I uppsatsen utreds de svenska personaloptionsreglernas förenlighet med EG-rätten. I 10 kap. 11 § 2 st. 2 p. IL framgår att då en i Sverige obegränsat skattskyldig person upphör att vara bosatt eller att stadigvarande vistas i Sverige likställs flytten med att personaloptionen utnyttjas och skall därför beskattas. Beskattning sker av ännu inte realiserade tillgångar med anledning av utflyttningen. Den typen av beskattning som följer av personaloptionsreglerna är ett exempel på en så kallad exit-skatt. Första steget i utredningen består i att bestämma huruvida personaloptionsreglerna kan utgöra ett otillåtet hinder för den fria rörligheten för arbetstagare och kapital inom unionen. Då hindret uppställs av hemvistlandet är det enligt vår terminologi att ses som ett hemstatshinder då det kan avskräcka landets medborgare eller bosatta från att utnyttja rätten till fri rörlighet. Vi har kommit till slutsatsen att de svenska personaloptionsreglerna utgör ett otillåtet hemstatshinder för den fria rörligheten för arbetstagare och kapital. Andra steget utgörs av att utreda huruvida de svenska personaloptionsreglerna kan rättfärdigas genom fördraget eller rule of reason-testet. Vad det gäller fördragets bestämmelser om avsteg från principen om fri rörlighet i artiklarna 39 och 58 EG anser vi inte att dessa kan berättiga exit-skatt-bestämmelsen i personaloptionsreglerna. Under rule of reason-testet prövas rättfärdigandegrunderna skattesystemets inre sammanhang, effektiv skattekontroll och behovet av att förhindra skatteflykt i förhållande till personaloptionsreglerna. Med hänsyn till praxis från EGD och analysen i uppsatsen synes personaloptionsreglerna inte kunna rättfärdigas genom dessa. Då vi anser att bestämmelsen i 10 kap. 11 § 2 st. 2 p. IL inte kan berättigas vare sig genom fördraget eller rule of reason-testet utgör regeln således ett otillåtet hemstatshinder för den fria rörligheten för arbetstagare och kapital. Konsekvensen av att ett hinder anses otillåtet är att regeln inte får tillämpas av medlemsstaten. / The aim of the thesis is to analyse the Swedish employee stock option legislation’s compliance with EC law. Chapter 10 section 11 subsection 2 of the Swedish income tax act states that when a person subject to unlimited tax liability ceases to be domiciled or permanently resident in Sweden, the change of residence is deemed equal to the redemption of the employee stock options and shall therefore be taxed. Due to the emigration, not yet realized assets are taxed. The kind of taxation present in the Swedish employee stock option legislation is an example of an exit tax. The first part of our analysis consists of determining whether the Swedish employee stock option legislation may constitute an unlawful obstacle for the free movement of workers and capital within the internal market. According to our terminology, an obstacle put up by the home state, capable of deterring citizens or residents of that country from exercising their right to free movement is considered a home state obstacle. We have reached the conclusion that the Swedish employee stock option legislation constitutes an unlawful home state obstacle for the free movement of workers and capital. The second part of this study consists of investigating whether the Swedish employee stock option legislation can be justified under the EC treaty or under the rule of reason test. Concerning the possibilities stated in articles 39 and 58 EC to depart from the principle of free movement, we would like to suggest that the exit taxation provision found in the Swedish employee stock option legislation cannot be justified through neither of them. The rule of reason justification grounds coherence of the tax system, effectiveness of fiscal supervision and the need to prevent tax avoidance are tried in relation to the Swedish employee stock option legislation. By reference to case law from the ECJ and the analysis in the thesis, none of the three seems to be able to justify the Swedish employee stock option legislation. The Swedish employee stock option legislation cannot, according to our analysis, be justified neither through the treaty nor the rule of reason test. In our opinion, it therefore constitutes an unlawful home state obstacle for the free movement of workers and capital. The consequence of an unlawful obstacle is that the member state may not apply that rule.

Financial Derivatives are one of the most popular and emerging innovations in the field of financial engineering. Since their inception, there has been a phenomenal growth in the volumes of derivatives traded all over the world. Financial markets are known to be extremely volatile and derivatives provide a way of eliminating or reducing the risks involved in these markets. Since these instruments derive their value from some underlying asset, trading in these instruments is bound to affect the underlying assets. Thus it becomes important to examine what these effects are and whether they have been favourable or detrimental to the underlying stock markets specially when there has been an explosive growth of these financial derivatives all over the world. This issue gains more importance in the case of emerging markets like India as they try to be more competitive and efficient as the developed Western markets. This thesis mainly deals with looking at this impact on the Indian stock markets. The Indian markets still being very new in this area, not many studies have been reported here related to this issue. The main focus of this thesis is to provide some more evidence on the impact of one kind of derivative instrument, namely options on different characteristics of underlying stocks in the Indian stock market. The thesis has the following objectives: • To examine the impact of option introduction on the price of underlying stocks in National Stock Exchange (NSE). • To examine the impact of option introduction on the volatility of underlying stocks in NSE • To examine the impact of option introduction on liquidity of underlying stocks in NSE NSE introduced derivatives beginning with index futures on June 12, 2000, followed by index options on June 4, 2001, options on individual securities on July 2, 2001 and finally futures on individual securities on November 9, 2001. Due to the temporal proximity of the introduction of index options and individual options, there exists a possibility of an interaction of these two effects. This problem is solved by a judiciously chosen sampling design. In particular, three groups of stocks are considered. The first group consists of stocks on which options were first introduced on 2nd July 2001 and thus would exhibit a combined effect of the two events if any. The second group consists of stocks on which options were introduced much later and therefore would show effects of individual option introduction if any. The third group comprises of nonoptioned stocks whose returns are considered around the date of index option introduction and thus would show effects of index option alone if any. To separate the two effects an ANOVA/ Logistic Regression model is used. An objective selection of the event and estimation windows is done using a Bayesian Change Point Analysis. The first part of the thesis looks at the effect of option introduction on the price of underlying stocks. A standard event study methodology as has been used in the literature is employed for this purpose. The study does not find any significant effect of option introduction on the prices. The second part of the thesis deals with the effect on volatility. Volatility is measured as the risk of a stock and as is done in the literature, three kinds of risk are looked at: total risk, systematic risk and the unsystematic risk. In case of the total risk, an F-test and an Ansari Bradley test is used to check for changes in the variance and scale parameters of market-adjusted continuously compounded returns of the stocks before and after option introduction. The results of these tests are recorded as a categorical variable taking on the value 0 for no change and 1 for a change and a Binomial Logistic Regression is used to separate the effects of the two events. Furthermore, after recording the results of the above mentioned tests as a categorical variable with three categories (0, 1, -1), a Multinomial Logistic Regression is also used in order to estimate the direction of the change (increase, decrease or no change). The ratios of after to before total risks are also analyzed using an ANOVA model. The systematic risk is measured using three kinds of betas – OLS betas, Scholes-Williams betas and Fowler-Rorke betas. The differences in the before and after betas of every stock are modelled using an ANOVA model in order to separate the two effects as well as the interaction effect. The unsystematic risk is estimated by the conditional variances and the unconditional variances of ARMA and ARMA-GARCH models fitted to market model excess returns. The ANOVA model is used here as well. In addition to this, the before and after ARCH and GARCH coefficients of GARCH (1, 1) models fitted to the excess returns are also compared using the ANOVA model. The results indicate that individual options are leading to a decline in total risk however index options are causing an increase in total risk. The interaction effect is significant in this case thereby causing an increase in total risk in the Group I stocks. The OLS betas indicate that individual option introduction seems to have increased the systematic risk. The Scholes-Williams betas indicate that index option introduction seems to have increased the systematic risk. The Fowler Rorke betas on the other hand, do not show any significant impact of individual option or index option introduction. For all the three betas index options introduction seems to have no effect on the systematic risk. Though the interaction effect seems to be significant in all the three cases, it however does not significantly affect the systematic risk in Group I stocks. As regards the unsystematic risk, both the conditional and unconditional variances of ARMA models show a significant reduction for individual option introduction but index options do not have any significant impact on either one of these measures. In case of unconditional variances of ARMA-GARCH models, none of the effects come out as significant. While comparing the news and persistence coefficients of GARCH (1, 1) models, the news coefficients indicate that the due to index option introduction, stocks are becoming more efficient in terms of absorbing the news more rapidly. No significant effect of either event is found on the persistence coefficients. The last part of the thesis deals with the liquidity issue. Liquidity has been measured using two measures – relative volume (based on daily data) and implicit bid-ask spread given by Roll (1984) (calculated from intra-day data). In case of the liquidity measures, the Logistic Regression models are used i.e. a categorical variable with two or three categories obtained from the results of a Wilcoxon Rank Sum test for comparing the median volume and spread before and after option introduction, is used. It is found that for the relative volume, individual option introduction has led to a favourable effect in terms of increasing the volume post introduction of options; however index options seem to have had a negative effect. As for the spread, index options seem to have had a stabilizing influence on the underlying stocks than the individual options.

<p>I uppsatsen utreds de svenska personaloptionsreglernas förenlighet med EG-rätten. I 10 kap. 11 § 2 st. 2 p. IL framgår att då en i Sverige obegränsat skattskyldig person upphör att vara bosatt eller att stadigvarande vistas i Sverige likställs flytten med att personaloptionen utnyttjas och skall därför beskattas. Beskattning sker av ännu inte realiserade tillgångar med anledning av utflyttningen. Den typen av beskattning som följer av personaloptionsreglerna är ett exempel på en så kallad exit-skatt.</p><p>Första steget i utredningen består i att bestämma huruvida personaloptionsreglerna kan utgöra ett otillåtet hinder för den fria rörligheten för arbetstagare och kapital inom unionen. Då hindret uppställs av hemvistlandet är det enligt vår terminologi att ses som ett hemstatshinder då det kan avskräcka landets medborgare eller bosatta från att utnyttja rätten till fri rörlighet. Vi har kommit till slutsatsen att de svenska personaloptionsreglerna utgör ett otillåtet hemstatshinder för den fria rörligheten för arbetstagare och kapital.</p><p>Andra steget utgörs av att utreda huruvida de svenska personaloptionsreglerna kan rättfärdigas genom fördraget eller rule of reason-testet. Vad det gäller fördragets bestämmelser om avsteg från principen om fri rörlighet i artiklarna 39 och 58 EG anser vi inte att dessa kan berättiga exit-skatt-bestämmelsen i personaloptionsreglerna. Under rule of reason-testet prövas rättfärdigandegrunderna skattesystemets inre sammanhang, effektiv skattekontroll och behovet av att förhindra skatteflykt i förhållande till personaloptionsreglerna. Med hänsyn till praxis från EGD och analysen i uppsatsen synes personaloptionsreglerna inte kunna rättfärdigas genom dessa.</p><p>Då vi anser att bestämmelsen i 10 kap. 11 § 2 st. 2 p. IL inte kan berättigas vare sig genom fördraget eller rule of reason-testet utgör regeln således ett otillåtet hemstatshinder för den fria rörligheten för arbetstagare och kapital. Konsekvensen av att ett hinder anses otillåtet är att regeln inte får tillämpas av medlemsstaten.</p> / <p>The aim of the thesis is to analyse the Swedish employee stock option legislation’s compliance with EC law. Chapter 10 section 11 subsection 2 of the Swedish income tax act states that when a person subject to unlimited tax liability ceases to be domiciled or permanently resident in Sweden, the change of residence is deemed equal to the redemption of the employee stock options and shall therefore be taxed. Due to the emigration, not yet realized assets are taxed. The kind of taxation present in the Swedish employee stock option legislation is an example of an exit tax.</p><p>The first part of our analysis consists of determining whether the Swedish employee stock option legislation may constitute an unlawful obstacle for the free movement of workers and capital within the internal market. According to our terminology, an obstacle put up by the home state, capable of deterring citizens or residents of that country from exercising their right to free movement is considered a home state obstacle. We have reached the conclusion that the Swedish employee stock option legislation constitutes an unlawful home state obstacle for the free movement of workers and capital.</p><p>The second part of this study consists of investigating whether the Swedish employee stock option legislation can be justified under the EC treaty or under the rule of reason test. Concerning the possibilities stated in articles 39 and 58 EC to depart from the principle of free movement, we would like to suggest that the exit taxation provision found in the Swedish employee stock option legislation cannot be justified through neither of them. The rule of reason justification grounds coherence of the tax system, effectiveness of fiscal supervision and the need to prevent tax avoidance are tried in relation to the Swedish employee stock option legislation. By reference to case law from the ECJ and the analysis in the thesis, none of the three seems to be able to justify the Swedish employee stock option legislation.</p><p>The Swedish employee stock option legislation cannot, according to our analysis, be justified neither through the treaty nor the rule of reason test. In our opinion, it therefore constitutes an unlawful home state obstacle for the free movement of workers and capital. The consequence of an unlawful obstacle is that the member state may not apply that rule.</p>

台灣期貨交易所於92年1月20日推出到期採實物交割的股票選擇權契約，希望能提供市場更豐富、更多元的避險以及套利機能。然自股票選擇權推出以來，市場成交量並未如預期般蓬勃發展，便失去台灣期貨交易所推出股票選擇權之用意，不能使其充分發揮其多元之避險套利機能。多數人主觀認為，採用現金交割方式的衍生性金融商品容易受到人為操縱。一般而言，研究市場的人為操縱因子多以報酬波動率及到期日效應作為觀察指標，因此商品之交割方式與報酬波動率及到期日效應有一定之關聯。然而近來國外許多相關研究發現，採實物交割與現金交割，對股票選擇權的到期日效應並未產生差異，反而是透過結算制度的設計，可以有效降低人為操縱的機率。本研究旨在研究股票選擇權改採現金交割之可行性分析，研究到期日採現金交割是否就是增加人為操縱機率的主要因素，且到期日效應與到期交割方式是否又有絕對的關係？而根據文獻了解，到期日報酬波動率與受人為操縱之跡象是呈現正向關係。 / 因此本研究對指數期貨在到期日與非到期日時對指數現貨價格以及個股股價報酬波動率的影響程度進行實證分析，以報酬波動率之異常現象判斷是否有所謂到期日效應。 本研究實證結果指出，在台指期貨到期日報酬波動率和摩根台指期貨到期日的報酬波動率實證結果發現所有樣本在台指期貨到期日的報酬波動率都顯著高於摩根台指期貨到期日的報酬波動率。顯示台指期貨結算制度雖為到期日下一交易日開盤前十五分鐘個股成交量加權平均價結算，但並未有效降低異常報酬波動率的發生。根據國外研究結果發現，個股期貨能降低到期日效應之影響。此外，採實物交割與現金交割，對股票選擇權的到期日效應並未產生差異。為了降低到期日效應且提升市場的效率性，建議股票選擇權改為現金交割之外，尚可考慮開放個股期貨的交易。 / Taiwan Futures Exchange launched stock options on January 20, 2003, hoping to provide the market with more hedging and arbitraging opportunities. However, the trading volume does not grow as was expected. The low trading volume does not meet Taiwan Futures Exchange’s goal to provide the market with hedging and arbitraging mechanism. Most people think that derivatives applying cash settlement lead to manipulation. Researchers studying manipulations take the volatility of returns and expiration effects as the factors of their studies. However, some recent studies suggest applying cash settlement or physical settlement does not have much impact on expiration effects, while applying proper settlement system can reduce manipulation. / This research investigated the possibility of stock options applying cash settlement and examined the volatility of returns of stock indexes and stock prices during settlement and non-settlement days to determine if expiration effects exist. In this study, we found the volatilities of returns of all samples during TAIFEX settlement days are significantly higher than the volatilities of returns during SIMEX settlement days. All of our samples have significant higher volatilities of returns during TAIFEX settlement days and SIMEX settlement days except CMO, which does not have significant higher volatility of returns during SIMEX settlement days. Other researches point out the adopting of stock futures reduces the expiration effects. Furthermore, adopting cash settlement or physical settlement does have much impact on expiration effects. To decrease the expiration effect and to increase the effectiveness of the market, this study proposes the adoption of cash settlement and the launching of stock futures.

Throughout twentieth century, it has become increasingly common for executives to be remunerated with stock options, contracts which allow the recipient to buy company stock at a predetermined price, thus giving the incentive to maximize the stock price in order to increase the value of the stock option contract. Not only has stock option compensation become increasingly prevalent to executives at most major listed companies, but also to employees at all levels of the firm, both big and small. However, along with the growth in popularity, stock option compensation also became a topic of contention, not only among the general public, but among lobbyists, legislators and academics. This thesis aims to provide a better understanding of stock option compensation practice, with a particular emphasis on the United States, where stock option compensation is most prevalent. The thesis is divided into three chapters: the first chapter deals with establishing a foundational understanding of stock option practice and possible drivers through investigating the literature on the history of stock option compensation practice in the US. The second chapter develops a holistic theoretical model of an optimal stock option compensation package to possibly explain some practice currently considered as excessive. Then lastly, the third chapter empirically tests the validity of possible drivers of executive stock option policy in recent times in an attempt to identify whether current practice is optimal or not. The first chapter is primarily a literature review, covering a series of events over the history of stock option compensation in the US, ranging from its early beginnings in the early twentieth century until the present day. Included in the coverage of significant events are: legislation impacting tax benefits for corporate and for recipients; “landmark” events such as the first case of “broad-based” option compensation resulting in companies following a standard business practice; trends in the stock market; academic theory of the development of agency theory which supports the use of tools such as equity based compensation, and the development of major option valuation models; the possible impact of accounting standards; and the possibly impact of major bankruptcies or unethical behavior directly or indirectly tied to executive stock option compensation. The second chapter follows with a theoretical approach to understanding stock option compensation trends by analyzing the major benefits and costs associated with stock options. The model developed differs to most other existing optimization models as it does not focus on one set of benefits or factors, rather a more holistic approach is taken. Using a holistic approach, this model also helps explain how levels of compensation that are considered excessive under an optimisation model based only incentive benefits, can actually be optimal for the firm once other costs and benefits are incorporated. The model also aims to provide an alternative explanation to the managerial power hypothesis to explain why the buoyancy of the market may be positively correlated with compensation levels. This is explained by the impact of the buoyancy of the market on the likelihood of stock option exercise, and the costs and benefits either unconditional, partially conditional or conditional on options being exercised. In addition, smaller companies are also found to benefit from stock options more than larger firms due to some of the unconditional benefits, in particular, the ability to attract higher quality talent which can also help small firms fulfil untapped potential. Lastly, the model also provides useful insight into the appropriateness of using of foregone option premiums as the economic opportunity cost of granting stock options. The third chapter aims to empirically test the impact of several factors brought up in Chapter One that may help explain changes in compensation that occurred at the turn of the century. These major factors analyzed are: 1) the bull market prior to and the bear market following the market crash of 2000, 2) changes in accounting standards for equity based compensation, and 3) possible public perception of corruption following several major bankruptcies associated with poor ethics in 2002. Mixed evidence is found regarding the impact of market cycles. These findings include cycles to be linked to granting options out-of-the-money, a general inverse relationship with the levels of stock option compensation with the buoyancy of the market, expected for companies managing incentives, and finally there are indications companies ceased granting options based on poor company stock price performance prior to 2001. Other findings indicate the possible influence of accounting standards on economic decisions as well as the broad impact of events surrounding 2001-2, even though they have no economic impact. On the one hand, decreases in stock option compensation levels is shown to be linked to accounting decisions, however, there is insufficient evidence to support the argument that firm-wide decision making to cease granting stock options completely was based on accounting decisions.

Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008. / Bibliography: p. 73-77. / Introduction -- Lévy processes used in option pricing -- Option pricing for Lévy processes -- Option pricing based on empirical characteristic functions -- Performance of the five models on historical data -- Conclusions -- References -- Appendix A. Proofs -- Appendix B. Supplements -- Appendix C. Matlab programs. / Pricing problems of financial derivatives are among the most important ones in Quantitative Finance. Since 1973 when a Nobel prize winning model was introduced by Black, Merton and Scholes the Brownian Motion (BM) process gained huge attention of professionals professionals. It is now known, however, that stock market log-returns do not follow the very popular BM process. Derivative pricing models which are based on more general Lévy processes tend to perform better. --Carr & Madan (1999) and Lewis (2001) (CML) developed a method for vanilla options valuation based on a characteristic function of asset log-returns assuming that they follow a Lévy process. Assuming that at least part of the problem is in adequate modeling of the distribution of log-returns of the underlying price process, we use instead a nonparametric approach in the CML formula and replaced the unknown characteristic function with its empirical version, the Empirical Characteristic Functions (ECF). We consider four modifications of this model based on the ECF. The first modification requires only historical log-returns of the underlying price process. The other three modifications of the model need, in addition, a calibration based on historical option prices. We compare their performance based on the historical data of the DAX index and on ODAX options written on the index between the 1st of June 2006 and the 17th of May 2007. The resulting pricing errors show that one of our models performs, at least in the cases considered in the project, better than the Carr & Madan (1999) model based on calibration of a parametric Lévy model, called a VG model. --Our study seems to confirm a necessity of using implied parameters, apart from an adequate modeling of the probability distribution of the asset log-returns. It indicates that to precisely reproduce behaviour of the real option prices yet other factors like stochastic volatility need to be included in the option pricing model. Fortunately the discrepancies between our model and real option prices are reduced by introducing the implied parameters which seem to be easily modeled and forecasted using a mixture of regression and time series models. Such approach is computationaly less expensive than the explicit modeling of the stochastic volatility like in the Heston (1993) model and its modifications. / Mode of access: World Wide Web. / x, 111 p. ill., charts

[pt] O presente trabalho busca explorar a previsibilidade na dinâmica temporal em modelos lineares de superfícies de volatilidade implícita estimados para opções de compra de ações brasileiras. Resultados de estudos anteriores, sob a abordagem usualmente empregada de estimação de modelos lineares em função do preço de exercício e do tempo até o vencimento a partir de dados de corte transversal sobre cada contrato disponível em dado instante, como Dumas, Fleming e Whaley (1998), revelam grande instabilidade nos coeficientes estimados ao longo do tempo. Por conseguinte, a incapacidade desta perspectiva em descrever a dinâmica intertemporal da estrutura, contrariando a observação empírica de volatilidade variável no tempo. A partir destas evidências e das conclusões de Heston e Nandi (2000), que reportaram significativa dependência da trajetória para a volatilidade dos retornos do índice S&P 500, Gonçalves e Guidolim (2006), propuseram um modelo em dois estágios, que aplica vetores autoregressivos para capturar a presença de variação temporal dos coeficientes de um modelo linear. A contribuição deste trabalho está em aplicar o Modelo proposto à realidade do mercado brasileiro de opções de ações, incipiente em liquidez e horizonte de negociação se comparado ao mercado norte americano, adaptando critérios a fim de validar sua aplicabilidade neste contexto em termos estatísticos e econômicos. Os resultados comprovam a superioridade desta abordagem em relação a outras comparáveis na literatura, mas não a capacidade de gerar retornos acima da média na presença de custos de transação contra a referência natural da taxa livre de risco. O que sugere a adequação à hipótese de eficiência de mercado. / [en] O The present study aims to explore predictability in temporal dynamics regarding linear models of the implied volatility surfaces estimated for Brazilian stocks options. Previous results, by usual approach of fitting linear models linking implied volatility to time to maturity and moneyness, available for each cross-section of option contracts at a point in time, as in Dumas, Fleming and Whaley (1998), suggest that estimated parameters of such models are highly unstable over time. Therefore, this approach isn t capable of replicating various IVS s shapes, contrary to the empirical evidence of implied volatility varying with options strike price and date of expiration. Based on these evidences and in Heston and Nandi (2000), that exploit the information on path-dependency in volatility contained in the spot S&P 500 index, Gonçalves e Guidolim (2006) proposed a two-stage approach to modeling and forecasting the S&P 500 index options IVS. In the second-stage they model the dynamics of the cross-sectional first-stage coefficients by means of vector autoregression models. The contribution of this work is to apply the proposed model to the reality of the Brazilian stock options, incipient in terms of liquidity and trading horizon dimensions when compared to the U.S. market, adapting criterians to validate its applicability in this context in statistical and economical sense. The results demonstrate the superiority of this approach over comparable literature, but not the ability to generate abnormal profits in the presence of transaction costs in excess of the benchmark of the risk-free rate. This indicates adaptation to the market efficiency hypothesis.

Submitted by Conrado Rocha Veloso Freire (conradofreire@hotmail.com) on 2015-02-03T14:53:11Z No. of bitstreams: 1 Tese_MEX_v11.pdf: 1315514 bytes, checksum: 6423dc03fda9fcea9dea7c0aced96c63 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2015-02-04T19:14:10Z (GMT) No. of bitstreams: 1 Tese_MEX_v11.pdf: 1315514 bytes, checksum: 6423dc03fda9fcea9dea7c0aced96c63 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-02-11T19:20:05Z (GMT) No. of bitstreams: 1 Tese_MEX_v11.pdf: 1315514 bytes, checksum: 6423dc03fda9fcea9dea7c0aced96c63 (MD5) / Made available in DSpace on 2015-02-11T19:20:21Z (GMT). No. of bitstreams: 1 Tese_MEX_v11.pdf: 1315514 bytes, checksum: 6423dc03fda9fcea9dea7c0aced96c63 (MD5) Previous issue date: 2014-12-10 / Given the significant increase in the granting of stock options by companies as means of compensation which sometimes leads to overindulgence such as executives having earned millionaire bonuses before their companies generated cash or even at firms which went bankrupt, this research sought to discover what were the main determinants of the exercise period of the stock options. Through a cross section regression, we analyzed the characteristics of 109 companies listed in the Bovespa’s best levels of governance and / or components of Brazil’s biggest stock indexes in order to find out which of them influenced the aforementioned period. The results were not statistically relevant, which means that for the purposes of this study the exercise periods set by the companies are not related to those variables. Therefore, further research should address the exercise period definition together with compensation consultants and board members. / Diante do aumento expressivo da outorga de opções de ações por parte das companhias como forma de remuneração e dos consequentes excessos, como por exemplo, executivos tendo exercido bônus milionários antes que suas companhias gerassem caixa ou mesmo em empresas que foram à falência, esta pesquisa buscou encontrar quais eram os principais determinantes do prazo de exercício das opções de compra. Por meio de uma regressão cross section, foram analisadas as características de 109 empresas listadas nos melhores níveis de governança e/ou nos maiores índices de ações do Brasil a fim de verificar quais delas influenciavam o prazo supramencionado. Os resultados encontrados não se mostraram estatisticamente relevantes, o que quer dizer que para efeito deste estudo os prazos definidos pelas empresas não guardam relação com àquelas variáveis e, portanto, com suas características intrínsecas. Logo, novas pesquisas devem abordar a definição de prazo junto aos consultores de remuneração e membros de Conselho de Administração.

Submitted by Fernando de Castro Poletti (fernandocpoletti@gmail.com) on 2015-08-22T08:37:44Z No. of bitstreams: 1 Tese Fernando Poletti - 2015 vFinal.pdf: 718087 bytes, checksum: 97e07ad6e3f0cb59e7ec39668e55f9d8 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Fernando, boa tarde Segue abaixo o que deverá verificar e alterar para que possamos aceitar seu trabalho junto à biblioteca: - Na capa, seu nome deve estar centralizado entre o nome da escola e o título e não tão próximo ao título. - Referente ao título, houve alguma alteração? Pois em seu protocolo e Ata consta: IMPACTO NO APREÇAMENTO DE DERIVATIVO PELO CONHECIMETO PRÉVIO DO CALENDÁRIO DE DIVULGAÇÃO DE RESULTADOS Caso tenha alguma alteração, não temos esta informação junto à Ata. Após alterações submeter novamente o trabalho. Att Renata on 2015-08-24T16:08:54Z (GMT) / Submitted by Fernando de Castro Poletti (fernandocpoletti@gmail.com) on 2015-08-25T20:48:05Z No. of bitstreams: 1 Tese Fernando Poletti - 2015 vFinal c titulo.pdf: 718272 bytes, checksum: c5622951c12efba46f02629ae5f1188a (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-08-26T17:42:47Z (GMT) No. of bitstreams: 1 Tese Fernando Poletti - 2015 vFinal c titulo.pdf: 718272 bytes, checksum: c5622951c12efba46f02629ae5f1188a (MD5) / Made available in DSpace on 2015-08-26T17:56:14Z (GMT). No. of bitstreams: 1 Tese Fernando Poletti - 2015 vFinal c titulo.pdf: 718272 bytes, checksum: c5622951c12efba46f02629ae5f1188a (MD5) Previous issue date: 2015-08 / From the study of an econometric work about the impact of information on the return of an asset, we proposed a simplification of the model in order to analyze an specific event with well-defined schedule, quarterly financial results. For some companies, we found evidence that the model matches the data and we then priced call and put options using the Monte Carlo method. We obtained significant differences in the mark to market for the options concerning the proposed model when compared to the black-scholes one and, by performing the backtest on the sample using delta-hedge strategies, we got improved results for some scenarios. / A partir do estudo de um trabalho econométrico sobre o impacto de informações no retorno de um ativo, propusemos uma simplificação ao modelo objetivando a análise de um evento específico com agenda bem definida, a divulgação trimestral de resultados. Para algumas empresas, achamos evidências da aderência do modelo aos dados reais e apreçamos opções de compra e venda utilizando o método de Monte Carlo. Obtivemos diferenças relevantes no preço das opções considerando a modelagem proposta frente ao modelo de black-scholes e, ao efetuar o backtest na amostra usando uma estratégia de delta-hedge, conseguimos melhores resultados na nova formulação para alguns cenários.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2017-04-03T19:19:46Z No. of bitstreams: 1 brunodesouzalopes.pdf: 675005 bytes, checksum: 08825dbfecd3f46503df396be3557e02 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-04-04T11:48:16Z (GMT) No. of bitstreams: 1 brunodesouzalopes.pdf: 675005 bytes, checksum: 08825dbfecd3f46503df396be3557e02 (MD5) / Made available in DSpace on 2017-04-04T11:48:16Z (GMT). No. of bitstreams: 1 brunodesouzalopes.pdf: 675005 bytes, checksum: 08825dbfecd3f46503df396be3557e02 (MD5) Previous issue date: 2009-12-18 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Este estudo investiga os efeitos dos Planos de Opções de Compra de Ações, internacionalmente conhecidos como Employee Stock Options Plans (ESOP), sobre o valor das empresas listadas no mercado de capitais brasileiro. O ESOP é um mecanismo de remuneração variável, geralmente fornecido a executivos, mas que pode se estender a todos os funcionários da organização, sendo o alinhamento de interesses entre gestores e acionistas um dos objetivos de sua adoção. Especificamente, no que permeia à relevância deste estudo, observa-se que há uma tendência crescente de adoção de ESOP no Brasil por parte de empresas de capital aberto, sendo interessante verificar se tal instrumento é capaz de gerar efeitos sobre o valor das empresas. Adicionalmente, são poucos os trabalhos empíricos sobre o tema no Brasil, o que torna relevante a pesquisa. Para atingir o objetivo proposto, foi utilizada a análise de dados em painel, que procurou mensurar se a presença do ESOP gera ou não valor ao acionista. A base de dados utilizada para a consecução dos objetivos acima foi confeccionada a partir de informações públicas disponibilizadas pelas empresas de capital aberto negociadas na BOVESPA à Comissão de Valores Mobiliários (CMV), além de dados financeiros sobre essas empresas no banco de dados da Economática. Os resultados encontrados mostram que há indícios de que o ESOP gera riqueza ao acionista, quando este é feito de forma mais bem estruturada, especificamente em relação ao preço de exercício, quando este é fixado at-money ou out-of-money. Em termos de valorização do preço das ações, este valor é ampliado quando as empresas apresentam práticas melhores de governança corporativa e quando as empresa adotam o ESOP a mais de três anos. / This work investigates the effects of the Employee Stock Options Plans (ESOP) on the company’s value listed in the Brazilian capitals market. ESOP is a mechanism of variable compensation, generally offered to executives, but able to be extended to all employees of the organization, having the alignment of interests between managers and shareholders as one of the goals of its adoption. Specifically, what increases the relevance of this study, it is observed a growing tendency of adoption of ESOPs in Brazil by open capital companies, being interesting to see if this instrument has been capable to generate an effect on the value of these companies. Additionally, there are few empirical studies about the subject in Brazil, which makes it a relevant research. To achieve this purpose, a panel data analysis will be used to try measuring if the adoption of the ESOP has generate or not value to the shareholder, even in the long term. The database used to achieve the above goal was created from public information provided by open capital companies disposable on the BOVESPA for the Securities Commission (CVM), as well as from the financial data for these companies disposable in the Economática database. The results show that there is evidence that the ESOP generates wealth for shareholders, when the ESOP becomes more well-structured, specifically regarding the exercise price, when this is fastened at-money or out-of-money. While increasing the stock price, this value is enhanced when these companies adopt best practices of corporate governance and also when the companies adopt ESOP by more than three years.