Share-based payment. This work is founded on the oretical analysis and practice of stock options in the relationship between employer and employee, and the consequent taxation or not through social contribution on the payroll and other labor income. To this end, we will hold the construction of the basis for calculating employer contributions, for reasons of technical and historical nature of stock options until reach the framework of the institute on the basis of calculation of employer contributions / Os planos de opção de compra de ações Stock Options Plans são cada vez mais utilizados para remunerar e reter executivos e empregados. Nos Estados Unidos, as regras sobre o tema existem desde os anos 40. No Brasil, a Lei 6.404/1976 abordou o assunto de forma superficial, e somente no final de 2008 é que surgiu a primeira norma específica sobre o assunto, com o Pronunciamento 10 do Comitê de Pronunciamentos Contábeis para pagamento baseado em ações. Este trabalho tem por fundamento a análise teórica e prática das opções de ações na relação entre empregador e empregado, e a consequente tributação ou não por via da contribuição social sobre a folha de salários e demais rendimentos do trabalho. Para tanto, realizaremos a construção da base de cálculo das contribuições patronais, por questões de ordem técnica e histórica das stock options, até chegar ao enquadramento do instituto na base de cálculo dessas referidas contribuições

A versatilidade do mercado de opções o torna atrativo para diversos perfis de investidores. Especuladores e hedgers dispõem de uma grande variedade de estratégias e conseguem modelar uma relação risco-retorno apropriada para o seu perfil de investimento. Operar nesse mercado, no entanto, exige do investidor muito cuidado em suas análises, já que uma operação malsucedida pode ter um efeito muito mais desastroso do que no mercado à vista. Surge, então, o interesse no uso da Análise Gráfica, como uma poderosa ferramenta de reconhecimento de tendências, para a identificação de melhores oportunidades de operação. O objetivo deste estudo foi avaliar a eficiência da aplicação da Análise Gráfica no mercado de opções. A estratégia adotada foi a de realizar operações com opções a partir da Análise Gráfica dos ativos no mercado à vista. Foram estudadas séries históricas das cotações da Petrobras PN (2004 a 2008), Telemar PN (2004 a 2006) e Vale do Rio Doce PNA (2006 a 2008). Foram identificadas 79 oportunidades de operação e seus resultados variaram entre um prejuízo de 95,72% e um lucro de 801,96%. Os resultados sugerem que operar no mercado de opções a partir da Análise Gráfica dos ativos no mercado à vista pode ser uma estratégia muito lucrativa, desde que alguns cuidados fundamentais sejam tomados para amenizar a exposição ao grande risco imposto pelas operações com opções. / The versatility of the options market makes it attractive to investors of various profiles. Speculators and hedgers hold a great variety of strategies and manage to model an appropriate risk-return relationship which fits their investment profile. Nevertheless, in order to trade in this market, an investor must be very careful in his analysis, once an unsuccessful trade might have a much more disastrous effect than in the stock market. It comes to light, then, the interest in the usage of the Technical Analysis as a powerful tool for spotting trends in order to identify the best trade opportunities. The objective of this study was to evaluate the efficiency of the application of the Technical Analysis in the options market. The adopted strategy was to trade options based on the Technical Analysis of its underlying instrument. A variety of historical prices of Petrobras PN (2004 to 2008), Telemar PN (2004 to 2006) and Vale do Rio Doce PNA (2006 to 2008) were studied. Seventy-nine trade opportunities were identified and their results varied from a 95.72% loss to an 801.96% profit. The results suggest that trading in the options market based on the Technical Analysis of its underlying instrument might be a very profitable strategy, provided that some fundamental precautions are taken in order to minimize the exposure to the great risk presented by the options trading.

by Chan Ho-Tong & Ren Tong-Hai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 76-82). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- WARRANT AND COVERED WARRANT --- p.3 / Chapter III. --- HONG KONG WARRANTS MARKET --- p.5 / Chapter 3.1 --- Brief review --- p.5 / Chapter 3.2 --- The covered warrants market --- p.7 / Chapter 3.3 --- Attraction of Warrants --- p.9 / Chapter IV. --- STOCK OPTIONS --- p.11 / Chapter V. --- COMPARISON OF COVERED WARRANT TO STOCK OPTION --- p.13 / Chapter VI. --- MARKET EXPECTATIONS OF STOCK OPTIONS' IMPACTS --- p.16 / Chapter 6.1 --- Historical evidence from index option --- p.16 / Chapter 6.2 --- Expected impact of stock options --- p.17 / Chapter VII. --- LITERATURE REVIEW --- p.19 / Chapter 7.1 --- The impact of option on the underlying stock market --- p.19 / Chapter 7.1.1 --- Theoretical arguments --- p.20 / Chapter 7.1.2 --- Empirical evidence --- p.23 / Chapter 7.1.3 --- Effects of options listing on stock bid-ask spread --- p.27 / Chapter 7.2 --- Prediction of changes in the covered warrants market --- p.31 / Chapter 7.2.1 --- Volatility of covered warrant return --- p.31 / Chapter 7.2.2 --- Trading volume --- p.32 / Chapter 7.2.3 --- Bid-ask spread --- p.34 / Chapter 7.2.4 --- Additional considerations --- p.35 / Chapter VIII. --- DATA ANALYSIS --- p.37 / Chapter 8.1 --- Data Selection --- p.37 / Chapter 8.2 --- Methodology --- p.38 / Chapter 8.4 --- Spread Regression Model --- p.39 / Chapter 8.4 --- Results and Analysis --- p.41 / Chapter 8.4.1 --- Return --- p.41 / Chapter 8.4.2 --- Trading Volume --- p.43 / Chapter 8.4.3 --- Spread --- p.47 / Chapter 8.4.4 --- Spread regression --- p.48 / Chapter 8.4.5 --- Exploration of additional factors --- p.52 / Chapter IX. --- CONCLUSION --- p.55 / Chapter X. --- LIMITATIONS --- p.58 / Chapter XI. --- SUGGESTIONS --- p.60 / APPENDIX --- p.61 / BIBLIOGRAPHY --- p.76

As startups vêm provocando uma mudança profunda no mundo dos negócios, e a cada ano mais startups são fundadas no Brasil. O sucesso destas empresas não depende exclusivamente do desenvolvimento de um produto/serviço inovador e um modelo de negócio escalável, mas também da aplicação de ferramentas de incentivo de longo prazo que permitam a formação de times de alto desempenho altamente engajados, e o controle do caixa, que nos primeiros anos é tipicamente escasso dadas as características de risco destes novos negócios. No entanto, o desconhecimento de ferramentas de incentivo de longo prazo por parte dos empreendedores e a limitada discussão na literatura do seu efeito conjunto nas dimensões de pessoas e financeira faz com que muitas startups não implementem tais planos nos seus primeiros anos de existência, o que pode afetar diretamente o sucesso do negócio. Mecanismos inovativos de incentivo, como as opções fantasmas (phantom stock options), são particularmente desconhecidos e pouco aplicados no contexto brasileiro de startups. O objetivo deste trabalho é desenvolver um plano de incentivo de longo prazo baseado em opções fantasmas em uma startup, bem como gerar conhecimento para apoiar futuras pesquisas acadêmicas no campo. Este objetivo foi atingido por meio de uma pesquisa-ação e os resultados confirmaram a importância desta ferramenta para a atração de talentos, engajamento do time, redução de exposição de caixa e redução de assimetria da informação na empresa, já que o profissional passa a entender e mensurar o valor de sua contribuição individual para a equipe e, consequentemente, para o atingimento do seu bônus. / Startups have been bringing about a profound change in the business world, and each year more startups are founded in Brazil. The success of these companies does not depend exclusively on the development of an innovative product / service and a scalable business model, but also on the application of long-term incentive tools that allow the formation of highly engaged high performance teams and cash control, which in the early years is typically scarce given the risk characteristics of these new businesses. However, the lack of knowledge of long-term incentive tools on the part of entrepreneurs and the limited discussion in the literature of their combined effect on the human and financial dimensions means that many startups do not implement such plans in their early years of existence. Can directly affect the success of the business. Innovative incentive mechanisms, such as phantom stock options, are particularly unknown and little applied in the Brazilian context of startups. The purpose of this paper is to illustrate the creation and implementation of a long-term incentive plan based on phantom options in a startup, as well as generate knowledge to support future academic research in the field. This objective was reached through an action research and the results confirmed the importance of this tool for the attraction of talents, team engagement, reduction of cash exposure and reduction of asymmetry of information in the company, since the professional comes to understand and measure the value of your individual contribution to the team and, consequently, to the attainment of your bonus.

巨災權益賣權(CatEPut option) 是種常見的與風險掛鉤的證券(risk-linked security) ，它經常被用來對沖巨災風險，在這篇文章中，我們在隨機利息率和隨機波動率的條件下對巨災權益實權進行定價。我們使用了高維傅利葉變換的方法來進行定價，并得到了巨災權益賈權價格的顯式表達，數據實驗的結果顯示，我們的定價公式和方法是高效和精確的。此外，我們還發現隨機利息率和隨機波動率對巨災權益賣權的價格有很大影響。 / The catastrophic equity put (CatEPut) options which serve as a kind of risklinked securities are quite popular in hedging catastrophic risk. In this thesis, the CatEPut options are priced with the stochastic interest rate and stochastic volatility (SISV). We use a two-dimensional Fourier transform over the log price and the catastrophic loss to derive the closed-form CatEPut option price. The numerical examples show that our pricing formula and method are efficient and accurate. We also find that the price of the CatEPut options are greatly in uenced by the stochastic volatility and stochastic interest rate. / Detailed summary in vernacular field only. / Li, Yiran. / "September 2012." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 54-55). / Abstracts also in Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Acknowledgements --- p.iii / Contents --- p.v / List of Tables --- p.vii / List of Figures --- p.viii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The model --- p.5 / Chapter 2.1. --- The model of CatEPut options under risk-neutral measure --- p.5 / Chapter 2.2. --- Change to the forward measure --- p.7 / Chapter 3. --- Pricing CatEPut using “conditioning on the catastrophic lossmethod --- p.10 / Chapter 4. --- Pricing CatEPut using Fourier transform --- p.15 / Chapter 5. --- Numerical experiments --- p.26 / Chapter 5.1 --- The FFT algorithm --- p.26 / Chapter 5.2 --- The impact of the stochastic interest rate and the stochastic volatility --- p.27 / Chapter 5.3 --- The advantage of the Fourier transform method --- p.36 / Chapter 6. --- Conclusions --- p.41 / Chapter A. --- Measure change to risk neutral measure Q --- p.43 / Chapter B. --- Proof of integrability --- p.48 / Bibliography --- p.53

by Chow Shun Yin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 45-46). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF TABLE --- p.iv / ABBREVIATION --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OVERVIEW OF HONG KONG STOCK OPTIONS --- p.4 / Chapter III. --- LITERATURE REVIEW --- p.6 / Chapter IV. --- METHODOLOGY AND DATA EMPLOYED --- p.10 / Test A ´ؤ Trading Volume Approach --- p.10 / Test B ´ؤ Trading Volume-Price Volatility Approach --- p.13 / Sample Selection --- p.15 / Data Collection --- p.16 / Chapter V. --- EMPIRICAL RESULTS --- p.17 / Findings --- p.24 / Discussion --- p.27 / Chapter VI. --- CONCLUSION --- p.30 / APPENDIX / BIBLIOGRAPHY

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Researchers have consistently shown that a firms repurchase announcement is met with positive abnormal stock price return reactions. Open-market repurchases are extremely flexible, non-committal and non-punitive; thus, it is puzzling that the mere announcement of an open-market repurchase will likely increase a firms stock price. I propose to disentangle a firms choice to repurchase its stock to determine when a repurchase announcement is good news for shareholders and when the announcement is not. I find that the purpose of the repurchase announcement matters. At the announcement date, managers intention of avoiding dilution is significantly negative and enhancing shareholder value is significantly positive, as expected. However, more interesting results are observed at two-years and three-years post announcement where I show that counteracting dilution is not a good reason to conduct a repurchase and, although not as strongly negative, enhancing shareholder value does not bear out its announcement promise. Furthermore, I find that firms that repurchase their shares to finance an acquisition are well compensated for their efforts, especially in the long run. I attribute their success to higher cash flows resulting from reducing their tax burden with their amortization deduction of the goodwill created from the purchase accounting acquisition.

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