A number of studies have investigated the performance of common stocks recommended in The Value Line Investment Survey. Little attention, however, has been given to the performance of call options recommended in Value Line Options. This study has two major purposes. The first is to determine whether an investor acting on Value Line’s call purchase recommendations and following Value Line’s prescribed strategy earns abnormal returns, and if so, to identify the portion of the abnormal return that is associated with purchasing calls that are undervalued relative to the prevailing stock price and the portion that is due to the undervaluation of the underlying stock. The second major purpose is to determine whether there is a correlation between Value Line’s option and stock rankings and returns performance. Underlying both of these purposes is a test of the superiority of Value Line’s estimates of future stock price variance relative to volatilities implied by prevailing market stock and call option prices. The results indicate that abnormal returns are earned by following the prescribed strategy but that abnormal returns are eliminated after consideration of transactions costs. There is, however, a strong and persistent correlation between option rankings and returns performance. In general, the results are consistent with the relative superiority of Value Line’s estimates of future stock price variance. / Ph. D.

by Veronica Ho Pui Kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 99-103). / Prologue --- p.1 / Chapter Essay I: --- Examination of the GARCH Option Pricing Model in the case of Hang Seng Index Option / Chapter 1. --- Introduction --- p.4 / Chapter 2. --- Holes' in the Black-Scholes Model --- p.7 / Chapter 3. --- A Big 'Hole' -- Varying Volatility --- p.14 / Chapter 4. --- A Remedy : the GARCH Option Pricing Model --- p.31 / Chapter 5. --- Research Methodology and Data --- p.38 / Chapter 6. --- Empirical Results --- p.50 / Chapter 7. --- Conclusion --- p.67 / Chapter Essay II: --- Barrier Options / Chapter 1. --- Introduction on Barrier Option --- p.70 / Chapter 2. --- Pricing Models --- p.74 / Chapter 3. --- Hedging of Barrier Option --- p.81 / Chapter 4. --- Examination of a Down-and-Out Put Option --- p.88 / References --- p.99

Ce travail doctoral traite de l’influence du contrat de rémunération du dirigeant, et plus particulièrement des caractéristiques incitatives de la rémunération en titres, sur les décisions prises par l’entreprise. Nous nous proposons en particulier d’apprécier l’effet de l’articulation des incitations financières à la prise de risque et à la performance boursière sur le niveau de risque de l’entreprise. Le travail, essentiellement empirique, s’appuie sur un échantillon d’entreprises américaines issu des bases de données Compustat et Execucomp sur la période 1992-2005. Quatre dimensions du risque de l’entreprise sont successivement abordées. Un premier chapitre se propose de définir de manière exploratoire un lien possible entre les caractéristiques incitatives de la rémunération du dirigeant et le niveau de contrainte de financement auquel l’entreprise fait face. Un deuxième chapitre se propose d’analyser empiriquement l’influence des caractéristiques incitatives de la rémunération du dirigeant sur le risque d’investissement notamment appréhendé par la R&D. Dans un troisième chapitre, nous nous intéressons aux déterminants du niveau d’endettement recherché par l’entreprise. Nous utilisons, pour ce faire, un modèle d’ajustement dynamique. Enfin dans un quatrième et dernier chapitre, nous analysons les déterminants du risque de défaut de l’entreprise mesuré par l’indicateur de distance au défaut. Le résultat essentiel de ce travail doctoral est que les caractéristiques incitatives à la prise de risque ne conduisent le dirigeant à prendre du risque que si, simultanément, la sensibilité de sa rémunération à la valeur créée est suffisante. / The purpose of this work is to analyze the influence of CEO’s compensation package on the risk taking behavior of the firm. We focus on the financial incentives contained in equity based compensation and their interaction. Our sample consists of US firms for the period 1992-2005. The data come from the Compustat and Execucomp databases. The purpose of the first chapter explores the link between CEO’s compensation and the financial constraints of the firm. In a second chapter, we empirically analyze the effect of financial incentives on the risk of investment. We use Research and Development expenses level as a proxy of the risk of investment. In a third chapter, we focus on target debt leverage level determinants using a dynamic adjustment model. In the last chapter we analyze default risk determinants. The main result of this work is that the efficiency of risk incentive is highly dependent of CEO’s performance incentive reaching a given threshold.

Magister Scientiae - MSc / We investigate some simulation-based approaches for the valuing of the employee stock options. The mathematical models that deal with valuation of such options include the work of Jennergren and Naeslund [L.P Jennergren and B. Naeslund, A comment on valuation of executive stock options and the FASB proposal, Accounting Review 68 (1993) 179-183]. They used the Black and Scholes [F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81(1973) 637-659] and extended partial differential equation for an option that includes the early exercise. Some other major relevant works to this mini thesis are Hemmer et al. [T Hemmer, S. Matsunaga and T Shevlin, The influence of risk diversification on the early exercise of employee stock options by executive officers, Journal of Accounting and Economics 21(1) (1996) 45-68] and Baril et al. [C. Baril, L. Betancourt, J. Briggs, Valuing employee stock options under SFAS 123 R using the Black-Scholes-Merton and lattice model approaches, Journal of Accounting Education 25 (1-2) (2007) 88-101]. The underlying assets are studied under the GARCH (generalized autoregressive conditional heteroskedasticity) effects. Particular emphasis is made on the American style employee stock options. / South Africa

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

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

published_or_final_version / Statistics / Master / Master of Philosophy

The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent. / by William Fount Johnson, III. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.

Made available in DSpace on 2016-04-26T20:24:05Z (GMT). No. of bitstreams: 1 Thiago Taborda Simoes.pdf: 1072775 bytes, checksum: f76c11af3345d916bca6e6415f95193e (MD5) Previous issue date: 2015-12-07 / Stock Options are most used to retrain and retain executives and employees. In the United States, rules on the subject have been around since the 40s. In Brazil , Law 6.404/1976 addressed the issue in a superficial way, and only in late 2008 it appeared that the first specific rule on the subject, with the CPC 10 Share-based payment. This work is founded on the oretical analysis and practice of stock options in the relationship between employer and employee, and the consequent taxation or not through social contribution on the payroll and other labor income. To this end, we will hold the construction of the basis for calculating employer contributions, for reasons of technical and historical nature of stock options until reach the framework of the institute on the basis of calculation of employer contributions / Os planos de opção de compra de ações Stock Options Plans são cada vez mais utilizados para remunerar e reter executivos e empregados. Nos Estados Unidos, as regras sobre o tema existem desde os anos 40. No Brasil, a Lei 6.404/1976 abordou o assunto de forma superficial, e somente no final de 2008 é que surgiu a primeira norma específica sobre o assunto, com o Pronunciamento 10 do Comitê de Pronunciamentos Contábeis para pagamento baseado em ações. Este trabalho tem por fundamento a análise teórica e prática das opções de ações na relação entre empregador e empregado, e a consequente tributação ou não por via da contribuição social sobre a folha de salários e demais rendimentos do trabalho. Para tanto, realizaremos a construção da base de cálculo das contribuições patronais, por questões de ordem técnica e histórica das stock options, até chegar ao enquadramento do instituto na base de cálculo dessas referidas contribuições

A versatilidade do mercado de opções o torna atrativo para diversos perfis de investidores. Especuladores e hedgers dispõem de uma grande variedade de estratégias e conseguem modelar uma relação risco-retorno apropriada para o seu perfil de investimento. Operar nesse mercado, no entanto, exige do investidor muito cuidado em suas análises, já que uma operação malsucedida pode ter um efeito muito mais desastroso do que no mercado à vista. Surge, então, o interesse no uso da Análise Gráfica, como uma poderosa ferramenta de reconhecimento de tendências, para a identificação de melhores oportunidades de operação. O objetivo deste estudo foi avaliar a eficiência da aplicação da Análise Gráfica no mercado de opções. A estratégia adotada foi a de realizar operações com opções a partir da Análise Gráfica dos ativos no mercado à vista. Foram estudadas séries históricas das cotações da Petrobras PN (2004 a 2008), Telemar PN (2004 a 2006) e Vale do Rio Doce PNA (2006 a 2008). Foram identificadas 79 oportunidades de operação e seus resultados variaram entre um prejuízo de 95,72% e um lucro de 801,96%. Os resultados sugerem que operar no mercado de opções a partir da Análise Gráfica dos ativos no mercado à vista pode ser uma estratégia muito lucrativa, desde que alguns cuidados fundamentais sejam tomados para amenizar a exposição ao grande risco imposto pelas operações com opções. / The versatility of the options market makes it attractive to investors of various profiles. Speculators and hedgers hold a great variety of strategies and manage to model an appropriate risk-return relationship which fits their investment profile. Nevertheless, in order to trade in this market, an investor must be very careful in his analysis, once an unsuccessful trade might have a much more disastrous effect than in the stock market. It comes to light, then, the interest in the usage of the Technical Analysis as a powerful tool for spotting trends in order to identify the best trade opportunities. The objective of this study was to evaluate the efficiency of the application of the Technical Analysis in the options market. The adopted strategy was to trade options based on the Technical Analysis of its underlying instrument. A variety of historical prices of Petrobras PN (2004 to 2008), Telemar PN (2004 to 2006) and Vale do Rio Doce PNA (2006 to 2008) were studied. Seventy-nine trade opportunities were identified and their results varied from a 95.72% loss to an 801.96% profit. The results suggest that trading in the options market based on the Technical Analysis of its underlying instrument might be a very profitable strategy, provided that some fundamental precautions are taken in order to minimize the exposure to the great risk presented by the options trading.