The proposed thesis comprises three essays on the design of financial securities in the presence of frictions. The first essay develops a dynamic model of the impact of security designs on investment behavior and examines the adverse incentives created by debt and by equity when information is ex ante symmetric, inside agents cannot engage in perquisite consumption, and when there are no corporate taxes. A dynamic precommitment equilibrium is constructed and the choice between using risky debt and equity to raise capital is investigated. The second essay extends the above dynamic precommitment equilibrium approach to examine the behavior of the term structure of risky debt and characterizes the agency cost of adverse incentives as a spread. Assuming a fixed economic life of assets, the optimal maturity for debt is then investigated. The third essay develops a general equilibrium stochastic volatility framework and seeks to understand the structure of volatility risk. With a notion to develop tools to manage such risk, it considers the proper specification of the volatility of stocks, and the valuation of options written directly on this volatility.

Thesis (doctoral)--Friedrich-Alexander-Universität zu Erlangen.

Thesis (Ph. D.)--University of Florida, 1984. / Description based on print version record. Typescript. Vita. Includes bibliographical references (leaves 139-144).

M.Comm. / Securitisation and asset-backed securities are established lending and investment concepts internationally. It changed the manner in which lending is facilitated and the funding of banks and finance entities other than banks are managed, thereby transforming lending into packaged tradeable debt paper in which investors invest directly. Capital requirements introduced on banks worldwide by the Bank of International Settlements created pressure on margins, which led to banks finding ways through financial engineering in substituting margin income with fee income to better manage their balance sheets and minimum capital requirements for the purpose of capital adequacy. South African Banks are characterised by high infrastructure costs compared with international banks, where technology has been utilised in optimising operating logistics. Foreign banks operate on much narrower margins and are reentering the South African economy which creates an element of threat to South African banks. This creates the need for more innovative funding strategies for both South African banks and finance entities that operate in the grey market in improving competitiveness. Securitisation and asset-backed securities offers this potential, but is underdeveloped in South Africa due to bank legislation and legislation pertaining to tradeable debt paper being derived from the commercial paper and debenture schedule. Only two securitisation and asset-backed security issues have been conducted in South Africa, which creates questions as to why securitisation and asset-backed securities are not actively being practised and, if there is potential for securitisation and asset-backed securities to evolve and be practised by banks and financiers, what prevents it from being developed as seen internationally? The objective of the study is to explain the mechanics of securitisation and assetbacked securities, what the developments in South Africa have been, what the problems are in South Africa, relating to securitisation and asset-backed securities, and how these problems could be alleviated based on recent developments internationally. The study is one of literature and discussions held with professional people.

No description available.

Hu Jun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 52-55). / Abstracts in English and Chinese ; appendix also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.2 / Chapter 2.1 --- The Development of China Capital Markets --- p.2 / Chapter 2.2 --- Comparison of Different Methods of Additional Financing --- p.4 / Chapter 2.3 --- Seasoned Equity Offering (SEO) in China --- p.6 / Chapter 3 --- Literature Review --- p.8 / Chapter 3.1 --- Literature on Price Effect of New Equity Offering Announcements --- p.8 / Chapter 3.1.1 --- Information Hypotheses --- p.8 / Chapter 3.1.2 --- Leverage-Related Capital Structure Hypotheses --- p.10 / Chapter 3.1.3 --- Price Pressure Hypothesis --- p.11 / Chapter 3.2 --- Literature Related to Operating Performance of Firms Conducting New Equity Issues --- p.12 / Chapter 4 --- Data --- p.14 / Chapter 5 --- Price Effect of Seasoned Equity Offering --- p.16 / Chapter 5.1 --- Methodology --- p.16 / Chapter 5.2 --- Results --- p.19 / Chapter 5.2.1 --- Announcement Day Effect --- p.19 / Chapter 5.2.2 --- Issue Size and Announcement Day Price Effect --- p.22 / Chapter 5.2.3 --- Cumulative Abnormal Return (CAR) Surrounding Announcement Day --- p.25 / Chapter 5.2.4 --- After Market Effect --- p.31 / Chapter 6 --- Operating Performance of SEO Firms --- p.34 / Chapter 7 --- Determinants of SEO Decision --- p.41 / Chapter 7.1 --- Financial Slack and SEO Decision --- p.41 / Chapter 7.2 --- Ratio of Floating Shares and SEO Decision --- p.44 / Chapter 8 --- Conclusion --- p.47 / Chapter 8.1 --- Summary --- p.47 / Chapter 8.2 --- Suggestion --- p.49 / Reference --- p.52 / Appendix A A Case Study On Seasoned Equity Offering --- p.56 / Appendix B Policies Related to Seasoned Equity Offering (Original Chinese Version) --- p.61

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2009. / Includes bibliographical references (p. 55-57).

Thesis (Ph. D.)--University of Hong Kong, 2010. / Includes bibliographical references (p. 73-75). Also available in print.

This dissertation comprises three essays that study three distinct derivative contracts. The first essay proves, in a model-free framework, that early exercise of futures-style options on futures, whether calls or puts, is suboptimal. The result is robust to transaction costs, liquidity constraints and collateral requirements. Assuming a frictionless market, three additional model-free results are obtained: (i) put-call parity, (ii) equality of time values of puts and calls with the same strike and expiration, and (iii) positivity of time value before expiration. The second essay develops a new invoice price formula for Treasury bond futures contracts as a more effective alternative to the current conversion factor system. The equilibrium "cheapest to deliver" and futures price at expiration are identified. The empirical part of the essay documents that the new function dramatically improves the ability of the futures invoice price to approximate the market prices of the corresponding deliverable bonds. The third essay offers a regression-based empirical study of the determinants of credit default swap premia. Leverage, volatility and interest rates are found to account for a large percentage of the variation of premia. A principal components analysis of the regression residuals finds no evidence of a missing factor. The results achieved for credit default premia more closely corroborate structural models of credit risk than those obtained by Collin-Dufresne et al. (2001) for corporate bond yield spreads.

Thesis (Ph. D.)--University of New South Wales, 2000. / Also available online.