Li Ming-Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 115-116). / Abstracts in English and Chinese. / Abstract --- p.i / Declaration --- p.iii / Acknowledgment --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Arbitrage Pricing Theory --- p.3 / Chapter 2.1 --- Model and Assumptions --- p.3 / Chapter 2.2 --- Derivation of the APT --- p.5 / Chapter 2.2.1 --- Factor Risk Premia --- p.7 / Chapter 3 --- The Classical Approach --- p.8 / Chapter 3.1 --- Factor Analysis --- p.8 / Chapter 3.2 --- The Cross-sectional Regression --- p.11 / Chapter 3.3 --- Critiques Concerning the 、APT --- p.12 / Chapter 4 --- The Structural Equation Model Approach --- p.15 / Chapter 4.1 --- Combining the Factor Model and the Pricing Equation --- p.15 / Chapter 4.2 --- Framework of the SEM with Mean Structure --- p.16 / Chapter 4.3 --- Applying the SEM Approach to the APT --- p.19 / Chapter 4.4 --- Merit of the SEM Approach --- p.20 / Chapter 5 --- Simulation Study --- p.22 / Chapter 5.1 --- Simulation Design --- p.22 / Chapter 5.2 --- Insight from the Simulation Study --- p.26 / Chapter 5.2.1 --- Factor loading. B --- p.26 / Chapter 5.2.2 --- Factor covariance matrix. Φ --- p.26 / Chapter 5.2.3 --- "Risk-free rate, rf" --- p.27 / Chapter 5.2.4 --- "Risk premium, λ" --- p.28 / Chapter 5.2.5 --- "Sample size, T" --- p.29 / Chapter 5.2.6 --- Other findings --- p.29 / Chapter 6 --- Empirical Study --- p.30 / Chapter 6.1 --- Specification of the Data --- p.30 / Chapter 6.2 --- Procedures for the SEM Approach --- p.31 / Chapter 6.3 --- Procedures for the Classical Approach --- p.35 / Chapter 6.4 --- Model Interpretation --- p.36 / Chapter 6.5 --- Difficulties Encountered --- p.37 / Chapter 7 --- Conclusion and Discussion --- p.39 / Chapter A --- Result of the Simulation Study --- p.40 / Chapter B --- Result of the Empirical Study --- p.105 / Chapter C --- LISREL Program for the Empirical Study (by the SEM Ap- proach) --- p.111 / Bibliography --- p.115

Mak Nga-sze. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 45-46). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Purpose --- p.2 / Chapter 1.2 --- Flow of the study --- p.3 / Chapter 2 --- Review of Equity Linked Securities --- p.5 / Chapter 2.1 --- Backgrond of Equity Linked Securities in Hong Kong --- p.5 / Chapter 2.2 --- Differences of trading between listed and non-listed ELIs --- p.7 / Chapter 2.3 --- Non-listed ELIs --- p.9 / Chapter 2.3.1 --- Definition --- p.9 / Chapter 2.3.2 --- Variables specification --- p.11 / Chapter 2.3.3 --- Payoff possibilities --- p.13 / Chapter 3 --- Data --- p.17 / Chapter 3.1 --- Data sources --- p.17 / Chapter 3.2 --- Data treatment --- p.18 / Chapter 4 --- Methodology --- p.21 / Chapter 4.1 --- Volatility --- p.23 / Chapter 4.2 --- Implied volatility by CRR binomial Tree --- p.24 / Chapter 4.3 --- Historical volatility --- p.26 / Chapter 5 --- Estimation of Empirical Data --- p.28 / Chapter 5.1 --- Statistical results of the issuer's profit margin --- p.29 / Chapter 5.2 --- Empirical analysis of the profit margin trends --- p.31 / Chapter 5.2.1 --- Factor 1: Volatility --- p.34 / Chapter 5.2.2 --- Factor 2: Trading volume --- p.34 / Chapter 6 --- Conclusion --- p.37 / Chapter 6.1 --- Conclusion --- p.37 / Chapter 6.2 --- Extensions --- p.38 / Appendix --- p.40 / Chapter .1 --- "Tables of non-listed ELIs in Hong Kong, updated to January 31,2005" --- p.40 / Chapter .2 --- "Stock options in HKEx, lastest to June 2004" --- p.43 / Chapter .3 --- Histograms of the issuer's profit margins --- p.44 / References --- p.45

这篇论文研究了当假设的数据分布与实际不符时估计多维乘积误差模型参数的方法，和该模型在预测领域的应用。论文的第一部分讨论了两种在以前的文献中被用来估计该模型的估计方法：最大似然估计法和广义矩估计法。并在对数据做了不同的干扰后比较了这两种方法。比较结果显示这两种方法都易受偏离值的影响。因此论文的第二部分提出了一种新的估计方法：权重经验似然估计法。在模拟实验和使用包含了当前经济危机间断数据的标准普尔指数的实际实验中，对比最大似然估计法和广义矩估计法，权重经验似然函数显示出了对偏离值有更好的抗性。论文的第三部分进一步研究了多维乘积误差模型在预测中的应用。并且这一部分还提出了实波动性的一种新的分解方式。分解得到的两个新的变量可以被多维乘积误差模型所模拟。通过比较标准普尔指数和纳斯达克指数的预测结果，比起以前用来估计实波动性的三种模型，多维乘积向量模型和新的分解方式显示出了更强的预测能力。 / This thesis studies the estimations of vector Multiplicative Error Model (MEM) under different kinds of model mismatches and its application in forecasting. In the first part of the thesis, two estimation methods, Maximum Likelihood (ML) method and Generalized Method of Moments (GMM), which have previously been used on vector MEM, are compared through different situations of data contaminations. From the comparison results it is found that both ML and GMM estimators are suspected to outliers in data. Therefore in the second part of the thesis a novel estimator is proposed: Weighted Empirical Likelihood (WEL) estimator. It is shown to be more robust than ML and GMM estimators in simulations, and also in forecasting realized volatility and bipower volatility of S&P 500 stock index including the current financial crisis period. The forecast ability of vector MEM is further addressed in the third part of the thesis, where an alternative decomposition of realized volatility is proposed, and vector MEM is used to model and forecast the two components of realized volatility. From the realized volatility forecasts of S&P 500, NASDAQ and Dow Jones, this decomposition together with vector MEM are illustrated to have superior performances over three competing models which have been applied on forecasting realized volatility before. / Detailed summary in vernacular field only. / Ding, Hao. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 203-213). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Outline of the thesis --- p.5 / Chapter 1.2 --- Conclusion --- p.7 / Chapter 2 --- Background study --- p.9 / Chapter 2.1 --- Multiplicative Error Model --- p.9 / Chapter 2.1.1 --- Introduction --- p.9 / Chapter 2.1.2 --- Developments of MEM --- p.12 / Chapter 2.1.3 --- Vector MEM --- p.17 / Chapter 2.2 --- Two functions for multivariate analysis --- p.25 / Chapter 2.2.1 --- Copula function --- p.25 / Chapter 2.2.2 --- Depth function --- p.32 / Chapter 3 --- Two Estimators for Vector MEM --- p.39 / Chapter 3.1 --- Two Stage Maximum Likelihood --- p.40 / Chapter 3.1.1 --- Introduction --- p.41 / Chapter 3.1.2 --- Simulation of two stage ML --- p.44 / Chapter 3.2 --- Maximum Likelihood estimator --- p.48 / Chapter 3.2.1 --- Derivatives of score function --- p.50 / Chapter 3.3 --- GMM estimator --- p.57 / Chapter 3.4 --- Comparing ML and GMM through simulations --- p.60 / Chapter 3.4.1 --- Generation of clean data --- p.61 / Chapter 3.4.2 --- Data contamination --- p.62 / Chapter 3.4.3 --- Optimization --- p.64 / Chapter 3.4.4 --- Resutls on clean data --- p.65 / Chapter 3.4.5 --- Results on contaminated data --- p.66 / Chapter 3.5 --- conclusion --- p.69 / Chapter 4 --- Weighted Empirical Likelihood Estimator --- p.77 / Chapter 4.1 --- Introduction --- p.78 / Chapter 4.2 --- Vector multiplicative error model and two estimation methods --- p.83 / Chapter 4.3 --- Weighted Empirical Likelihood --- p.88 / Chapter 4.3.1 --- Inner optimization --- p.93 / Chapter 4.3.2 --- Calculation of weights --- p.97 / Chapter 4.4 --- Simulation study on outliers --- p.101 / Chapter 4.4.1 --- Clean data --- p.103 / Chapter 4.4.2 --- Outliers --- p.105 / Chapter 4.4.3 --- Simulation results --- p.108 / Chapter 4.5 --- Computations of high dimension vector MEM --- p.111 / Chapter 4.5.1 --- The influences of dimension on ML --- p.111 / Chapter 4.5.2 --- The influences of dimension on GMM --- p.113 / Chapter 4.5.3 --- The influences of dimension on WEL --- p.115 / Chapter 4.5.4 --- Simulation --- p.116 / Chapter 4.6 --- Compare weighted empirical likelihood and empirical likelihood --- p.118 / Chapter 4.7 --- Empirical example --- p.121 / Chapter 4.7.1 --- Model --- p.123 / Chapter 4.7.2 --- Forecast comparison criteria --- p.125 / Chapter 4.7.3 --- Results --- p.126 / Chapter 4.8 --- Conclusions --- p.127 / Chapter 5 --- Forecast RV by Vector MEM --- p.142 / Chapter 5.1 --- Introduction --- p.143 / Chapter 5.2 --- Multiplicative jump and vector MEM --- p.148 / Chapter 5.2.1 --- Multiplicative jump --- p.148 / Chapter 5.2.2 --- Vector MEM for jump and continuous components --- p.153 / Chapter 5.3 --- Empirical analysis --- p.156 / Chapter 5.3.1 --- Data summary --- p.157 / Chapter 5.3.2 --- Models --- p.160 / Chapter 5.3.3 --- Forecast comparison criteria --- p.164 / Chapter 5.3.4 --- Before-crisis period --- p.166 / Chapter 5.3.5 --- Crisis period --- p.172 / Chapter 5.3.6 --- Comparing M-jump and log M-jump --- p.176 / Chapter 5.3.7 --- Conclusion on empirical analysis --- p.183 / Chapter 5.4 --- Conclusion --- p.185 / Chapter 6 --- Conclusion and future Work --- p.198 / Bibliography --- p.203

As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options by using the method. Secondly, the basic idea of using the method in computing option price is described. Thirdly, pricing vanilla options is introduced. Fourthly, we discuss some techniques of improving computing accuracy. They include antithetic variables, control variate methods and importance sampling. / Fifth, we study in detail pricing option problems by using the Monte Carlo method. Then we present a new method on pricing American option, by which, the required memory in computation can be significantly reduced. For most methods of pricing American options, bias exists. However, by using the memory reduction method, minimizing biases is possible. We also discuss the problem for valuation of multiasset options by using our method. In fact, this is an important application of the Monte Carlo method in practical financial problems. / Finally, comparisons of the performances of these numerical results are presented. / Some basic concepts on options are first introduced. Then general methods for pricing options are described. These methods include: analytical formula, finite difference methods and binomial and multinomial methods. These prepare us for the in-depth study on the Monte Carlo method in subsequent chapters. / The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. The Monte Carlo method is the main topic of the thesis. / by Chen Yong. / "August 2002." / Adviser: Raymond Chan. / Source: Dissertation Abstracts International, Volume: 63-10, Section: B, page: 4710. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 77-79). / 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.

by Lo Kwok Cheong, Tang Wai Hing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 97-99). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iv / LIST OF CHARTS/TABLES --- p.vii / Chapter I. --- INTRODUCTION --- p.1 / Securitization and Secondary Mortgage Market --- p.1 / Securitization --- p.1 / Secondary Mortgage Market --- p.3 / Reasons for Mortgage Securitization --- p.4 / Types of Mortgage Backed Securities --- p.7 / Mortgage Pass-Through Securities --- p.7 / Mortgage-Backed Bonds --- p.8 / Mortgage Pay-Through Bonds --- p.8 / Collateralised Mortgage Obligations ( CMOs) --- p.9 / Stripped Mortgage-backed Securities ( SMBS ) --- p.11 / Chapter II. --- MBS MARKET EXPERIENCE IN OTHER COUNTRIES --- p.14 / United States --- p.14 / Rise of Securitization in US Market --- p.20 / MBS Market Development in United States --- p.22 / Key Success Factors for MBS Development in US --- p.27 / United Kingdom --- p.28 / MBS Market Development in UK --- p.29 / Credit Enhancement and Credit Rating --- p.32 / Legal and Regulatory Framework --- p.32 / Future Development --- p.34 / Australia --- p.37 / MBS Market Development in Australia --- p.37 / Credit Enhancement --- p.39 / Legal and Regulatory Framework --- p.40 / Future Development --- p.41 / Chapter III. --- MORTGAGE MARKET IN HONG KONG --- p.43 / Primary Mortgage Market condition in Hong Kong --- p.43 / Latest Residential Mortgage Conditions --- p.46 / Mortgage Securitization experience in Hong Kong --- p.50 / Chapter IV. --- HONG KONG MONETARY AUTHORITY'S MBS MARKET DEVELOPMENT PLAN --- p.51 / Survey on Primary Market by HKMA --- p.51 / Findings of the Survey --- p.52 / Implications of the Survey Findings --- p.53 / Reliability of the Survey Findings --- p.55 / The Mortgage Corporation Approach --- p.57 / Mortgage Corporation Proposal --- p.58 / Projection of the shortfall in mortgage funds --- p.60 / Impact on banks' mortgage business --- p.61 / Impact on the property sector --- p.62 / Impact on the Government --- p.62 / Corporate structure and the involvement of the HKMA --- p.63 / Issuance of debt securities by the mortgage corporation --- p.64 / Chapter V. --- IMPLICATIONS OF MBS DEVELOPMENT TO HONG KONG --- p.65 / Property Market --- p.65 / Banking Sector --- p.66 / Consumers --- p.69 / Debt Market --- p.69 / Chapter VI. --- FACTORS INFLUENCING ADOPTION OF MBS IN HONG KONG --- p.72 / Asset Quality --- p.72 / Quality of underlying mortgage pool --- p.73 / Credit enhancement --- p.74 / Prepayment Risk --- p.75 / Liquidity --- p.75 / Market Size --- p.76 / Standardisation --- p.77 / Credit Rating --- p.78 / Transparency --- p.78 / Chapter VII. --- RESEARCH DESIGN AND EMPIRICAL FINDINGS --- p.79 / Objective --- p.79 / Target Respondents Sampling --- p.80 / Survey Design --- p.80 / Empirical Findings --- p.82 / Chapter VIII. --- RECOMMENDATIONS --- p.89 / Simplicity --- p.89 / Credit Rating --- p.90 / Standardisation --- p.92 / Supporting Infrastructure --- p.93 / Secondary Market Liquidity --- p.94 / Marketing Effort --- p.94 / Chapter IX. --- SUMMARY AND CONCLUSIONS --- p.95 / BIBLIOGRAPHY --- p.97 / Books --- p.97 / Reports --- p.97 / Periodicals --- p.97 / Internet Homepages --- p.98 / APPENDIX --- p.100

by Wong Siu-Ming. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 77). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATION --- p.v / LIST OF TABLES --- p.vi / PREFACE --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Objectives --- p.1 / Methodology --- p.1 / Selection of stock exchange for case study --- p.2 / Selection of target company and share type for case study --- p.3 / Definitions of abbreviation --- p.4 / Contribution --- p.5 / Chapter II. --- Shenzhen Stock Exchange --- p.6 / History of the stock markets in China --- p.6 / Particulars of Shenzhen Stock Exchange --- p.7 / Profiles of the listing companies on the SZSE --- p.10 / Capital raised and Market capitalization --- p.10 / Distribution of share types on the SZSE --- p.13 / Distribution of listing companies in different sectors --- p.14 / Types of listing companies in China's stock market --- p.15 / Selection criteria of stock exchange for new issue --- p.15 / Chapter III. --- IPO of 'A share' stocks on the Shenzhen Stock Exchange --- p.17 / Basic qualifications for listing on the SZSE --- p.17 / Listing procedures --- p.19 / Method of listing --- p.21 / Professional advisors --- p.22 / Pre´ؤlisting restructuring of state-owned enterprises --- p.24 / Documents required for listing application --- p.25 / Prospectus for listing --- p.26 / Profit estimate in the IPO prospectus --- p.27 / Requirement for further issue of shares after listing --- p.27 / Problems faced by the regulatory bodies --- p.28 / Chapter IV. --- Particulars of Jiangxi Ganneng Company Limited --- p.29 / "History, development and reorganization" --- p.29 / Principal activities --- p.31 / Organization structure of the Company --- p.32 / Pre-listing restructuring of the Company --- p.32 / Ownership structure --- p.34 / Management hierarchy --- p.35 / Financial performance --- p.38 / Listing of the Company --- p.39 / Chapter V. --- IPO pricing of Jiangxi Ganneng Company Limited --- p.41 / IPO Pricing --- p.41 / Computation of the Company's IPO price --- p.42 / Chapter VI. --- IPO Pricing in China --- p.44 / Valuation of companies in China --- p.44 / IPO pricing in China --- p.44 / Restriction on the price-earnings ratio of new issue --- p.45 / Adjustment of the price-earnings ratio of new issue --- p.46 / Evaluation of the current IPO pricing method in China --- p.48 / Chapter VII. --- The post-listing return performance of unseasoned issues of 'A share' stocks in Shenzhen --- p.51 / Methodology --- p.51 / Data Analysis --- p.52 / Measure of central tendency of the sample's 8 rate of return --- p.53 / Distribution of the 8 rate of return --- p.56 / Industry effect on the post-IPO return performance --- p.57 / Size effect on the post´ؤIPO return performance --- p.60 / Chapter VIII. --- Future Prospects of IPO market in China --- p.62 / The state planning of the privatization of state-owned enterprises in China --- p.62 / Impact on IPO of state-owned enterprises after the restructuring of State Council --- p.66 / Chapter IX. --- Conclusions --- p.67 / APPENDIX --- p.72 / BIBLIOGRAPHY --- p.77

No description available.

Má diplomová práce se zabývá Mortgage Backed Securities, což jsou cenné papíry kryté hypotékami. V první části práce jsou MBS zobrazeny jako část skupiny strukturovaných aktiv. Je zde provedeno jejich srovnání s ostatními sekuritizačními instrumenty z hlediska struktury a vlastností a také je znázorněno jaká část jim připadá na sekuritizačním trhu. V další části je věnován důraz na podkladová aktiva MBS, tedy hypotéky. Důkladně je rozebrán americký hypoteční trh, druhy a objem poskytnutých půjček a jejich specifika. Jsou popsány polovládní agentury specifické pro americký trh, které napomáhají rozvoji hypotečního trhu. Hlavní část práce je věnována popisu tvorby Mortgage Backed Security, značná část se zabývá jednotlivými druhy a charakteristikami MBS. Je zde popsáno, jaký druh je vhodný pro určité typy investorů. Důraz je kladen na riziko předčasného splacení, tedy riziko spojené pouze s hypotéčními produkty. Závěrečná kapitola se věnuje jednotlivým typům MBS ze statistického hlediska. Je znázorněn jejich celkový objem na dvou hlavních trzích, v USA a Evropě, dále jsou popsány počty emisí jednotlivých druhů a další zajímavé statistické údaje spojené s MBS trhy.

This study provides a test of the proposition that a unique agency cost (induced by windfall interest earnings) has a significant impact on both the money left on the table and underpricing costs of initial public offerings (IPOs) of China-related enterprises (H-shares and Red-chips). This arises from the advanced payment, non-discretionary allocation mechanism adopted by HKEx. The agency cost stems from an asymmetry in the accounting treatment of the reporting of interest income (if any) generated from the public subscribers' application fund, and the often significant, but unreported, underpricing cost. This important point appears to have been first pointed out by Ritter and Welch (2002). For Chinese state enterprises the manager who is overseeing the listing process has little (if any) incentive to maximize the offer price or new equity capital from an IPO but may benefit directly and/or indirectly from the significant interest earnings that can be generated from public subscribers' monies. This occurs when the controlling shareholder (the State) is either uninformed about the true value of the firm and/or due to other considerations allows the manager to offer a deeply discounted offer price. The deep discount raises the public subscription rate and increases the interest income from the application funds. Using the prolonged zero interest rate regime following the bankruptcy of Lehman, the study finds strong support for the proposition and shows that H-shares and Red-chips have offered significantly less money on the table and hence incurred substantially lower underpricing costs relative to Other categories of shares. This is in marked contrast to the pre-global financial crisis period when there were significant interest rates on deposits. The study contributes to the literature on the differential concerns of managers and owners in the IPO process.

The purposes of this thesis are threefold: (1) to investigate the incidence of insider trading in China; (2) to critically examine the regulation of insider trading in China within the Chinese context; and (3) to set out reform proposals. At present, insider trading is a very serious issue in China as it presents a major obstacle to the development of China???s securities market. This thesis is therefore of both theoretical and practical significance. Based on both theoretical arguments and empirical findings, this thesis investigates the extent of insider trading in China, explains why insider trading occurs in China, and examines the harmful and allegedly beneficial effects of insider trading. Insider trading is found to be widespread and widely considered to be harmful in China. This accounts for the fact that China has shown a great willingness to follow the international trend to regulate insider trading. Indeed, with the benefit of overseas experience, China has made a remarkable achievement in establishing its insider trading regulatory regime within a relatively short period of time. Despite this, there are a number of major problems with this regulatory regime, mainly due to the adoption of foreign ideas without due criticism. This is illustrated by various loopholes found in the definition of what is an ???insider???, which are related to confusion over underlying theories of insider trading liability. The thesis conducts an indepth analysis of these theories on a comparative law basis, recommending that the equality of access theory and the Australian ???information connection??? only approach are better suited to China. The thesis also examines other basic elements of insider trading, including the concept of materiality, the issue of when information becomes public, and the subjective elements of insider trading. Furthermore, a detailed discussion is carried out concerning the issue of private civil liability for insider trading. It is submitted that the combination of the nondisclosure-period-traders approach and well-designed damage caps can best ensure that private actions serve as a necessary and appropriate force in the enforcement of insider trading law.