Abstract not available

This thesis investigates the share price response to the announcement of private placements of hybrid securities in Australia. Firstly, the size and direction of the share price response is examined. Secondly, the determinants of the share price response are examined. Where possible, comparisons are made to evidence from international markets. The sample of data tested consists of 43 announcements of convertible debt issues, 39 announcements of preference share issues and 19 announcements of option issues made between 1983 and 2000 by Australian firms. The analysis of the share price impact in response to the announcements is conducted using Maynes and Rumsey (1993) event study methodology that adjusts for thin trading. The determinants of the share price response are examined using model specifications that are derived from the theoretical literature. The analysis of the announcement effect of private placements of hybrid securities finds significant negative abnormal returns for convertible debt issues, insignificant negative abnormal returns for preference share issues and significant positive abnormal returns for option issues. In comparison to international studies, the convertible debt results are similar to public and rights issues, the insignificant preference share results are similar to other findings and the option results are similar to private placements of equity and rights issues of options. The results of the investigation of the determinants of the announcement effect of private placements of hybrid securities finds that convertible debt issues are best explained by information asymmetry - firm and issue characteristics, the information asymmetry - external monitors hypothesis, the information asymmetry - dynamic hypothesis and the agency cost hypothesis. The impact of preference share issues is best explained by information asymmetry - firm and issue characteristics, the information asymmetry - external monitors hypothesis, the agency cost hypothesis and the price pressure hypothesis. The announcement effect of option issues is best explained by information asymmetry - firm and issue characteristics, the information asymmetry -dynamic hypothesis and the optimal capital structure hypothesis.

Abstract How the securities broker company faces the globalization financial situation changing and holding law of the finance of Taiwan one to implement , make the large-scale securities broker company fall into the predicament of managing , the securities broker company is looking for keeping the close relation method with the customer even more Large-scale securities broker company introduces Customer Relationship Management, expect to let Securities Salesmen make use of the scientific and technological tool of information with the intact systematic construction, serve more customers .The securities broker company makes the customer more satisfied, have more competitive power¡C The security market has already transferred to by way of customer's management on foundation, the securities broker company pays close attention to only really understand customer's demand, maintain good customer's relation, and make the best of the information system management tool, Can Find the business opportunity in Security market of saturation competition. This thesis takes securities Broker Company as an example, while channeling into Sales Force Automation system of Customer Relationship Management, to The Influence on Behavior of Securities Salesmen dependence and degree of securities Broker Company are studied There are the following three items in the research conclusion received in this research ¡G 1.Scientific and technological ability of information, to Professional that is channeled into Sales Force Automation system Behavior of the stock broker has apparent influence. 2.The cognitive degree in customer's relation Management is channeled into behavior of Sales Force Automation system the stock broker has Apparent influence 3.Different personal backgrounds are in Scientific and technological ability of information, Knowledge of customer's relation management, Professional behavior of the stock broker has apparent influence.

This paper is intended, first, to look at the deterrence versus compliance debate, and the various punishment principles that exist in securities regulation. Secondly, a brief overview of the experiences and complexities of securities regulation and sanctioning in Ontario and Canada will be presented. Third, I introduce and apply the “Responsive Regulation” model and the “enforcement pyramid” as posited by Ian Ayres and John Braithwaite to securities enforcement. I advocate for adoption of a three stage enforcement reform process that incorporates restorative justice through an enforcement pyramid and an “enforcement priority ladder”. The expert reports and statistics are used to develop the argument that the OSC is hindered in its enforcement mandate, ultimately, from a lack of sound enforcement guidelines. The end goal is to provide useful recommendations to the OSC and other Canadian securities regulators in achieving a more self-sustaining and investor focused securities regulatory environment.

This paper is intended, first, to look at the deterrence versus compliance debate, and the various punishment principles that exist in securities regulation. Secondly, a brief overview of the experiences and complexities of securities regulation and sanctioning in Ontario and Canada will be presented. Third, I introduce and apply the “Responsive Regulation” model and the “enforcement pyramid” as posited by Ian Ayres and John Braithwaite to securities enforcement. I advocate for adoption of a three stage enforcement reform process that incorporates restorative justice through an enforcement pyramid and an “enforcement priority ladder”. The expert reports and statistics are used to develop the argument that the OSC is hindered in its enforcement mandate, ultimately, from a lack of sound enforcement guidelines. The end goal is to provide useful recommendations to the OSC and other Canadian securities regulators in achieving a more self-sustaining and investor focused securities regulatory environment.

published_or_final_version / Law / Doctoral / Doctor of Philosophy

The thesis investigates the link between internal and external funds in financing new investment when asymmetric information is important. In both chapter, the entrepreneur has private information about the value of a project and, if the quality of the project is high, she tries to signal this to outside investors. The first chapter explores the tradeoff between using internal funds and raising external funds by issuing shares or bonds to finance a project. The entrepreneur can delay the project to accumulate internal funds over time from existing operations. This allows an entrepreneur with a high quality project to reduce her reliance on expensive underpriced bond or share issues. However, accumulating funds is also costly because of discounting and the risk that the project disappears. The more valuable the good project, the less the entrepreneur will delay the project, risking its loss, and so the more she relies on external financing. When external financing is sought, the entrepreneur decides to issue bonds or shares. The greater the value of the good project, the more underpriced shares are relative to bonds. Thus an entrepreneur with a highly valuable good project chooses equity and one with a less valuable project chooses debt. Combining the two results shows that for a highly valuable good project, debt is used, and for a less valuable project, internal funds are used. External equity gets squeezed out. Aggregate data for the U.S. confirm that corporate bond issues are a more important source of funds than new share issued. Furthermore, most small firms rely on internal funds and debt, rather than external equity to finance their projects. The second chapter provides a new theory for the underpricing of initial public offerings (IPOs). As in the first chapter, underpricing is used as a signal of quality. However, the entrepreneur is risk averse and only underprices when she cannot sell enough primary (new) shares to raise sufficient proceeds from the IPO to cover the cost of the project without diluting her position below that needed to signal a high project value. Underpricing allows the entrepreneur to maintain a high stake in the firm and still make a credible signal of quality. This allows more primary shares to be sold resulting in a net increase in proceeds. The model predicts that underpricing should be greatest among firms that don't sell secondary shares (shares held by insiders) at the IPO and that there should be a positive relationship between the firm's capital requirement and the initial return among this group of firms only. A switching regression framework is used. The probit model is first estimated where the probability of no secondary shares is explained by proxies for a firm's capital requirements. The initial return is then regressed on the same proxies, conditioning on whether the firm sells secondary shares or not and accounting for possible correlation between errors in the selection and regression equations. Strong support is found for the positive relationship between initial return and capital requirements for only firms without secondary share sales, as predicted.

No abstract available.

This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps indicating some form of segmentation between long-maturity and short-maturity bonds. These results are robust to the choice of sample period, interpolation method and estimation method. In the second essay, we propose the use of the unscented Kalman filter technique for the estimation of affine term structure models using non-linear instruments. We focus on swap rates and show that the unscented Kalman filter leads to important reductions in bias and gains in precision. The use of the unscented Kalman filter results in substantial improvements in out-of-sample forecasts. Our findings suggest that the unscented Kalman filter may prove to be a good approach for a number of problems in fixed income pricing in which the relationship between the state vector and the observations is nonlinear, such as the estimation of term structure models using interest rate derivatives or coupon bonds, and the estimation of quadratic term structure models. The third essay provides a tractable framework for pricing defaultable securities with recovery risk. Pricing solutions are explored for a large family of discrete-time affine processes and a five-factor Gaussian model is estimated on BBB and B Standard and Poor's yield indices. This rich econometric setup allows the model to simultaneously capture two important stylized facts of defaultable securities: The positive correlation between the loss given default and the intensity of default, and the negative correlation between the intensity of default and the risk-free interest rate.

Numerical methods form an important part of the pricing of financial derivatives and especially in cases where there is no closed form analytical formula. We begin our work with an introduction of the mathematical tools needed in the pricing of financial derivatives. Then, we discuss the assumption of the log-normal returns on stock prices and the stochastic differential equations. These lay the foundation for the derivation of the Black Scholes differential equation, and various Black Scholes formulas are thus obtained. Then, the model is modified to cater for dividend paying stock and for the pricing of options on futures. Multi-period binomial model is very flexible even for the valuation of options that do not have a closed form analytical formula. We consider the pricing of vanilla options both on non dividend and dividend paying stocks. Then show that the model converges to the Black-Scholes value as we increase the number of steps. We discuss the Finite difference methods quite extensively with a focus on the Implicit and Crank-Nicolson methods, and apply these numerical techniques to the pricing of vanilla options. Finally, we compare the convergence of the multi-period binomial model, the Implicit and Crank Nicolson methods to the analytical Black Scholes price of the option. We conclude with the pricing of exotic options with special emphasis on path dependent options. Monte Carlo simulation technique is applied as this method is very versatile in cases where there is no closed form analytical formula. The method is slow and time consuming but very flexible even for multi dimensional problems.