The current study investigates the relationship between analyst coverage and the moments of the return distribution. Results are presented to support a time-varying pattern in the premiums associated with the higher moments of returns, particularly for the fourth moment of the distribution. In addition, evidence is presented to suggest that there exists some ex-post and ex-ante forecasting ability based on the use of the higher moments of the return distribution as stock selection criteria. In the second half of the study, results show that as the number of analysts following a firm increases, the third and fourth moments of the return distribution are impacted, with the former being reduced and the latter increased. In addition, the initiation and discontinuation of analyst coverage are both found to be related to the higher moments of the return distribution. The initiation of analyst coverage is associated with a reduction in skewness and an increase in excess kurtosis, while the discontinuation of coverage results in an increase in both of the higher moments of the distribution. Taken together, the results of the two main questions in the current research study suggest that investors seeking higher distributional moments of returns may favor neglected firms over their followed counterparts, particularly in periods of heightened market volatility. In addition, the results show that the two main competing hypotheses concerning the causes of non-normal security returns, namely firm information structure and security liquidity, both impact the higher moments of the return distribution. / Thesis (Ph.D, Management) -- Queen's University, 2010-08-26 12:18:47.528

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本文嘗試放寬 Black-Scholes 模型中對股價分配所做的假設，並利用風險中立評價法的觀念，推導出另一具有封閉解的評價公式。不同於以往的是，本文並不採取以過去的股票價格來做為模型中參數估計的依據，而是直接使用認購權證的市場價格去估計模型參數，希冀從權證價格中淬取出投資人心中所認為的股價分配，並進一步做為預測以後權證價格的資訊。 經過本文分別採取個股型的認購權證--大華 01 與類股型的認購權證-寶來 02 做為實證的資料，以評估新模型與 Black-Scholes 模型的表現後發現新模型在認購權證價格的解釋與預測上均有優於 Black-Sholes 模型的表現；且以大華 01 與寶來 02 的標的股票而言，其機率分配應該不符合對數常態分配的假設，在右尾處有胖尾的現象；以及將新模型使用在類股型的認購權證比將其使用在個股型認購權證於認購權證的價格解釋與預測尚可獲得較大的改善。 / The study tries to release the stock price distribution in Black-Scholes model, and use the risk-neutral valuation technique to construct another pricing formula which also has closed form. Then we use the warrants' market price to estimate the parameters in order to recovering the information contained in warrant price about market participant's perceptions of the distribution of the underlying asset. We choose two warrants' data to gauge our model. One is cathay01, another is polaris 02. In the application to the warrant market, we find that the new formula has a better performance than the Black-Scholes model, and the price distributions of the two warrants' underlining assets are not log-normal distribution, they both have a flat right-tail. We also find that using the new formula in polaris02 can have a better improvement in interpretation or forecasting warrants' price than using in chthay01.

Made available in DSpace on 2016-08-17T14:53:02Z (GMT). No. of bitstreams: 1 Julio Cesar Nascimento Sousa.pdf: 971697 bytes, checksum: b4ee5e79977202a1c5eba4528ed34766 (MD5) Previous issue date: 2006-09-22 / This work focuses on the modeling of single-phase and three-phase distribution with earth return, for high impedance faults analysis. The main motivation is the lack of definitive solutions for such faults. These faults often occur when an overhead conductor breaks and falls on high impedance surface such as asphalt road, cement, trees, among others. That fault is analyzed in a Single wire earth return system - SWER, and in a rural three-phase feeder. The SWER is deduced starting from a generic three-phase system, where simplifications based on practical assumptions are added. Simulations are accomplished in two distribution test systems, with the objective of identifying the behavior pattern of the high impedance faults. It is also included a discussion and analysis of results and suggestions related to future works. / Este trabalho focaliza a modelagem das redes de distribuição monofásicas e trifásicas com retorno por terra, para análise das faltas de alta impedância. A motivação principal está no fato de não existirem soluções definitivas para essas faltas. Este tipo de falta ocorre quando um cabo energizado rompe e cai sobre um tipo de superfície, tal como asfalto, areia, árvores, dentre outros. Essa falta é analisada em uma rede Monofásica com Retorno por Terra MRT em uma rede trifásica rural. A rede MRT é deduzida a partir de uma rede trifásica genérica, onde são adicionadas hipóteses simplificadoras práticas. São realizadas simulações em dois sistemas testes de distribuição, com o objetivo de identificar o padrão de comportamento das faltas de alta impedância. É realizada uma discussão e análise de resultados, sugerindo-se trabalhos futuros.