by Ka-kit Chan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 71-73). / Chapter I. --- Introduction to Stochastic Calculus --- p.1 / Stochastic Processes --- p.2 / Stochastic Integration --- p.6 / Quadratic Variation Processes and Mutual Variation Process --- p.11 / The Ito Formula --- p.13 / Girsanov's Theorem --- p.16 / Stochastic Differential Equations --- p.18 / Chapter II. --- Pricing American Equity Options --- p.21 / A Representation Formula for European Put Option --- p.22 / The Free Boundary Formulation of American Put Option --- p.24 / A Representation Formula for American Put Option --- p.27 / An Alternative Representation Formula for American Put Option --- p.35 / The Optimal Exercise Boundary --- p.37 / Numerical Valuations of the Representation Formulae --- p.39 / Chapter III. --- The Effects of Margin Requirements on Option Prices --- p.42 / Pricing European Options --- p.44 / Pricing American Options --- p.46 / Chapter IV. --- General Pricing Theory --- p.49 / Transformations of Price Processes --- p.50 / No Arbitrage Condition and Completeness of Market --- p.52 / More on Market Completeness --- p.58 / Term Structure of Interest Rate and Interest Rate Options --- p.61 / Pricing Equity Options --- p.67 / Bibliography --- p.71

by Lam Suk-ting, Angelina, Lin Yuen-tung, Anthony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 59-64). / ABSTRACT --- p.ii / ACKNOWLEDGMENTS --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vi / LIST OF TABLES --- p.vii / Chapter CHAPTER I. --- INTRODUCTION --- p.1 / Pre-Holiday Effect --- p.1 / Hong Kong Situation --- p.2 / Objectives of The Research --- p.3 / Outline of The Report --- p.3 / Chapter CHAPTER II. --- LITERATURE REVIEW --- p.4 / Literature on Holiday Effect --- p.4 / "Possible Explanations for the "" Holiday Effect""" --- p.7 / Literature Review on Other Anomalies --- p.10 / """January Effect""" --- p.10 / """ Firm Size Effect""" --- p.12 / """ Weekend Effect"" and ""Monday Effect""" --- p.14 / Monthly Effect'' --- p.15 / Literature on Hong Kong Market's Anomalies --- p.16 / Chapter CHAPTER III. --- DATA AND METHODOLOGY --- p.18 / Data --- p.18 / Holiday Selection --- p.19 / Data Source --- p.19 / Methodology --- p.20 / Procedure of Analysis --- p.21 / General Effect Before Holidays --- p.21 / General Effect After Holidays --- p.22 / Individual Holiday Effect --- p.22 / Length of Holiday vs. Market Performance --- p.25 / Theoretical Framework --- p.26 / Student's t Test For Two Separated Samples --- p.27 / Wilcoxon Signed Rank Test --- p.28 / One-Way ANOVA --- p.31 / Chapter CHAPTER IV. --- RESULT --- p.33 / General Pre-Holiday Effect --- p.33 / General Post-Holiday Effect --- p.35 / Individual Holiday Effect --- p.36 / The Pre-Holiday Effect Of Individual Holiday --- p.37 / Returns On Pre-Holiday Trading Day vs. Returns On Three Days Before Holiday --- p.39 / The Post-Holiday Effect Of Individual Holiday --- p.40 / Christmas-New Year Holiday Effect --- p.41 / The Relationship Between Length Of Holiday And Market Performance --- p.42 / Chapter CHAPTER V. --- FURTHER ANALYSIS OF RESULT --- p.44 / "Is the ""Pre-Holiday Effect"" a manifestation of other anomalies ？" --- p.45 / "Not A ""January Effect""" --- p.45 / "Not a "" Week-End Effect""" --- p.48 / Existence of the effect across the whole test period --- p.51 / Chapter CHAPTER VI. --- CONCLUSION --- p.53 / APPENDIX I. LIST OF GENERAL HOLIDAYS IN HONG KONG --- p.55 / APPENDIX II. LENGTH OF HOLIDAY VS. MARKET RETURN --- p.56 / APPENDIX III. CONSTITUENT STOCKS OF HANG SENG INDEX --- p.58 / BIBLIOGRAPHY --- p.59

by Fu Yiu-Hang. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 66-67). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.ii / LIST OF TABLES --- p.vi / LIST OF EXHIBITS --- p.vii / PREFACE --- p.viii / ACKNOWLEDGMENTS --- p.x / Chapter / Chapter I. --- INTRODUCTION --- p.1 / What is an Option? --- p.1 / Options Market --- p.2 / Uses of Options --- p.2 / Value of Options --- p.3 / Index Options --- p.4 / Hang Seng Index Options --- p.4 / Chapter II. --- BASIC PROPERTIES OF OPTIONS --- p.5 / Assumptions --- p.5 / Notation --- p.5 / Option Prices at Expiration --- p.6 / Call Option Prices at Expiration --- p.6 / Put Option Prices at Expiration --- p.6 / Upper Bounds for Option Prices --- p.6 / Upper Bounds for Call Option Prices --- p.6 / Upper Bounds for Put Option Prices --- p.6 / Lower Bounds for European Option Prices --- p.7 / Lower Bounds for European Call Option Prices --- p.7 / Lower Bounds for European Put Option Prices --- p.8 / Put-Call Parity --- p.8 / Chapter III. --- FACTORS AFFECTING OPTION PRICES --- p.10 / Price of Underlying Instrument --- p.10 / Exercise Price of the Option --- p.10 / Volatility of the Price of Underlying Instrument --- p.11 / Time to Expiration --- p.11 / Risk-free Rate --- p.11 / Dividends --- p.12 / Chapter IV. --- OPTION PRICING MODEL --- p.13 / Assumptions --- p.13 / The Price of Underlying Instrument Follows a Lognormal Distribution --- p.13 / The Variance of the Rate of Return of Underlying Instrument is a Constant --- p.17 / The Risk-free Rate is a Constant --- p.19 / No Dividends are Paid --- p.20 / There are No Transaction Costs and Taxes --- p.20 / The Black-Scholes Option Pricing Model --- p.21 / Notation --- p.21 / The Formulas --- p.21 / The Variables --- p.22 / Properties of the Black-Scholes Formulas --- p.22 / Implied Volatility --- p.23 / Bias of the Black-Scholes Option Pricing Model --- p.26 / Other Option Pricing Models。……………… --- p.27 / Chapter V. --- SENSITIVITIES OF OPTION PRICE TO ITS FACTORS --- p.29 / Delta --- p.29 / Vega --- p.30 / Theta --- p.31 / Rho --- p.32 / Gamma --- p.33 / Managing the Change in the Value of Option --- p.34 / Sensitivities of Portfolio Value to the Factors --- p.34 / Chapter VI. --- TRADING STRATEGIES OF OPTIONS --- p.35 / Methodology --- p.35 / Limitations --- p.36 / Basic Strategies --- p.37 / Long Call --- p.37 / Short Call --- p.39 / Long Put --- p.40 / Short Put --- p.42 / Spread Strategies --- p.43 / Money Spread --- p.43 / Ratio Spread --- p.46 / Box Spread --- p.46 / Butterfly Spread --- p.46 / Condor --- p.49 / Calendar Spread --- p.49 / Diagonal Spread --- p.52 / Combination Strategies --- p.52 / Straddle --- p.52 / Strap --- p.54 / Strip --- p.54 / Strangle --- p.54 / Selecting Trading Strategies Intelligently --- p.56 / Chapter VII. --- CONCLUSIONS --- p.57 / APPENDICES --- p.60 / BIBLIOGRAPHY --- p.66

Lau, Ka Yung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 78-79). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.5 / Chapter 2.1 --- Jump Diffusion Models --- p.6 / Chapter 2.2 --- Double Exponential Jump Diffusion Model --- p.8 / Chapter 3 --- Option Pricing with DEJD --- p.10 / Chapter 3.1 --- Laplace Transform --- p.10 / Chapter 3.2 --- European Option Pricing --- p.13 / Chapter 3.3 --- Barrier Option Pricing --- p.14 / Chapter 3.4 --- Lookback Options --- p.16 / Chapter 3.5 --- Turbo Warrant --- p.17 / Chapter 3.6 --- Numerical Examples --- p.26 / Chapter 4 --- Quanto Options under DEJD --- p.30 / Chapter 4.1 --- Domestic Risk-neutral Dynamics --- p.31 / Chapter 4.2 --- The Exponential Copula --- p.33 / Chapter 4.3 --- The moment generating function --- p.36 / Chapter 4.4 --- European Quanto Options --- p.38 / Chapter 4.4.1 --- Floating Exchange Rate Foreign Equity Call --- p.38 / Chapter 4.4.2 --- Fixed Exchange Rate Foreign Equity Call --- p.40 / Chapter 4.4.3 --- Domestic Foreign Equity Call --- p.42 / Chapter 4.4.4 --- Joint Quanto Call --- p.43 / Chapter 4.5 --- Numerical Examples --- p.45 / Chapter 5 --- Path-Dependent Quanto Options --- p.48 / Chapter 5.1 --- The Domestic Equivalent Asset --- p.48 / Chapter 5.1.1 --- Mathematical Results on the First Passage Time of the Mixture Exponential Jump Diffusion Model --- p.50 / Chapter 5.2 --- Quanto Lookback Option --- p.54 / Chapter 5.3 --- Quanto Barrier Option --- p.57 / Chapter 5.4 --- Numerical results --- p.61 / Chapter 6 --- Conclusion --- p.64 / Chapter A --- Numerical Laplace Inversion for Turbo Warrants --- p.66 / Chapter B --- The Relation Among Barrier Options --- p.69 / Chapter C --- Proof of Lemma 51 --- p.71 / Chapter D --- Proof of Theorem 5.4 and 5.5 --- p.74 / Bibliography --- p.78

This dissertation is composed of three essays which examine different topics in empirical asset pricing. Chapter 1 is the result of joint work with Andrew Ang and William Goetzmann. First, we document that American university and college endowments have shifted their asset allocations from stocks to alternative investments. By the end of the sample, the average endowment holds close to one third of its portfolios in private equity and hedge funds. What are the expectations of future returns that can explain these changes in portfolio holdings? Fitting a simple asset allocation model using Bayesian methods, we estimate that at the end of 2012, the average university expects its private equity investments to outperform a portfolio of conventional assets by 3.9% per year and hedge funds to outperform by 0.7% per year. These out-performance beliefs have increased over time, reaching their peak at the end of our sample. There is also significant cross-sectional heterogeneity in our results. Private institutions, universities with large endowments and high spending rates, and those that rely more on their asset holdings to meet operational budgets tend to expect higher alphas from alternative investments. Chapter 2 examines to what extent commodity prices have contributed to the inflation volatility experienced by the Chilean economy in recent years. First, I show that oil is the commodity that is most correlated with future inflation and inflationary expectations. Next, I use a Gaussian affine term structure model with observable macroeconomic factors to quantitatively study how shocks to oil prices affect bond yields and inflation expectations. I find a statistically significant but economically modest effect. An increase in the price of oil of 20% raises one-year inflation expectations by 25 basis points, while five-year expectations increase only by 8 basis points. The results suggest that central banks could benefit from paying attention to commodity prices when setting monetary policy. Finally, Chapter 3 studies both theoretically and empirically whether market expectations on the health of the financial sector affect stock returns. Prior literature shows that the ratio of intermediary equity to GDP predicts future market returns and is a priced risk factor in the cross-section of stock returns. Here, I extend this work and show that expectations of large declines in the capital of financial institutions can also help explain equity returns. Specifically, I show that different measures of intermediary equity tail-risk are priced in the cross-section. Firms that load on this financial tail-risk factor have lower expected returns. Motivated by these facts, I develop an intermediary asset pricing model where the financial sector's net worth is subject to large negative exogenous shocks. I calibrate the model to U.S. data and find that stocks that do well when disaster risk is high earn significantly lower returns, thus providing theoretical support to my findings. In addition, the model is able to match key asset pricing moments like the equity premium and the volatility of stock returns.

Ma Kai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 58-60). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Executive Options Repricing --- p.5 / Chapter 2.1 --- Plan Restrictions --- p.5 / Chapter 2.2 --- Corporate Governance Issues --- p.7 / Chapter 2.3 --- Securities Law Issues --- p.9 / Chapter 2.4 --- Accounting Issues --- p.10 / Chapter Chapter 3 --- Literature Review --- p.15 / Chapter 3.1 --- Options Repricing --- p.15 / Chapter 3.2 --- The Valuation of Executive Stock Options --- p.18 / Chapter 3.3 --- Extant Executive Stock Options Valuation Models --- p.19 / Chapter Chapter 4 --- Methodology --- p.23 / Chapter Chapter 5 --- Numerical Results --- p.26 / Chapter 5.1 --- Parameters Specification ´ؤ Base Case --- p.26 / Chapter 5.2 --- Value Line --- p.27 / Chapter 5.3 --- Incentive Effect --- p.28 / Chapter 5.4 --- Black-Scholes Neutral Repricing --- p.30 / Chapter Chapter 6 --- Parameters Sensitivity --- p.35 / Chapter 6.1 --- Compensation Package Composition --- p.35 / Chapter 6.2 --- Outside Wealth --- p.38 / Chapter 6.3 --- Beta --- p.41 / Chapter 6.4 --- Total Volatility of the Company Stock Price --- p.44 / Chapter 6.5 --- The Coefficient of the Constant Relative Risk Aversion of the Executive --- p.48 / Chapter Chapter 7 --- Conclusion --- p.51 / Appendix: Matlab Programs --- p.54 / References --- p.58 / Figures and Tables --- p.61

In the first part of thesis, we investigated the influence and explanatory power of aggregate insider trading activities on momentum trading strategies in US stock markets. We find that aggregate insider trading activities have ability in predicting cross-sectional returns and can strengthen the naive momentum effects. The risk factors such as size and book-to-market ratio cannot explain the strong momentum effects in our refined momentum strategies. We further extend the time horizon to as long as 3 years and find that the reversal patterns. We interpret our findings as follows: The continuous overreaction causes the mediate term (3- to 12 months) momentum effects and overly pricing. In long-term horizon, these overly priced stocks will be corrected with the time passing. The correction of overly pricing causes long-term reversals. / In the second part of the thesis, we studied relationships between the efficiency of external market and the capital allocation processes in internal market by investigating the performance of red chips traded in Hong Kong. Because of its special role between China and international capital market, it is difficult for international investors to monitor how red chips allocated their Hong Kong raised capital in China. The evidences show that red chips made poor investments in the past decades. However, the external market failed to reflect the unprofitable investment made by the management groups in the internal market. At least, our evidences show that the red chips made diversified but unprofitable investments in aggregate level in the past decade. / Jihong Xiang. / "December 2001." / Source: Dissertation Abstracts International, Volume: 63-01, Section: A, page: 0306. / Supervisors: Jia He; Duan Li. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p.102-113). / Available also through the Internet via ProQuest dissertations and theses under title: Are markets efficient? Evidences from stock markets in United States of America and Hong Kong. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

No description available.

One of the prominent features of the Natural Rubber (NR) market is its price variability, and the aim of this study is to project accurate short-term NR prices. This is accomplished by exploiting the use of forecasting techniques and information sets to seek the combination with the best forecasts, and exploring best ways of combining forecasts. We evaluate the relative performance of 19 models based upon three different forecasting techniques, and four information sets. In addition, we compare their forecasts with 13 other forecasts combined in various different ways, and taking the Naive forecast as benchmark. The generalised autoregressive conditional heteroscedasticity regression (or ARCH-type) models, though more complex, are generally better than the simpler regression models. In general, the performance of the various techniques seems to perform consistently well (or poorly) over the forecasting horizons, with alternations in performance due mainly to the type of information set used. We also adopted a simple trading rule to find out the economic values of our forecasts, and the results are most promising. Importantly, the forecasts generated from the alternative models developed in this study can potentially be beneficial to participants in the NR futures market.

In the economic environment of the information age, the performance of the stock market is considered an important indicator of the health of a nation's economy. Typically, the performance of any stock market is reflected through stock market prices. It would not be over emphasizing to state that, now the stock market is shedding value, it is having a tremendous influence in shaping the overall economies of most developed nations around the globe. Two research questions from the perspective of the Australian stock market have been developed for empirical examination.The questions are: (i) what systematic risk factors are influential for the Australian stock market returns in both the long-and short-runs; and (ii) is the Australian stock market linked to developed stock markets under the influence of globalization? The methodological approaches suitable for empirical analyses have been closely investigated to reveal the precise characteristics of the long-run stock market pricing process.Empirical tests have been performed to ascertain whether the Australian stock market is responsive to the a priori variables, and if so, which ones and to what extent. Cointegration techniques have been applied to help answer both research questions. To answer the second research question, an analysis has been performed that examined six overseas developed stock markets and asked whether the Australian stock market is cointegrated with those markets in the long-run. The results of the first study show that only a few systematic risk factors are responsible for Australian stock market price movements in the long-run while short-run dynamics are in force. The results of the second study confirm that the Australian stock market is being influenced by a small number of overseas markets and it is integrated with those markets under the influence of globalization. / Doctor of Philosophy (PhD)