by Sek Ngo Chi, Tam Kin Sang Samson. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaf 38). / Acknowledgment --- p.5 / Chapter I. --- Introduction --- p.6 / Chapter II. --- Long-term objectives for Mergers and Acquisitions --- p.15 / Chapter III. --- Data Source and Terms --- p.21 / Chapter IV. --- Statistical Summary and Characteristics of Deals --- p.22 / Chapter V. --- Literature Review on Stock Market Reactions --- p.29 / Chapter VI. --- Stock Market Reactions --- p.30 / Chapter VII. --- Effects of Payment methods on M&A transactions --- p.33 / Conclusion --- p.37 / References --- p.38 / Appendices --- p.39

Ma Yue. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 31-36). / Abstracts in English and Chinese.

Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For this reason, how financial asset prices are driven has been a fundamental economic question. Specific market characteristics such as the number of sellers and buyers, investors valuation perceptions, market availability of other assets and legal and technical properties are some of the features that affect asset prices. When the same asset is traded at different venues, these specific characteristics may vary, following a certain degree of heterogeneity across buyers and sellers. The direct consequence is that transaction prices of the same asset differ across markets. However, prices will also not drift apart, since arbitrage opportunities would arise, reducing or even eliminating the differences. Prices of similar securities linked to a single latent price, as derivative markets, for instance, present the same behaviour. Price differences among markets observed at high frequencies are an indication that venues incorporate new information in an unlike way. The structure and design of a market impacts its behaviour, liquidity, effciency, and hence how prices are discovered. The task of identifying the leading markets and understanding how the price dynamics occurs are the main objectives of the price discovery analysis. Chapter 1 introduces the research subject of price discovery, motivating the importance of what this thesis proposes and the results and conclusions obtained. Chapter 2 explains in details the main methodologies used to measure price discovery and the important results in the empirical literature. Chapter 3 motivates the data set this thesis uses, with institutional background details and specific market and firm characteristics. We also present in details the steps we follow to deal with standard issues of high frequency data, such as outliers and errors on a tick-by-tick database and non synchronicity of prices at different markets. Chapter 4 extends the standard price discovery model to estimate the information share (IS) accounting for the information content of both common and preferred non US stocks, their American Depositary Receipts (ADRs) counterparts traded on the New York Stock Exchange and ARCA, and the exchange rate. We gauge the significance of price discovery in the home and foreign markets, through common or preferred stocks. One of the main critiques on the IS methodology is that it does not deliver a single measure when there is contemporaneous correlation among markets. We propose an ordering invariant methodology that delivers a single measure of IS.We find that the foreign market is more important than the home market for the price discovery of Petrobras, the Brazilian stated-owned oil giant, and Vale, one of the largest mining companies in the world. Additionally, the Brazilian market has lost significant importance after the 2008/2009 financial crisis. During this period, common and preferred stocks shared a single common factor, with voting premium being a stationary process. Chapter 5 investigates instantaneous and long-run linkages between common and preferred shares traded at both domestic and foreign markets. We develop a market microstructure model in which the dynamics of the different share prices react to three common factors, namely, the efficient price, the efficient exchange rate, and the efficient voting premium. We show how to identify the structural innovations so as to differentiate instantaneous and long-run effects. First, we obtain dynamic measures of price discovery that quantify how prices traded at different venues respond to shocks on the common factors. Second, we are able to test whether shocks in the efficient exchange rate change the value of the firm. Third, we test whether shocks on the efficient voting premium have a permanent effect on preferred shares. We implement an empirical application using high-frequency data on six Brazilian large companies. We find that, in the long-run, a depreciation of the Brazilian currency leads to a depreciation of the value of the firm that exceeds the expected arbitrage adjustment. In addition, a positive shock on the voting premium yields a positive impact on the value of the firm. Our price discovery analysis also reveals that one trading day suffices to impound new information on all share prices, regardless of the venue they trade at. Finally, Chapter 6 concludes.

by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 52). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF ILLUSTRATIONS --- p.iv / LIST OF TABLES --- p.v / ACKNOWLEGEMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OBJECTIVES --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.4 / Chapter IV. --- THE SAMPLE --- p.9 / Chapter V. --- METHODOLOGY --- p.14 / The Market Model --- p.15 / Methods to Estimate the Excess Returns --- p.16 / Chapter VI. --- RESULTS AND ANALYSIS --- p.19 / Price Effects on Inclusion in HSI --- p.19 / Price Effects on Exclusion from HSI --- p.33 / Comparison between Inclusion and Exclusion --- p.41 / Chapter VII. --- IMPLICATIONS --- p.42 / Chapter VIII. --- CONCLUSION --- p.45 / APPENDIX --- p.47 / BIBLIOGRAPHY --- p.52

This study used an energy budget approach to record changes in the biology of the Antarctic sea urchin Sterechinus neumayeri in relation to environmental seasonality (i. e changes in chlorophyll standing stock and seawater temperature) over an unbroken two year period. Chlorophyll standing stock showed a brief but intense bloom each austral summer which contrasted with prolonged winter minima. Benthic chlorophyll standing stock, as recorded from sediment cores showed a similar cycle. Seawater temperature varied between -1.8°C and +1.2°C. Feeding activity was highly seasonal and closely correlated to chlorophyll standing stock. Feeding ceased during the austral winter of 1997 and 1998 for 6 and 4 months respectively. Metabolism, as measured by oxygen consumption and also ammonia excretion showed strong seasonality, with relatively brief 3 to 4 month periods of elevated activity in the austral summer contrasting with prolonged winter dormancy. Laboratory studies indicated that only 10-15% of the 3 fold seasonal rise in metabolism was caused directly by temperature (Q10=2.5) and that 80- 85% was related to increased physiological activity associated with feeding. Growth rate was measured over one year and was very slow. Comparison with other studies indicated that echinoid growth rate is strongly dependent on food availability, but that maximal growth rate is limited by seawater temperature, or by a co-varying factor. S. neumayeri is an annual spawner and histology was used to describe both the vitellogenic cycle and also to calculate reproductive output. Comparison with other published studies worldwide indicated that reproductive output is highly dependent on food availability, and that maximal reproductive output is not limited by temperature. Although the overall P: B ratio was low, the ratio of reproductive production to total production was higher than expected. These results indicated that due to the low metabolic rate only 12-16% of total body energy levels were used to endure the prolonged non-feeding polar winter. The overall annual growth efficiency was greater than for warmer water species, due to the larger relative contribution to reproductive output.

This thesis consists of three main empirical chapters on the effect of stock liquidity on exchange markets. The first (Chapter 2) investigates the pricing ability of an illiquidity measure, namely the Amihud measure (Amihud, 2002), in different sample periods. The second (Chapter 3) determines the causal link between two well-known market quality factors liquidity and idiosyncratic volatility adopting two-stage least squares methodology (2SLS). The last empirical chapter (Chapter 4) revisits the limits to arbitrage theory and studies the link between stock liquidity and momentum anomaly profit, employing the difference-in-differences approach. The overall contribution of this thesis is to employ causal techniques in the context of asset pricing in order to eliminate potential endogeneity problems while investigating the relation between stock liquidity and exchange markets. Chapter 2 investigates whether the Amihud measure is priced differently if the investor is optimistic or, conversely, pessimistic about the future of the stock markets. The results of the chapter show that Amihud measure is priced in the low-sentiment period and that there is illiquidity premium when investor sentiment is low. Chapter 3 studies whether a change in stock liquidity has an impact on idiosyncratic volatility, employing causal techniques. Prior studies investigate the link between liquidity and idiosyncratic volatility but none focus on the potential problem of reverse causality. To overcome this reverse causality problem, I use the exogenous event of decimalisation as an instrumental variable and employ two-stage least squares approach to identify the impact of liquidity on idiosyncratic volatility. The results of the chapter suggest that an increase in illiquidity causes an increase in idiosyncratic volatility. As an additional result, my study shows that reduction in the tick size as a result of decimalisation improves firm-level stock liquidity. Chapter 4 examines whether liquid stocks earn more momentum anomaly profits compare to illiquid stocks, using the implementation of different tick sizes for different price ranges in the American Stock Exchange (AMEX) between February 1995 and April 1997. This programme provides a plausibly exogenous variation to disentangle the endogeneity issue and allows me to examine the impact of liquidity on momentum, by clearly exploiting the difference-in-difference framework. The results of the chapter show that liquid stocks earn more momentum profit than illiquid stocks.

by Ao, Sio Iong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references. / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.2 / Chapter 1.2 --- Topics of this Study --- p.3 / Chapter 1.3 --- Econometric Analysis --- p.3 / Chapter 1.4 --- Computational Intelligence --- p.4 / Chapter 1.4.1 --- Overview --- p.4 / Chapter 1.4.2 --- Successful Cases of Applying CI in Time Series Analysis --- p.4 / Chapter 2 --- Background --- p.6 / Chapter 2.1 --- Market Descriptions --- p.6 / Chapter 2.1.1 --- Overview of the Markets --- p.6 / Chapter 2.2 --- VAR method --- p.10 / Chapter 2.2.1 --- Introduction --- p.11 / Chapter 2.2.2 --- Implementation of VAR by RATS --- p.12 / Chapter 2.2.3 --- Impulse Response Functions --- p.12 / Chapter 2.3 --- Neural Network --- p.14 / Chapter 2.3.1 --- Introduction --- p.14 / Chapter 2.3.2 --- Supervised vs Unsupervised learning --- p.15 / Chapter 2.3.3 --- Back-Propagation network --- p.15 / Chapter 2.4 --- Evolutionary Computation --- p.19 / Chapter 2.4.1 --- Motivation of Employing Evolutionary Computation --- p.19 / Chapter 2.4.2 --- Brief Description --- p.21 / Chapter 2.4.3 --- Genetic Algorithm --- p.21 / Chapter 3 --- Analysis of their Interdependence and SD --- p.23 / Chapter 3.1 --- Interdependence of the Asian Indices --- p.23 / Chapter 3.2 --- Forecasting Index Price with the Help of Neural Network --- p.26 / Chapter 3.3 --- Interdependence of the Standard Deviations of the Stock Indices --- p.28 / Chapter 3.4 --- Using the Neural Network to Make Forecasting of the Stan- dard Deviations --- p.29 / Chapter 3.5 --- Summary --- p.33 / Chapter 4 --- Forecasting Opening Prices --- p.34 / Chapter 4.1 --- Step 1: Identificating of the Interdependence of the Opening Price on Different Stock Indices by VAR --- p.36 / Chapter 4.2 --- Step 2: Using the Neural Network to Make Forecasting of the Opening Prices --- p.38 / Chapter 4.3 --- Summary --- p.39 / Chapter 5 --- Incorporating Correlated Markets --- p.41 / Chapter 5.1 --- Overview of the Markets from the Prespectives of VAR --- p.43 / Chapter 5.2 --- Investigation of the Correlations by VAR Method --- p.43 / Chapter 5.3 --- Prediction of the Market by Neural Network --- p.46 / Chapter 5.4 --- Hypothesis: the Correlations of the Markets Are Time-Dependent --- p.46 / Chapter 5.5 --- Testing this Hypothesis with Predictions by Neural Network . --- p.48 / Chapter 5.6 --- Summary --- p.51 / Chapter 5.7 --- F-tests Results on Different Periods of HK Markets --- p.51 / Chapter 6 --- Hybrid VAR-NN-EC System --- p.53 / Chapter 6.1 --- Introduction --- p.53 / Chapter 6.1.1 --- Overview of the Econometric Analysis of the Lead-Lag Relationship of Stock Markets --- p.54 / Chapter 6.1.2 --- Previous Results of Employing the Stand-alone Neural Network --- p.55 / Chapter 6.2 --- Working Mechanism of the Hybrid VAR-NN-EC --- p.56 / Chapter 6.3 --- Comparing Results from the VAR-NN-EC System --- p.58 / Chapter 6.4 --- Summary --- p.60 / Chapter 7 --- Hybrid System for Dual-Listing Indices --- p.61 / Chapter 7.1 --- Introduction --- p.61 / Chapter 7.2 --- HSI vs HSLRI --- p.62 / Chapter 7.2.1 --- HSI's Selection Criteria --- p.62 / Chapter 7.2.2 --- Hang Seng London Reference Index --- p.63 / Chapter 7.2.3 --- Motivation for the Study --- p.63 / Chapter 7.3 --- Data Descriptions --- p.64 / Chapter 7.4 --- Overviews of this Analysis System --- p.64 / Chapter 7.5 --- Results from the Simplified AR-NN System --- p.65 / Chapter 7.5.1 --- Regression Results --- p.66 / Chapter 7.5.2 --- NN Results --- p.67 / Chapter 7.6 --- Summary --- p.68 / Chapter 8 --- Using EC for Selecting Stock Experts --- p.70 / Chapter 8.1 --- Example of Evolutionary Computation --- p.71 / Chapter 8.2 --- Comparison of Results from the VAR-NN-EC System --- p.72 / Chapter 8.3 --- Summary --- p.73 / Chapter 9 --- Conclusion --- p.74 / Bibliography --- p.i

2005年10月，中國政府發布“國務院批轉證監會關於提高上市公司品質意見的通知“。它允許和建議上市公司探索利用股權補償，以激勵員工。由於中國股市和股權補償的歷史很短，以及對企業的激勵機制的重要性。我們研究和發現公司治理和採納該計劃的可能性之間的關係是混合的。而具有較高的營業利潤/資產比率和淨利潤/總資產比率的公司更可能採用股權補償。我們還發現，通過在企業層面測量累積異常收益率（CAR），股權補償的公佈有積極的市場反應。此外，如果最大的部分限制性股份或購股權授予僱員工會委員或在公司的核心員工，市場反應更是積極。 / In October 2005, the Chinese government released "Notice about the State Council of China approving China Securities Regulatory Commission to improve qualities of listed firms". It allows and suggests listed firms to explore the use of equity-based compensation in order to motivate employees. In this thesis, we find that the relationship between corporate governance and the likelihood of adopting the scheme is mixed. Firms with higher ratios of operating profits to assets and net profit to total assets are more likely to adopt equity-based compensation. We also discover positive market responses by measuring the cumulative abnormal return (CAR) to the announcement of equity-based compensation at the firm level. Moreover, if a larger portion of the restricted shares or options is granted to the groups of employees which are union committee members or core employees in the firm, the market response is much more positive and the CAR is larger in magnitude. / Detailed summary in vernacular field only. / Ko, Ka Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 32-33). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Cover Page --- p.1 / Abstract --- p.2 / Chinese Version --- p.3 / Contents --- p.4 / Chapter 1 --- Introduction --- p.6 / Chapter 2 --- Basic idea of equity-based compensation --- p.7 / Chapter 3 --- Literature Review --- p.9 / Chapter 4 --- History and Development --- p.11 / Chapter 4.1. --- Equity-based compensation around the world --- p.11 / Chapter 4.2. --- Regulations of equity-based compensation in China --- p.12 / Chapter 5 --- Hypothesis --- p.13 / Chapter 6 --- Methodology --- p.16 / Chapter 6.1. --- Equity-based compensation in the company --- p.16 / Chapter 6.2. --- Ownership concentration and characteristics --- p.16 / Chapter 6.3. --- Legal framework --- p.17 / Chapter 6.4. --- Ownership Nature --- p.17 / Chapter 6.5. --- Board of directors’ characteristics --- p.17 / Chapter 6.6. --- Operating performance --- p.18 / Chapter 6.7. --- Industry sectors --- p.18 / Chapter 6.8. --- Equity-based compensation scheme characteristics --- p.19 / Chapter 6.9. --- Logistic model --- p.19 / Chapter 6.10. --- Event study approach --- p.21 / Chapter 7 --- Data --- p.24 / Chapter 7.1. --- Sources of Data --- p.24 / Chapter 7.2. --- Equity-based compensation and firm characteristics --- p.24 / Chapter 8 --- Empirical Results --- p.25 / Chapter 8.1. --- Factors that drive companies to implement equity-based compensation . --- p.26 / Chapter 8.1.1. --- Univariate test --- p.26 / Chapter 8.1.2. --- Logistic model --- p.26 / Chapter 8.2. --- Short-term market response --- p.27 / Chapter 8.2.1. --- Event study --- p.27 / Chapter 8.2.2. --- Univariate test --- p.28 / Chapter 8.2.3. --- Multivate OLS regressions --- p.29 / Chapter 9 --- Conclusions --- p.30 / References --- p.31 / Chapter Table 1 --- Number of equity-based compensation schemes announced by each firm in the sample period --- p.33 / Chapter Table 2 --- By year, number of firms with equity-based compensation schemes announcement in restricted share and option --- p.33 / Chapter Table 3 --- Sector distribution for equity-based compensation announced firms --- p.33 / Chapter Table 4 --- Share of restricted share or option in the equity-based compensation scheme by each group --- p.34 / Chapter Table 5 --- Descriptive statistics for firm characteristics --- p.35 / Chapter Table 6 --- Univariate test --- p.37 / Chapter Table 7 --- Logistic Model --- p.38 / Chapter Table 8 --- Cumulative abnormal returns for an event study of implementation of equity-based compensation announcements --- p.40 / Chapter Table 9 --- Abnormal returns for an event study of implementation of equity-based compensation announcements --- p.40 / Chapter Table 10 --- Descriptive statistics for firm characteristics and mean comparison of CAR between below median/ "0" group and above median/ " 1" group using t-test --- p.41 / Chapter Table 11 --- OLS regression --- p.43

This study provides empirical evidence on the role of ultimate ownership structure in explaining the variations in firms' cost of equity capital across 21 countries. Using four implied cost of equity proxies, the results show that the large discrepancy between ownership and control rights of the ultimate owner has a positive and significant impact on the firm's cost of equity capital, after controlling for traditional risk factors known in empirical literature. The finding lends support to the entrenchment effect in that the expropriation of the minority investors by the controlling owners increases the systematic risk of the company thereby increases the firm's external financing cost. Further analyses demonstrate that both the legal and extra-legal institutions play an important tank in constraining the higher equity cost as induced by the concentrated ownership structure. In particular, in countries with broad disclosure requirements, strong securities regulations enforcement, keen market competition and high tax compliance, the positive relation between the cost of equity capital and the ownership-control divergence of the ultimate owner is less pronounced. The findings suggest that the institutional factors are effective corporate governance mechanisms and are significant in explaining the international variations in the cost of equity capital. / Chu, Sin Yan Teresa. / Adviser: Woody Wu. / Source: Dissertation Abstracts International, Volume: 70-06, Section: A, page: 2121. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 67-73). / 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 Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Lau, Kai Shing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 74-78). / INTRODUCTION --- p.2 / COVERED WARRANTS AND STOCK OPTIONS: A BRIEF BACKGROUND --- p.6 / Chapter a) --- covered warrants --- p.6 / Chapter b) --- Stock Options --- p.10 / Chapter c) --- covered warrants and stock options： a comparison --- p.14 / Chapter d) --- pricing difference between covered warrants and stock options --- p.18 / LITERATURE REVIEW --- p.20 / Chapter a) --- Introduction --- p.20 / Chapter b) --- theory on issuing of stock options --- p.21 / Chapter c) --- the introduction of stock options --- p.26 / Chapter i) --- Stock Options in United States --- p.26 / Chapter ii) --- Stock Options in United Kingdom --- p.28 / Chapter iii) --- Stock Options in Canada --- p.28 / Chapter iv) --- Options in Asia --- p.29 / Chapter d) --- Return Volatility and Trading Volume --- p.31 / Chapter i) --- Introduction --- p.31 / Chapter ii) --- Mixture of Distribution Hypothesis --- p.32 / Chapter iii) --- Classical Model of the Mixture of Distributions Hypothesis --- p.35 / Chapter iv) --- Recent Empirical Model of the Mixture of Distribution Hypothesis --- p.37 / DATA --- p.40 / METHODOLOGY --- p.43 / Chapter a) --- introduction --- p.43 / Chapter b) --- informational efficiency in the cash market --- p.45 / Chapter i) --- Model for Information Arrival and Price Adjustment --- p.46 / Chapter ii) --- Results --- p.48 / Chapter iii) --- An Overall Effect on the Cash market --- p.55 / Chapter c) --- information Cost and Trading Cost in Covered Warrants Market --- p.57 / Chapter i) --- Introduction --- p.57 / Chapter ii) --- Spread function for Covered Warrants --- p.62 / Chapter iii) --- Results --- p.63 / Chapter iv) --- Adjustments for Moneyness --- p.67 / CONCLUSION --- p.70 / REFERENCES --- p.74