Thesis (Ph. D.)--University of Missouri-Columbia, 2002. / Typescript. Vita. Includes bibliographical references (leaves 199-206). Also available on the Internet.

This dissertation consists of two empirical essays on the interactions among three financial markets, namely, the stock market, the options market, and the equity lending market. In the first essay, we study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns. In the second essay, we examine the relationship between put options and short sales. We are able to separate the speculative demand of informed traders from the hedging demand of options market makers in the lending market. We find that the put option bid-ask spread and put option trading volume both increase with the equity lending fee. However, we also find that put option trading volume decreases with the lending fee for banned stocks during the 2008 Short-Sale Ban period, i.e., when only options market makers can short. These findings suggest that when informed traders are allowed to short, their speculative demand dominates and drives the substitution that is observed between the two financial instruments. Nevertheless, the “complementarity” of these financial instruments might prevail when options market makers significantly reduce the supply of put options because of high hedging costs. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

published_or_final_version / Economics / Master / Master of Social Sciences

No description available.

The valuation of real options has been of interest for some time. Recently, the model has been revised to include more than one source of randomness, e.g. Paxson and Pinto (2005). In this dissertation, we present a model with more than one diffusion process to analyze strategic interaction in a duopolistic framework. We consider a complete market where the profit per unit and the number of units sold are assumed to evolve according to distinct, but possibly correlated, geometric Brownian motions, and aim to extend Paxson and Pinto’s research to a wider context by adjusting the model to include the effect of the covariance between the stochastic factors. In particular, we present results in both the pre-emptive and non pre-emptive equilibrium case pertaining to the follower’s and leader’s value function. We also investigate the consequences for the model in relation to traditional net present value theory, and include an analysis of the comparative static relationships that exist between the parameters. We then conclude with a chapter that extends our two-variable model to three sources of randomness - first by allowing the investment cost to be modelled as a random once-off payment, and then by considering it to be a stochastically variable ongoing cost. Keywords Real options, complete markets, more than one stochastic process, competitive games, duopoly. / Thesis (M.Sc.)-University of KwaZulu-Natal, Westville, 2009.

Diss. (sammanfattning) Uppsala : Univ., 2004. / Härtill 6 uppsatser.

Dissertation (Ph.D.)--Auburn University, 2007. / Abstract. Vita. Includes bibliographic references (p.128-134).

Thesis (Ph. D.)--Lehigh University, 1999. / Includes vita. Includes bibliographical references (leaves 201-206).

Assignment (MComm)--University of Stellenbosch, 2007. / Bibliography. Also available via the Internet.

Thesis (Ph. D.)--University of Florida, 1988. / Description based on print version record. Typescript. Vita. Includes bibliographical references.