Syfte: Denna studie avser att undersöka vilka som är de huvudsakliga problemen och riskerna med teckningsoptioner för de anställda och företagen, samt eventuella åtgärder för att öka användbarheten.   Teori: Studien utgår från teorier som kopplas till teckningsoptioner. De teorierna som tillämpas är belöningssystem, optionsprogram, optionsteori, Black-Scholes-modellen, företagsvärdering och principal-agent-teori. Metod: Denna studie utgår från ett kvalitativt angreppssätt och den metod som tillämpas är semistrukturerade intervjuer. Åtta personer som har kompetens inom optionsprogram och/- eller använder teckningsoptioner är respondenter i denna studie. Empiri: Samtliga respondenter kunde nämna olika fördelar med teckningsoptioner och majoriteten anser att det är ett bra och flexibelt instrument. Ett flertal problem och risker belystes och det är problem och risker som drabbar den anställde, företaget eller båda parter. För den anställde handlar det framförallt om att optionerna förfaller värdelösa och att det är problematiskt att finansiera köpet. För företaget krävs det mycket administration och kostnader för att utforma optionsprogrammet. Även ett flertal åtgärder för samtliga risker och problem berördes för att kunna öka användbarheten.   Slutsats: Teckningsoptioner är ett lämpligt instrument men det kan medfölja många risker som bör beaktas och medvetenheten om dem bör vara större. Genom att öka medvetenheten om riskerna ökar chanserna för att kunna minimera dem i tid. / Purpose: This study aims to investigate the main problems and risks of stock warrants for employees and companies and potentially the measures that may increase the usability. Theory: The study is based on theories related to stock warrants as incentive scheme: reward system, option theory, Black-Scholes model, company valuation and principal-agent theory. Method: This study will be based on a qualitative approach through eight semi-structured interviews with people who have expertise in stock warrants and/or use stock warrants as incentive schemes.  Empirics: All respondents could mention various advantages of stock warrants and the majority consider it to be a good and flexible tool to use. A number of problems and risks were highlighted, as well as problems and risks that affect the employee, the company or both parts. For the employees, it is primarily about that the stock warrants expire worthless and it is problematic to finance the purchase. The companies require a lot of administration and it involves large costs to design the incentive schemes. The respondents did also mention some measures to increase the usability of incentive schemes.     Conclusion: Stock warrants are a good instrument but it may entail many problems and risks that should be considered, and the awareness of them should be greater. If the awareness of the risks increases, then the bigger the chances gets to minimize them in time.

Over 22 billion derivative contracts were traded on different stock exchanges globally during the year 2010 of which almost 50% were futures while the remaining 50% were options. An overall 25% increase in such contracts was registered as compared to those traded in the year 2009 (International Options Market Association (IOMA) Report, 2011).Investors often use a wide array of trading tools, market indicators and market trading strategies to get the best possible returns for the money that was invested. The main objective of this paper is to focus on the use of market sentiment indicators, specifically the Put-Call Ratio (PCR) as a predictor of returns for an investor.The Put-Call Ratio is defined as a ratio of the trading volume of put options to call options. It is called a sentiment indicator because it measures the “feelings” of option traders. Additionally, it has longed been viewed as an indicator of investors’ sentiment in the market (Put-Call Ratio, 2012) and is possibly the most favoured description of market psychology (James, 2011). / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Public safety is negatively affected when arrest warrant information is not available to law enforcement officers, judges, prosecutors, and other criminal justice practitioners. The U.S. Government and the criminal justice community have advocated for electronic warrant systems (e-warrants). Peace officers know that when e-warrant systems deliver warrant information to them immediately from multiple jurisdictions, their safety is increased. However, the factors that cause these e-warrants systems to improve safety are not known. The purpose of this historical data analysis study was to determine if the use of e-warrant systems resulted in shorter clearance times than the use of legacy paper-based systems. Stakeholder theory, open systems theory, and service-oriented architecture theory were used to guide the quantitative research design. This study compared 2 years of historical arrest warrants from 6 sheriffs' departments organized into population matched sets. Two-way ANOVA tests and nonparametric tests were conducted to analyze the impact of the independent variables warrant system type and case type on the dependent variables mean service days and percent warrants served. The study showed that operating e-warrant systems in similar size sample agencies did not ensure shorter mean service days and higher percent warrants served over legacy systems, and it confirmed that more research is needed to determine other factors that will lead to an improvement in these variables. The findings of this study may assist agency executives and justice practitioners to identify other variables that may increase effectiveness of e-warrant systems, thereby improving public and officer safety, both important social benefits.

Before 1994 criminal procedure was subject to the sovereignty of Parliament and the untrammelled law enforcement powers of the executive which resulted in the authoritarian and oppressive criminal justice system of the apartheid era. The Constitution, Act 108 of 1996 has since created a democratic state based on the values of the supremacy of the Constitution and the rule of law. The basic principles of criminal procedure are now constitutionalised in the Bill of Rights. The Bill of Rights protects the fundamental rights of individuals when they come into contact with organs of the state which includes the police. The Criminal Procedure Act 51 of 1977 authorises the police to search for and to seize articles, and has long provided the only legal basis for obtaining warrants to search for and to seize articles and for performing such actions without a warrant in certain circumstances. Generally the standard for these measures and actions taken under their purview has been one of reasonableness. Since the birth of the Constitution there has been additional constraints on search and seizure powers. Not only are there now constitutionalised standards by which such legal powers are to be measured, but there is also the possibility of excluding evidence obtained in course of a violation of a constitutional right. The provisions of the Criminal Procedure Act are now qualified by the Constitution. Where feasible a system of prior judicial authorisation in the form of a valid search warrant obtained on sworn information establishing reasonable grounds is a precondition for a valid search or seizure. Search and seizure without a warrant is permitted only in exceptional circumstances such as an immediate threat to person or property. By prohibiting unreasonable searches and seizures the Constitution places important limits on police efforts to detect and investigate crime. The Constitution appreciates the need for legitimate law enforcement activity. / Criminal and Procedural Law / LL.M.

Before 1994 criminal procedure was subject to the sovereignty of Parliament and the untrammelled law enforcement powers of the executive which resulted in the authoritarian and oppressive criminal justice system of the apartheid era. The Constitution, Act 108 of 1996 has since created a democratic state based on the values of the supremacy of the Constitution and the rule of law. The basic principles of criminal procedure are now constitutionalised in the Bill of Rights. The Bill of Rights protects the fundamental rights of individuals when they come into contact with organs of the state which includes the police. The Criminal Procedure Act 51 of 1977 authorises the police to search for and to seize articles, and has long provided the only legal basis for obtaining warrants to search for and to seize articles and for performing such actions without a warrant in certain circumstances. Generally the standard for these measures and actions taken under their purview has been one of reasonableness. Since the birth of the Constitution there has been additional constraints on search and seizure powers. Not only are there now constitutionalised standards by which such legal powers are to be measured, but there is also the possibility of excluding evidence obtained in course of a violation of a constitutional right. The provisions of the Criminal Procedure Act are now qualified by the Constitution. Where feasible a system of prior judicial authorisation in the form of a valid search warrant obtained on sworn information establishing reasonable grounds is a precondition for a valid search or seizure. Search and seizure without a warrant is permitted only in exceptional circumstances such as an immediate threat to person or property. By prohibiting unreasonable searches and seizures the Constitution places important limits on police efforts to detect and investigate crime. The Constitution appreciates the need for legitimate law enforcement activity. / Criminal and Procedural Law / LL.M.

published_or_final_version / Business Administration / Master / Master of Business Administration

認購權證已在台灣發行與交易已接近七年的歷史，提供了更多套利、投機與避險交易的機會給市場參與者，也同時增加資本市場之完整性。而由於認購權證提供持有者在一段期間內依照特定價格購買特定數量標的股票之權利，投資人可以根據其意願與看法於到期日前來決定是否進行履約。而權證投資人購買權證之權利金即是包含內含價值與投資人願意支付的時間價值兩部分。時間價值的多寡反應出投資人對於未來權證履約價格是否可以無限增加的看法。而在其他條件不變之下，距到期時間越久之權證的價值應是越高。不過，是否時間越接近到期日時，投資人對於時間價值的看法就會呈現單純線性下降的狀態，還是另外有其他的資訊內涵會影響投資人對於價值的看法，即為本研究所欲探討之主題。 本研究針對台灣市場中個股型認購權證不同時點之時間價值變化程度，與可能影響時間價值變化的因素進行分析，其研究結果如下： 1.研究樣本並非完全符合越接近到期日時間價值減少的現象越明顯的狀態，顯示時間價值的變化隱含著會有其他之因素影響投資願意支付金額的多寡。且部分權證的確曾發生短期內時間價值大幅衰減的現象。 2.權證之價內外程度、距到期日之遠近、相對交易量的多寡與標的股票是否為電子業，對時間價值減少均有顯著的影響。另外，距到期日之天數、權證相對成交量、標的股票所屬產業與市場是否處於多頭與否均顯著影響短期內發生時間價值大幅衰退之現象。 3.本研究發現目前無法利用權證發行條件的差異，來判斷此權證是否會在存續期間當中發生時間價值急速衰退的現象。 / Warrants has been traded in Taiwan for seven years, and provides more opportunities for participants to arbitrage, hedge and speculate in capital market. Warrant gives holders the right to buy stocks at certain price during a period of time. The premium (price) to long warrants is contained intrinsic value and time value. Other things being equal, the longer the time to expiration day, the higher the value of warrants, since there is larger probability for investors to get more return. However, would any other terms expect time to expiration affect the variations of time value, or if we can find some variables could provide other content of information and result the change of time value. This is what the study focus on. Followings are the results of this study: 1. There are not all thetas of warrants in this sample decreasing simply by the time to expiration. It seems to be other variables would cause the change of theta. Besides, some warrants had serious time-decay in a short period of time. 2. Intrinsic value, time to expiration, trading volume, whether underlying stock in electronic industry or not and the market condition all have obvious effects on decrease of time value and serious time-decay. 3. It is still impossible to use issue information to identify if this warrant will have time-decay in its life.

本研究主要以“市場效率性”與“套利機會”之概念出發，並使用類似於“日內事件研究(Intraday event-study)”的方式，觀察標的股票漲停後，認購權證市場在各種特定時間內的情況。希望探討(1) 標的股票漲停後，是否其相對應之認購權證亦同時漲停或達到最高點？(2) 標的股票漲停這一事件，認購權證市場是否有利可圖、是否具有套利之機會？(3) 最後並以Logistic迴歸模式，檢定影響標的股票漲停後，認購權證亦漲停之主要因素，完成此研究。而其中，在時間落差與套利利潤的這前兩項研究當中，本文將資料加以分類，將認購權證價格資料分為 “標的股票漲停後，當日所有時間內”、“標的股票漲停後，一小時內”、“標的股票漲停後，兩小時內”以及“標的股票漲停後，市場即將收盤”等四類加以研究。研究結果如下： 1.無論是在價內、價外或接近價平的認購權證當中，標的股票漲停時間與 認購權證最高價(包括漲停價)之時間差皆相當顯著，顯示標的股票市場 與認購權證市場之間價格資訊之傳遞，具有一定顯著性的落差，效率市 場假說並不成立、認購權證市場對於漲停之正面消息的反應顯著落後於 標的股票市場平均約25分鐘。 2.標的股票漲停後，以此漲停作為一事件並操作“在標的股票漲停時，賣 出標的股票並同時買進相同金額、相對應之權證，且在權證達最高價時 將權證賣出並買入股票還券”之策略的投資者，平均大約可以獲得0.6% ~1.3%的套利利潤。 3.將標的股票漲停後認購權證亦漲停之樣本挑出做檢定，其研究結果顯 示，標的股票漲停與認購權證漲停之時間具有相當大的顯著落差。但 在套利利潤的檢定方面，所有對“標的股票漲停、認購權證亦漲停” 之證券操作套利策略之結果，其所得利潤卻皆為0。探究其原因，標的 股票漲停到認購權證漲停這一段時間內，持有此類型(會漲停)證券的投 資者，皆不會將證券賣出，第一筆可以買到的權證就是權證的漲停價 格，故使得套利策略無法執行，無法取得套利利潤。 4.Logistic迴歸模式之結果： (1) 槓桿比率越高的權證由於其認購權證價格相對於其標的股票顯得低了 很多，故使這類權證越容易在標的股票漲停後，達到漲停。 (2) 相較於價外的認購權證，處於接近價平的認購權證較易吸引投資人， 故使這類權證較價外之權證容易在標的股票漲停後，達到漲停。 (3) 一項足以使標的股票市場漲停的正面消息釋出後，相較於大型券商， 小型券商所發行的認購權證較容易在標的股票漲停後，達到漲停。 (4) 由於重設型權證具有重設的特性，使這類認購權證相較於一般型的認 購權證，更容易貼近於其履約價、更接近於價平，故這類的權證相較 於一般權證更容易在標的股票漲停後，達到漲停。 由於以上所述四類特性之權證，雖然其“時間落差”的檢定結果是顯 著的，但在標的股票漲停與權證漲停這一段落差時間內，卻因無法購 得權證而獲得套利利潤，故在操作套利策略時，應將這類權證加以摒 除。

本研究論述分為兩大部份，均是以實務上之動態避險並以DELTA NEUTRAL為分析上之比較基礎，第一個部分是以認購權證發行商角度出發，考量發行實論述務架構、避險成本、交易成本，進而說明發行商造市及避險之損益結構及其關鍵因子，並以商品實例，分別使用模擬的資料、歷史回溯資料、發行後真實資料，配合不同的避險策略方法以量化方法來分析發行商損益及其風險。 另一部份則探討結構型商品，結構型商品在銷售上即對行銷通路付出通路手續費支出，發行後勿需有如認購權證之次級市場造市交易問題，因此在發行商損益上觀察，交易報價即反映了預期利潤與風險的對價或承擔，並以商品實例，藉以歷史資料基礎來估計分析模型之參數風險，並說明理論定價其值本為分配而非一固定數之本質，再者又取『發行商稅後損益佔期初理論利潤之比例』來作為衡量避險（複製商品之報償（PAYOFF））效率之指標，進一步論述發行商作交價報價時需充份考慮其本身之實際避險能力（即複製選擇權之成本），以免高估本身獲利能力而低報商品報價。 本文另從券商風險管理角度而言，建議以上兩項業務均可以設定商品標的之評價波動率等參數之計算準則，來區隔交易員避險操作使用之避險波動率等參數，並以DELTA NEUTRAL及上述評價參數為基礎來求算應避險金額，以利與實際避險金額作比較，了解商品操作其超缺避情況是否有逾發行商內外規規定，以此來落實執行證券商商品操作風險管理。 本論文最重要結論是具體建議並提出發行商對所發行商品標的之篩選及避險策略等之系統性評估方法，並對商品發行前及發行後之評估所用之研究方法作詳細說明，對發行商而言其重點為了解此系統性評估方法，並利用電腦化在每次發行前作此研究，可作為標的是否適合發行之考量參考，及交易員之發行前指導及情境分析使用，以提昇操作上對市況變化之因應敏感度，發行後也可以交易員其操作實際損益來比較是否有優於本文所論述之程式性交易結果，以作為判別交易員表績效表現參考，並作為該商品在未來再發行時，其交易操作方法提昇之參考。

就現階段的企業經營型態而言，專業人才的良窳以及培育訓練可能遠勝於公司有形資產的多寡，這種情形在高科技產業尤其明顯。企業為了留住優秀人才，必須提供許多激勵措施。就我國企業而言，最普遍的激勵措施是員工分紅配股制度。然而，在此制度下，容易產生員工短視近利的缺失。歐美等國較常採行所謂的股票選擇權制度，由於此種制度具有激勵未來的特性，屬於「長期的激勵因子」，更能使員工與股東的利益趨於一致。因此，財政部為順應高科技產業的需求，於民國八十九年准許上市公司實施員工股票選擇權制度，此制度開放後，勢必影響到我國企業對於員工長短期激勵誘因的最適決策。 　本文的主要目的在於利用訊息理論中的「代理模型」，探討股東與員工雙方在「訊息不對稱」下，股東如何設計最適的員工激勵契約。站在股東極大化期望財富的立場，建構一套綜合現金、股票以及股票選擇權的理論模型，並經由模型運算推演，試圖達到下列的研究目的：(1) 在長短期激勵誘因契約下，分別推導出最適員工誘因強度、最適基本薪資以及最適員工努力水準；(2) 比較長短期激勵誘因的最適員工努力水準，驗證股票選擇權制度是否具有提高員工努力程度的激勵效果；(3) 站在股東與員工各自追求期望財富極大化的立場，探討雙方對長短期誘因制度的偏好。 　經由模型分析，可得到以下幾點結論：(1) 員工努力程度不受長短期激勵誘因的影響，股票選擇權的作用或許只在於留住人才以及加深員工對公司的忠誠度；(2) 股東在擬定最適長短期激勵誘因強度時，必須考量公司股本大小、員工對風險的趨避態度、努力投入的成本係數以及景氣波動對公司未來收益的影響；(3) 影響員工最適認股權證比率的大小，除了上述提到的因素外，還包括認股權證的避險比率，股東可以藉由觀察公司股價的高低，以協助長短期激勵誘因的決策擬定；(4) 股東與員工基於期望財富極大化的立場，對於長短期誘因契約的偏好會產生利益不一致的現象，雙方面臨的是一場無法達到雙贏局面的零合遊戲。