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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_320788 |
| Date | January 1996 |
| Contributors | Chau, Wing Hang Amy., Tsang, Tsz Hung., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ix, 83 leaves : ill. (some col.) ; 30 cm. |
| Coverage | China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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