by Chau Wing Hang, Amy, Tsang Tsz Hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaf 83). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.v / ACKNOWLEDGMENTS --- p.viii / Chapter / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Objective of Study --- p.1 / Chapter 1.2 --- Scope of Study --- p.1 / Chapter 1.3 --- Background on Warrant and Covered Warrant --- p.2 / Chapter 1.3.1 --- What is Warrant and Covered Warrant? --- p.2 / Chapter 1.3.2 --- Convertible Concept --- p.3 / Chapter 1.3.3 --- Purposes of Issue --- p.4 / Chapter 1.3.4 --- Dilution Effect --- p.6 / Chapter 1.3.5 --- Valuation of Warrant/Covered Warrant --- p.7 / Chapter 1.4 --- Warrant/Covered Warrant Market in Hong Kong --- p.8 / Chapter 1.4.1 --- Expiry --- p.9 / Chapter 1.4.2 --- Forms of Issue --- p.10 / Chapter 1.4.3 --- Trading Forums --- p.11 / Chapter 1.4.4 --- Underlying Securities --- p.12 / Chapter 2. --- LITERATURE REVIEW --- p.13 / Chapter 2.1 --- Binomial Tree Model --- p.13 / Chapter 2.2 --- Black-Scholes Model --- p.16 / Chapter 3. --- METHODOLOGY --- p.18 / Chapter 3.1 --- Working Procedures --- p.19 / Chapter 3.2 --- Samples --- p.20 / Chapter 3.3 --- Data Collection --- p.22 / Chapter 3.4 --- Computation of Theoretical Prices --- p.24 / Chapter 3.5 --- Black's Approximation --- p.25 / Chapter 3.6 --- Fair Value --- p.27 / Chapter 3.6.1 --- Option Pricing Models --- p.27 / Chapter 3.6.2 --- Comparison between P tw bt and P tw ba --- p.28 / Chapter 3.6.3 --- Result of Comparison --- p.29 / Chapter 3.6.3.1 --- Results on Hypothesis Testing --- p.29 / Chapter 3.6.3.2 --- Results on Regressional Analysis --- p.30 / Chapter 3.6.4 --- Justification --- p.32 / Chapter 3.7 --- Hypothesis Testing --- p.34 / Chapter 3.8 --- Assumptions In Our Study --- p.34 / Chapter 4. --- FINDINGS --- p.36 / Chapter 4.1 --- Calculation with 250-day Historical Volatility --- p.36 / Chapter 4.1.1 --- First Sub-period (Sep 1，94 - Feb 28，95) --- p.36 / Chapter 4.1.2 --- "Second Sub-period (Mar 1,95-Aug 31,95)" --- p.37 / Chapter 4.1.3 --- "Whole Study Period (Sep 1, 94-Aug 31,95)" --- p.37 / Chapter 4.2 --- Calculation with 63-day Historical Volatility --- p.39 / Chapter 4.2.1 --- "First Sub-period (Sep 1, 94 - Feb 28，95)" --- p.39 / Chapter 4.2.2 --- "Second Sub-period (Mar 1, 95 - Aug 31,95)" --- p.39 / Chapter 4.2.3 --- "Whole Study Period (Sep 1,94-Aug 31，95)" --- p.40 / Chapter 5. --- CONCLUSION AND COMMENTS --- p.41 / Chapter 5.1 --- General Comments --- p.41 / Chapter 5.2 --- Volatility --- p.42 / Chapter 5.3 --- Expectations --- p.44 / Chapter 5.4 --- Transaction Costs --- p.45 / Chapter 6. --- LIMITATIONS OF STUDY --- p.46 / APPENDIX --- p.47 / Chapter 1 --- List of Covered Warrants / Chapter 2 --- Historical Volatility Calculation of Ordinary Stock Example : New World Development Co. Ltd “017´ح / Chapter 3 --- "Black's Approximation Calculation and Hypothesis Testing Example : Morgan S - NWD War 96 ""1036""" / Chapter 4 --- "Comparison between P tw bt and P twBA Example : SG War - HKTEL War 95 ""1098"" Morgan S- NWD War 96 ""1036"" Swiss B - HLAMD War 95 “344""" / Chapter 5 --- Results on 250-Day Historical Volatility / Chapter 6 --- Results on 63-Day Historical Volatility / Chapter 7 --- "Chart - Pw vs Ptw BA Example : Morgan S - NWD War 96 “1036´ح Swiss B - HLAND War 95 ""344""" / Chapter 8 --- "Chart - Historical Volatility Example : New World Development Co. Ltd. “017´ح HSBC Holdings plc. ""005""" / BIBLIOGRAPHY --- p.83

by Ho Ka-Hon, Lai Chun-Yin Antony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 48-50). / ABSTRACT --- p.II / TABLE OF CONTENT --- p.IV / LIST OF TABLES --- p.VI / ACKNOWLEGEMENT --- p.VII / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- WARRANT MARKET IN HONG KONG --- p.2 / Chapter 2.1 --- Features of Options --- p.2 / Chapter 2.2 --- Derivative Securities Listed on the Hong Kong Stock Exchange --- p.3 / Chapter 2.3 --- Discussion on Covered Warrants in SEHK --- p.4 / Chapter 2.4 --- Hedging Strategies of Covered Warrants Issuers --- p.6 / Chapter 2.5 --- Regulatory Environment of Derivative Warrants --- p.6 / Chapter 3. --- WARRANT VALUATION --- p.9 / Chapter 3.1 --- Factors Affecting Warrant Price --- p.9 / Chapter 3.2 --- Put-Call Parity --- p.10 / Chapter 3.3 --- Black-Scholes Model --- p.11 / Chapter 3.4 --- Absolute Diffusion Model --- p.12 / Chapter 1.5 --- Square-Root CEV Model --- p.13 / Chapter 4. --- LITERATURE REVIEW --- p.15 / Chapter 5. --- DATA AND METHODOLOGY --- p.19 / Chapter 5.1 --- Sample Data --- p.19 / Chapter 5.2 --- Measure the Performance of Warrant Pricing Models --- p.21 / Chapter 5.3 --- Data Enhancement --- p.23 / Chapter 5.4 --- Explanatory Factors of the Pricing Errors --- p.25 / Chapter 6. --- DATA ANALYSIS --- p.27 / Chapter 6.1 --- Performance of Black-Scholes Model --- p.27 / Chapter 6.1.1 --- Data Enhancement --- p.28 / Chapter 6.1.2 --- Other Observations --- p.30 / Chapter 6.2 --- Performance of Absolute Diffusion Model --- p.31 / Chapter 6.2.1 --- Data Enhancement --- p.32 / Chapter 6.2.2 --- Other Observations --- p.34 / Chapter 6.3 --- Performance of Square Root CEV Model --- p.35 / Chapter 6.3.1 --- Data Enhancement --- p.35 / Chapter 6.3.2 --- Other Observations --- p.37 / Chapter 6.4 --- Comparison between the Warrant Pricing Models --- p.38 / Chapter 6.5 --- The Performance in Blue Chip Warrants and Red Chip Warrants --- p.40 / Chapter 6.6 --- Factors Affecting the Pricing Errors --- p.41 / Chapter 6.7 --- Comparison with Other Studies --- p.43 / Chapter 7. --- CONCLUSION --- p.46 / REFERENCE --- p.48

published_or_final_version / Business Administration / Master / Master of Business Administration

by Lau Chi-keung, Edward, Lee Chi Wing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 49-51). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENT --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- WARRANTS AND WARRANT MARKET --- p.2 / General Issue of Warrants and Covered Warrants --- p.2 / Hong Kong Warrant Market --- p.3 / Chapter III. --- MULTIPLE COVERED WARRANT LISTING ISSUE --- p.6 / Chapter IV. --- LITERATURE REVIEW --- p.7 / Theoretical Reviews --- p.7 / Empirical Studies --- p.9 / Chapter V. --- METHODOLOGY --- p.13 / Data Selection --- p.13 / Analysis Method --- p.14 / Abnormal Return --- p.15 / Total Volatility --- p.16 / Systematic Risk --- p.16 / Trading Volume --- p.16 / Chapter VI. --- EMPIRICAL RESULTS --- p.18 / Abnormal Return --- p.18 / Systematic Risk --- p.20 / Total Volatility --- p.21 / Trading Volume --- p.24 / Chapter VII. --- DISCUSSION OF RESULTS --- p.30 / Abnormal Return --- p.31 / Total Volatility and Systematic Risk --- p.32 / Trading Volume --- p.35 / Chapter VIII. --- LIMITATIONS OF STUDY --- p.36 / Chapter IX. --- CONCLUSION --- p.39 / Chapter X. --- RECOMMENDATIONS --- p.40 / APPENDIX --- p.43 / List of Covered Warrants Issued from Jan 1989 to Dec 1992 --- p.43 / List of Covered Warrants in the Sample Set --- p.44 / Primary Result of Abnormal Return Analysis --- p.45 / Primary Result of Systematic Risk Analysis --- p.46 / Primary Result of Total Volatility Analysis --- p.47 / Primary Result of Trading Volume Analysis --- p.48 / BIBLIOGRAPHY --- p.49

by Chan Ho-Tong & Ren Tong-Hai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 76-82). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- WARRANT AND COVERED WARRANT --- p.3 / Chapter III. --- HONG KONG WARRANTS MARKET --- p.5 / Chapter 3.1 --- Brief review --- p.5 / Chapter 3.2 --- The covered warrants market --- p.7 / Chapter 3.3 --- Attraction of Warrants --- p.9 / Chapter IV. --- STOCK OPTIONS --- p.11 / Chapter V. --- COMPARISON OF COVERED WARRANT TO STOCK OPTION --- p.13 / Chapter VI. --- MARKET EXPECTATIONS OF STOCK OPTIONS' IMPACTS --- p.16 / Chapter 6.1 --- Historical evidence from index option --- p.16 / Chapter 6.2 --- Expected impact of stock options --- p.17 / Chapter VII. --- LITERATURE REVIEW --- p.19 / Chapter 7.1 --- The impact of option on the underlying stock market --- p.19 / Chapter 7.1.1 --- Theoretical arguments --- p.20 / Chapter 7.1.2 --- Empirical evidence --- p.23 / Chapter 7.1.3 --- Effects of options listing on stock bid-ask spread --- p.27 / Chapter 7.2 --- Prediction of changes in the covered warrants market --- p.31 / Chapter 7.2.1 --- Volatility of covered warrant return --- p.31 / Chapter 7.2.2 --- Trading volume --- p.32 / Chapter 7.2.3 --- Bid-ask spread --- p.34 / Chapter 7.2.4 --- Additional considerations --- p.35 / Chapter VIII. --- DATA ANALYSIS --- p.37 / Chapter 8.1 --- Data Selection --- p.37 / Chapter 8.2 --- Methodology --- p.38 / Chapter 8.4 --- Spread Regression Model --- p.39 / Chapter 8.4 --- Results and Analysis --- p.41 / Chapter 8.4.1 --- Return --- p.41 / Chapter 8.4.2 --- Trading Volume --- p.43 / Chapter 8.4.3 --- Spread --- p.47 / Chapter 8.4.4 --- Spread regression --- p.48 / Chapter 8.4.5 --- Exploration of additional factors --- p.52 / Chapter IX. --- CONCLUSION --- p.55 / Chapter X. --- LIMITATIONS --- p.58 / Chapter XI. --- SUGGESTIONS --- p.60 / APPENDIX --- p.61 / BIBLIOGRAPHY --- p.76

by Ng Hon Sun, Stephen & Poon Ming Him. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 50-52). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.v / LIST OF FIGURES --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CHARACTERISTICS OF WARRANTS AND THE NATURE OF HK WARRANT MARKET --- p.5 / Chapter II (i) --- Warrants Versus Call Options --- p.5 / Chapter II (ii) --- Historical Development of Warrants in Hong Kong --- p.6 / Chapter II (iii) --- Equity Warrants --- p.7 / Chapter II (iv) --- Derivative Warrants --- p.8 / Chapter II (v) --- The Risks of Derivative Warrants --- p.10 / High Inherent Risks --- p.10 / Complex Exercise Conditions and Conversion Adjustments --- p.10 / Chapter II (vi) --- Regulatory Environment of Derivative Warrants --- p.12 / Chapter III. --- LITERATURE REVIEW --- p.14 / Chapter IV. --- DATA AND METHODOLOGY EMPLOYED --- p.19 / Chapter IV (i) --- Date Employed --- p.19 / Chapter IV (ii) --- Methodology Employed --- p.24 / Chapter V. --- EMPIRICAL RESULTS AND INTERPRETATION --- p.28 / Chapter V (i) --- Market Trend Before and After Listing --- p.37 / Chapter V (ii) --- Trading Volume --- p.38 / Chapter V (iv) --- Volatility --- p.39 / Chapter VI. --- CONCLUSIONS --- p.44 / APPENDIXES --- p.46 / APPENDIX A STOCKS SELECTED FOR STUDY --- p.46 / APPENDIX B CONSTITUENT STOCKS OF HANG SENG INDEX --- p.47 / APPENDIX C HANG SENG INDEX 1993-1994 --- p.48 / APPENDIX D HANG SENG INDEX RETURN AND SELECTED STOCK UNADJUSTED MEAN RETURN --- p.49 / REFERENCES --- p.50 / LIST OF TABLES / TABLE 1 DERIVATIVE STOCK WARRANTS LISTING IN 1993 -1 994 --- p.21 / TABLE 2 COMPARISON OF PRE- AND POST- LISTING RETURNS --- p.28 / TABLE 3 EXCESS MARKET RATE OF RETURN AND CUMULATIVE EXCESS MARKET RATE OF RETURN --- p.32 / TABLE 4 MARKET MODEL RATE OF RETURN AND CUMULATIVE MARKET MODEL RATE OF RETURN --- p.33 / TABLE 5 β'S CALCULATED ON THE UNDERLYING STOCK --- p.33 / TABLE 6 MARKET TREND BEFORE AND AFTER LISTING OF DERIVATIVE WARRANTS --- p.37 / TABLE 7 EFFECTS OF DERIVATIVE WARRANT LISTING ON RISK CHARACTERISTICS OF UNDERLYING STOCKS --- p.41 / LIST OF FIGURES / FIGURE 1 SUMMARY OF THE REGULATIONS ON DERIVATIVE WARRANTS --- p.13 / FIGURE 2 WARRANT LISTINGS DISTRIBUTION MAP --- p.23 / FIGURE 3 CUMULATIVE RETURN % (ADJUSTED AND UNADJUSTED) --- p.31 / FIGURE 4 IMPACT OF LISTING ON VARIANCE --- p.40

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