published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / abstract / Real Estate and Construction / Doctoral / Doctor of Philosophy

The covered warrant market in the UK has gained in popularity over time since first launched in 2002. This has opened up an alternative investment choice which offers derivative securities with a life of typically one to two years. It seems to fulfill many of the functions of a traded options market. Since most research has been focused on options trading, the investigation on covered warrants trading is still very limited. This is also largely due to the lack of readily available data for end-traded covered warrants and the existing covered warrants. A unique set of hand-collected data, supplemented by public and private data from main covered warrants issuer and the financial database are employed, making this thesis possible. The sample periods can be divided into two separate sets. The UK covered warrants trading during the period July 2004 - December 2006 are used to examine the impact of warrant introduction and expiration on the price, volume and volatility of the underlying securities. For the introduction analyses, both the announcement and listing of covered warrants have negative impacts on the price of underlying securities for both call and put features, though the impact of the announcement is more pronounced than that of the listing. These affects are temporary and do not persist much beyond the introduction of the warrants. Negative price impacts of the expiration event are also reported for both call and put covered warrants. However, this study finds no significant impacts on the volume of underlying securities trading from the announcement, listing and expiration of call and put covered warrants. Further evidence indicates an increase in volatility of the underlying securities during the announcement and listing of covered warrants. The results hold true for both call and put warrants cases. On the other hand, a decreasing stock volatility is found as a consequence of the expiration of both call and put covered warrants. The second data set involves the call covered warrants traded in the UK market between April 2007 and December 2008; this was analysed for evidence of the best appropriate covered warrants pricing model. This study suggests default risk as a major concern for the warrant price which is called the Vulnerable warrant price. The reasons behind this arise from concern about the issuer’s creditworthiness due to traders’ fraudulent action and the recent subprime problem, the difficulties of dynamic hedging by issuers because of market imperfections, as well as the no guarantees on covered warrant trading provided by the London Stock Exchange. The most salient findings of the study are the following. The Vulnerable warrant price is generally lower than both the Black-Scholes price and warrant market price throughout the warrant’s lifetime. The evidence suggests an overvalued warrant price in the UK market. Moreover, the in-the-money warrants indicate a higher rate of default in comparison to the out-of-the-money warrants. An additional finding shows that the market becomes aware of the default risk only on a short-term basis. The presentation of negative abnormal returns of both market and the Black-Sholes prices support the assumption that default risk is a relevant factor in pricing the UK covered warrants. These findings add to the literature dealing with the effect of derivatives trading on the underlying securities as well as providing more empirical evidence on a particular covered warrant market. This could be of interest not only for practitioners to widen their investment opportunities but also for regulators to have this as a guideline for their future related policies planning.

Os estudos sobre a diversidade cultural na Organização do Conhecimento estão imbricados na temática do local/global. Em uma sociedade da informação globalizada, aspectos culturais e éticos adquirem grande relevância nas discussões sobre as implicações da utilização de sistemas de organização do conhecimento em escala global/local. Enquanto produtos culturais, os sistemas de organização do conhecimento expressam valores, que podem ser analisados do ponto de vista das garantias sobre as quais tais sistemas se constituem. As garantias estão sempre presentes em sistemas de organização o conhecimento, embora nem sempre sejam aplicadas de modo consciente e sistemático, ou mesmo apresentadas de modo transparente para os usuários dos sistemas. Desse modo, o objetivo desta pesquisa é analisar o conceito de garantias como ferramenta teórico-metodológica que, em suas diversas formas, pode contribuir para a incorporação da diversidade cultural às práticas da Organização do Conhecimento. Parte da hipótese de que formas de garantias estão sendo desenvolvidas e/ou reformuladas para permitir a elaboração de sistemas organização do conhecimento que incorporem a diversidade cultural como valor ético. Discute os conceitos de cultura, diversidade cultural, globalização e sociedade da informação como elementos-chave em estudos voltados para as dimensões cultural e ética da Organização do Conhecimento. Discute os pressupostos teóricos dos conceitos de garantia, garantia literária, garantia cultural e garantia ética. Identifica demais formas de garantias propostas na literatura da área para verificar o contexto de uso das garantias, a precisão conceitual dos termos e identificar suas possíveis inter-relações por meio da análise de artigos publicados em periódicos acadêmicos e da construção de um glossário com os termos identificados. Verifica que as discussões de conceitos já estabelecidos, como os de garantia cultural e garantia do usuário, e a formulação de outras garantias, tais como a garantia autopoiética ou a garantia do ponto de vista podem ser relacionadas à incorporação da diversidade cultural às práticas da Organização do Conhecimento. / Research about cultural diversity in Knowledge Organization is connected to the theme local/global. In a globalized information society, cultural and ethical aspects come to the fore in discussions about the implications of using knowledge organization systems in a global/local scale. As cultural products, knowledge organization systems embody values which can be analyzed from the standpoint of the warrants on which they are based. Warrants are always present in knowledge organization systems, even though they are not always applied consistently and systematically, or even made transparent to the users of such systems. Thus, the objective of this research is to analyze the concept of warrants as a theoretical and methodological tool which, in its various forms, may contribute to the integration of cultural diversity to knowledge organization practice. The research is based on the hypothesis that forms of warrant are being developed and/or reconceptualized to allow for the design of knowledge organization systems in which cultural diversity is integrated as an ethical value. It discusses the concepts of culture, cultural diversity, globalization and information society as key elements in research about the ethical and cultural dimensions of Knowledge Organization. It discusses the theoretical framework of the concepts of warrant, literary warrant, cultural warrant and ethical warrant. It identifies other forms of warrant in the literature to analyze their context of use, their conceptual accuracy and potential inter-relations through a survey of the terms in conceptual papers to write a glossary. It was noted that research about more established concepts, such as cultural warrant and user warrant, and the development of other warrants, such as autopoietic warrant or viewpoint warrant are related to the integration of cultural diversity in knowledge organization practice.

by Lui Man-wai, Erik, Szeto Fong-wa, Jenny. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 35-37). / ABSTRACT --- p.i / ACKNOWLEDGEMENT --- p.ii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- BACKGROUND OF THE HK WARRANTS MARKET --- p.2 / Chapter III. --- LITERATURE REVIEW --- p.6 / Chapter IV. --- METHODOLOGY --- p.11 / Data --- p.14 / Chapter V. --- EMPIRICAL RESULTS --- p.19 / Price Effect --- p.19 / Excess Return --- p.19 / Variance --- p.20 / Beta --- p.25 / Trading Volume --- p.26 / Chapter VI. --- CONCLUSIONS --- p.28 / Recommendations --- p.30 / APPENDIX --- p.34 / REFERENCES --- p.35

by Chan Man Kam, Chung Kwai Ying, Fung Po Hei. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1990. / Bibliography: leaf 52. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Justification of the research --- p.1 / Research Objectives --- p.3 / Chapter II. --- METHODOLOGY --- p.5 / Data Source --- p.5 / Models --- p.7 / Model 1-Simplified Kassouf Model --- p.8 / Model 2 -Shelton Model --- p.10 / Model 3-Black-Scholes Model --- p.13 / Testing Methods --- p.16 / Objectives --- p.16 / Test of accuracy --- p.17 / Rank Test --- p.19 / Chapter III. --- RESULTS & FINDINGS --- p.22 / Estimating the Shelton Model --- p.22 / Estimation of Shelton Model --- p.22 / The validity of model --- p.26 / Overestimation or underestimation --- p.31 / Mean Error vs. Mean Absolute Error --- p.32 / Ranking of the models --- p.33 / Sensitivity Analysis --- p.37 / Simplified Kassouf Model --- p.38 / Shelton Model --- p.39 / Black-Scholes Model --- p.42 / Elasticity of warrant price --- p.43 / Warrants issued by the same company --- p.44 / Chapter IV. --- CONCLUSION --- p.46 / Chapter V. --- LIMITATION OF MODELS & FUTURE RESEARCH --- p.48 / APPENDICES --- p.50 / BIBLIOGRAPHY --- p.52

by Matthew Bailey Greenberg, Ng Hin Wah. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 61-62). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CONVERTIBLE BONDS AND WARRANTS --- p.3 / ConvertIBle Bonds --- p.3 / Value At Maturity --- p.5 / Value Before Maturity --- p.6 / Warrants --- p.8 / The Difference Between Convertible Bonds and Warrants --- p.11 / Considerations of Issuing Convertibles and Bond with Warrants --- p.13 / Valuation of Convertible Bond --- p.15 / Valuation of Warrants --- p.18 / Chapter III. --- CALLABLE BONDS --- p.20 / Performance Characteristics of Callable Bonds --- p.21 / Valuation of a Two-year Callable Bond with the Salomon Brothers Model --- p.22 / Valuation of a Three-year Callable Bond with the Salomon Brothers Model --- p.25 / Step1: Determination of ru and rd --- p.27 / "Step 2: Determination of ruu, rud and rdd " --- p.28 / "Black, Derman & Toy Model (BDT) " --- p.30 / Step 1: Determination of ru and rd --- p.31 / "Step 2: Determination of ruu, rud and rdd " --- p.32 / Chapter IV. --- SINKING-FUND BONDS --- p.37 / Advantages for the Investor --- p.38 / Disadvantages for the Investor --- p.38 / Methods Used by Issuers for Early Bond Redemption --- p.39 / Valuation of Non-callable Sinking Fund Bonds --- p.40 / Valuation of Callable Sinking Fund Bond --- p.45 / Chapter V. --- VALUATION OF A CALLABLE BOND BY A COMPUTERIZED PROGRAM… --- p.47 / System requirements --- p.48 / Opening the program file --- p.48 / Manual for using the program --- p.48 / Construction of Interest Rate Tree --- p.48 / Valuation of a Callable Bond --- p.50 / APPENDIX --- p.55 / BIBLIOGRAPHY --- p.61

Os estudos sobre a diversidade cultural na Organização do Conhecimento estão imbricados na temática do local/global. Em uma sociedade da informação globalizada, aspectos culturais e éticos adquirem grande relevância nas discussões sobre as implicações da utilização de sistemas de organização do conhecimento em escala global/local. Enquanto produtos culturais, os sistemas de organização do conhecimento expressam valores, que podem ser analisados do ponto de vista das garantias sobre as quais tais sistemas se constituem. As garantias estão sempre presentes em sistemas de organização o conhecimento, embora nem sempre sejam aplicadas de modo consciente e sistemático, ou mesmo apresentadas de modo transparente para os usuários dos sistemas. Desse modo, o objetivo desta pesquisa é analisar o conceito de garantias como ferramenta teórico-metodológica que, em suas diversas formas, pode contribuir para a incorporação da diversidade cultural às práticas da Organização do Conhecimento. Parte da hipótese de que formas de garantias estão sendo desenvolvidas e/ou reformuladas para permitir a elaboração de sistemas organização do conhecimento que incorporem a diversidade cultural como valor ético. Discute os conceitos de cultura, diversidade cultural, globalização e sociedade da informação como elementos-chave em estudos voltados para as dimensões cultural e ética da Organização do Conhecimento. Discute os pressupostos teóricos dos conceitos de garantia, garantia literária, garantia cultural e garantia ética. Identifica demais formas de garantias propostas na literatura da área para verificar o contexto de uso das garantias, a precisão conceitual dos termos e identificar suas possíveis inter-relações por meio da análise de artigos publicados em periódicos acadêmicos e da construção de um glossário com os termos identificados. Verifica que as discussões de conceitos já estabelecidos, como os de garantia cultural e garantia do usuário, e a formulação de outras garantias, tais como a garantia autopoiética ou a garantia do ponto de vista podem ser relacionadas à incorporação da diversidade cultural às práticas da Organização do Conhecimento. / Research about cultural diversity in Knowledge Organization is connected to the theme local/global. In a globalized information society, cultural and ethical aspects come to the fore in discussions about the implications of using knowledge organization systems in a global/local scale. As cultural products, knowledge organization systems embody values which can be analyzed from the standpoint of the warrants on which they are based. Warrants are always present in knowledge organization systems, even though they are not always applied consistently and systematically, or even made transparent to the users of such systems. Thus, the objective of this research is to analyze the concept of warrants as a theoretical and methodological tool which, in its various forms, may contribute to the integration of cultural diversity to knowledge organization practice. The research is based on the hypothesis that forms of warrant are being developed and/or reconceptualized to allow for the design of knowledge organization systems in which cultural diversity is integrated as an ethical value. It discusses the concepts of culture, cultural diversity, globalization and information society as key elements in research about the ethical and cultural dimensions of Knowledge Organization. It discusses the theoretical framework of the concepts of warrant, literary warrant, cultural warrant and ethical warrant. It identifies other forms of warrant in the literature to analyze their context of use, their conceptual accuracy and potential inter-relations through a survey of the terms in conceptual papers to write a glossary. It was noted that research about more established concepts, such as cultural warrant and user warrant, and the development of other warrants, such as autopoietic warrant or viewpoint warrant are related to the integration of cultural diversity in knowledge organization practice.

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.

This paper studies the influence on the Japanese stock (cash and futures) markets of the Nikkei put warrants which were traded in Toronto and New York from February 1989 to April 1993. Implied changes in the Japanese prices based on the previous days’ North American warrant prices are compared to the actual price changes. Special attention is placed on the period from January 1990 to August 1992 when the Japanese stock market had a major decline.