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Chu, Kut-leung. "The CEV model : estimation and option pricing /". Click to view the E-thesis via HKUTO, 1999. http://sunzi.lib.hku.hk/hkuto/record/B4257500X.
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Beyer, Scott B. "Recovering jump risk and diffusion parameters implied by market prices of short-dated options /". free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p3099610.
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Lam, Yue-kwong. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /". Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18003515.
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Yiu, Fan-lai. "Applicability of various option pricing models in Hong Kong warrants market /". [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570493.
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Ko, Chi-keung Anthony. "A preliminary study of Hong Kong warrants using the Black-Scholesoption pricing model /". [Hong Kong] : University of Hong Kong, 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12316726.
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Chen, Kwok-wang. "Evaluation of market efficiency of stock options in Hong Kong /". Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18837372.
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Lee, Hongbok. "Issuance and calls of preferred stock /". free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3074420.
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Sun, Jia. "Models of executive stock options". Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49189/.
Testo completoAbstract (sommario):
This thesis presents novel utility indifference models to solve versions of problems faced by the executives compensated with periodical option grants in practice. Chapter 2 provides a comprehensive analysis of a single executive stock option (ESO). A closed-form solution to the exercise threshold instantaneously before maturity is obtained, and the leading driver of the slope of the exercise thresholds close to and far from maturity is identified. This Chapter forms the foundation for further investigation of more complex problems in later Chapters. Chapter 3 investigates the optimal exercise of a portfolio of ESOs with different strikes and maturities. This problem is particularly faced by the executives who receive option grants annually and over time cumulate a portfolio of options with different characteristics. We show that the optimal exercise order can switch endogenously, and the timing of this switch can change the exercise thresholds for a particular option and/or all options relative to a stand-alone basis, depending on their strikes and maturities. This makes the value and cost of the option portfolio lower than the sum of the values and costs for each individual option on a standalone basis. Therefore, one of the implications from Chapter 3 is that it can produce a more accurate method for valuing and accounting for a portfolio of ESOs. Furthermore, the empirical literature suggests that the Executive Stock Option Plans (ESOPs) are often into multi-year plans, and thus Chapter 4 considers the problem for an executive who anticipates receiving a new option grant in the future and has taken it into account as part of his portfolio. Since the future options are granted at-the-money, the strike price is stochastic ex ante. We show that the future option with a stochastic strike price can significantly affect the exercise strategy of the executive’s existing options, and thus change the cost of the existing options and the overall portfolio. Therefore, Chapter 4 can provide a method to recognise the cost of multi-year ESOPs. Lastly, another problem arising from granting ESOs periodically is that the executive can purposely time his new option grant in order to maximise the value of his option compensation. Since this issue has been well suggested by the empirical literature, Chapter 5 investigates this problem theoretically in the utility framework. Our model can identify the maximum benefit for the executive of timing his option awards and the cost of this to the firm. Our results are quite consistent with the empirical findings.
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Chu, Kut-leung, e 朱吉樑. "The CEV model: estimation and optionpricing". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B4257500X.
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Lu, Xiaolong, e 盧曉瓏. "Analysts, options trading and equity short selling". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206666.
Testo completoAbstract (sommario):
This dissertation consists of two empirical essays on the interactions among three financial markets, namely, the stock market, the options market, and the equity lending market.
In the first essay, we study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns.
In the second essay, we examine the relationship between put options and short sales. We are able to separate the speculative demand of informed traders from the hedging demand of options market makers in the lending market. We find that the put option bid-ask spread and put option trading volume both increase with the equity lending fee. However, we also find that put option trading volume decreases with the lending fee for banned stocks during the 2008 Short-Sale Ban period, i.e., when only options market makers can short. These findings suggest that when informed traders are allowed to short, their speculative demand dominates and drives the substitution that is observed between the two financial instruments. Nevertheless, the “complementarity” of these financial instruments might prevail when options market makers significantly reduce the supply of put options because of high hedging costs.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Vasquez, Aurelio. "Asset pricing in the stock and options markets". Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=97025.
Testo completoAbstract (sommario):
This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns.Cette thèse se compose de trois essais qui analysent l'évaluation d'actifs dans le marché boursier et le marché d'options. Le premier essai trouve une relation positive entre la pente de la surface de volatilité implicite et les rendements futurs des options. Le deuxième essai trouve une relation négative entre le coefficient de dissymétrie, calculé a partir des données intra-journalières, et les rendements des actions. Le troisième essai trouve une relation negative entre les sauts des prix intra-journaliers et les rendements futurs des actions.
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Zhang, Lingyan 1970. "Automated data acquisition and analysis of stock options". Thesis, McGill University, 2001. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=33048.
Testo completoAbstract (sommario):
This thesis describes a system that retrieves exchange-traded option quotes on stocks, which are specified by the user, from the website www.moneynet.com. The data obtained from the Web is analyzed to determine the "breakeven" stock prices. A breakeven stock price is the expiration-date stock price for call or put options, in order for the call or put holders as a group to break even. This information is very useful as it helps us to understand the stock markets and the opinions of stock traders. It is useful for expectation analysis as well. The system is written in Excel 2000 and the data obtained from the Web is displayed on Excel spreadsheets and is transformed into a format that can be analyzed by the program. The program consists of approximately 900 lines of VBA code and uses many advanced Excel built-in functions.
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Li, Gang. "Two essays on empirical options studies /". View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?FINA%202007%20LI.
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Lam, Yue-kwong, e 林宇光. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31267282.
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Ragle, William F. "Three Essays on the Effects of Equity Option Introduction". Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc277764/.
Testo completoAbstract (sommario):
This dissertation is structured as three essays on various aspects of equity option introduction. Topics addressed include the relative predictability of introduction, the relationship between predictability of introduction and the price effect associated with introduction, and a comparison of the price response of optioned versus nonoptioned stocks to changes in dividends. Essay 1 involves use of firm-specific variables in a LOGIT model to allow assignment of a probability of equity option introduction. Two samples were developed: one of firms that were optioned, the other of firms which met the objective standards but were not optioned. A LOGIT model is used to assign a probability of optioning to each firm. A holdout sample is used to test the out-of-sample predictive power of the model. Firms were correctly classified as optioned or nonoptioned in about 85 percent of cases. Various researchers have detected abnormal positive returns associated with stock option introduction. In an efficient market context, this would indicate that option introduction is "good" news to financial markets. If optioning is predictable, stocks with a higher probability of optioning would be expected to show less price response when options are introduced. In Essay 2, the relationship between the probability of optioning and abnormal returns is tested using a standard event methodology. Utilizing nonparametric statistics, no significant differences were detected among abnormal returns of portfolios formed on the basis of probability of option introduction. Essay 3 compares abnormal returns of optioned and nonoptioned stocks around announced dividend changes. Two samples were obtained. Firms in the first (second) sample had significant dividend changes while options were (were not) available on their stocks. Standard event methodology is used to compare price responses of the two samples. If the price response of optioned stocks is less pronounced than the price response of nonoptioned stocks, this may indicate that optioned stocks are more efficiently priced. Reasons for this increased efficiency are examined in the study. Abnormal returns for the optioned sample were not significantly different from zero. Those for the nonoptioned sample were significantly different from zero for all event windows tested.
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Chen, Kwok-wang, e 陳國宏. "Evaluation of market efficiency of stock options in Hong Kong". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B31267889.
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Lee, Dong Wook. "Two essays in corporate finance". Connect to this title online, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1060687110.
Testo completoAbstract (sommario):
Thesis (Ph. D.)--Ohio State University, 2003.Title from first page of PDF file. Document formatted into pages; contains x, 104 p.; also includes graphics (some col.). Includes bibliographical references. Available online via OhioLINK's ETD Center.
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Zhang, William. "The Destabilizing Effects of ETFs and Options on Underlying Stock Returns". Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17417583.
Testo completoAbstract (sommario):
This paper explores the role that ETFs and options have on the underlying stock return. Using a dataset of 400 stocks over a five year period, I examine the effect that ETF rebalancing and option hedging have on stock returns. I find evidence that rebalancing demands for ETFs increase the volatility of the end-of-day returns of the constituent stocks. In addition, I conclude that options have a meaningful positive impact on the underlying stock's daily momentum. These results suggest that stock returns are destabilized by these two financial instruments.Applied Mathematics
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Mwangi, George. "Relationship between Firm Performance and CEO's Stock Options in U.S. Pharmaceutical Companies". Thesis, Walden University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10245104.
Testo completoAbstract (sommario):
The CEO’s compensation policy is one of the most important factors in an organization’s success. CEO’s stock options are awarded to align the interests of the CEO with the interests of the firms’ stakeholders. However, lack of understanding of the relationship between firm performance and a CEO’s stock options could threaten the alignment of a CEO’s interests with those of the stakeholders. Grounded in agency theory, the purpose of this correlation study was to examine the relationship between return on equity, return on investment, total annual revenues, and CEOs’ stock options awards, while controlling for firm size, age of CEO, and CEO tenure. Archival data from 99 U.S. pharmaceutical companies were analyzed using hierarchical linear regression. The results of the hierarchical regression analysis indicated a significant predictive model F(6, 262) = 42.065, p < 0.05, R2 = .343. However, in the final model, only firm size and CEO tenure were significant. In addition, there was no significant relationship between return on equity, return on investments, and annual revenues to CEOs’ stock options. The implications for positive social change include the potential for policy makers to utilize findings in furthering dialogue related to income inequality and feeling of unfair distribution of valuable resources in the society. Pharmaceutical business leaders might affect social change by structuring CEOs’ compensation based on firm performance, encouraging innovation, and improving employment opportunities in the society.
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Zhang, Ling. "Two essays in corporate finance". online access from Digital Dissertation Consortium, 2006. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3240978.
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Tsebro, Pavlo. "Essays on Employee Stock Options and Executive Compensation in (Non-)Diversified Companies". Kent State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=kent1373979099.
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Yiu, Fan-lai, e 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.
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Cheung, Yuk-lung Alan. "The Hang Seng Index options market in Hong Kong /". [Hong Kong] : University of Hong Kong, 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787093.
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Bouvard, Matthieu. "3 essais en finance d'entreprise". Toulouse 1, 2009. http://www.theses.fr/2009TOU10032.
Testo completoAbstract (sommario):
Cette thèse est composée de trois essais. Un premier essai s intéresse au lien entre frictions sur les marchés de capitaux et acquisition d information par des entrepreneurs. Je montre qu un problème d anti-sélection entre entrepreneurs et investisseurs peut modifier les incitations des premiers à investir dans l acquisition de compétences ou d expérience. Il existe deux régimes inefficients. Lorsque les investisseurs sont a priori pessimistes, l accès au financement est restreint aux entrepreneurs expérimentés, il y a peu de projets financés et ils sont en moyenne très profitables. Lorsque les investisseurs sont a priori optimistes, tous les entrepreneurs ont accès à un financement, le nombre de projets financés est élevé, et leur profitabilité moyenne est faible. Ces effets suggèrent un mécanisme d amplification des cycles économiques. Un deuxième essai modélise le financement de projets innovants comme un problème d investissement séquentiel. Un premier investissement génère un flux d information sur la profitabilité d un deuxième investissement. L entrepreneur a ex ante une information privée sur la profitabilité du projet, ce qui crée un problème d anti-sélection pour les investisseurs. Les contrats optimaux peuvent être implémentés en utilisant des stocks-options bloquées et un "golden parachute". Ils incluent également le timing du deuxième investissement qui est utilisé comme un instrument pour signaler la qualité du projet. Ce mécanisme crée une distorsion dans le processus d apprentissage : le deuxième investissement a lieu trop tôt ou trop tard par rapport à l optimum de premier ordre. Le financement interne affecte le timing du deuxième investissement. Le modèle génère des prédictions empiriques sur le relation entre la sensibilité à la performance du contrat de rémunération de l entrepreneur et la politique d investissement de la firme. Un troisième essai s intéresse aux agences de certification ou de notation dont la rémunération dépend des intérêts potentiellement conflictuels des acheteurs (investisseurs) et des vendeurs (émetteurs de titres). En délivrant une information plus précise, les agences augmentent la participation des acheteurs mais peuvent également dissuader les vendeurs de participer. En effet, ces derniers prennent également en compte la probabilité d obtenir une note positive. Dans un jeu dynamique, nous examinons comment la tentative d établir une réputation vis-a-vis des deux côtés du marché affecte la production d information. Nous montrons que le souci de réputation peut avoir un effet ambigu. Lorsque la fiabilité perçue des notations est faible, la réputation a un effet de discipline et la précision des notations s améliore. Lorsque la fiabilité perçue est élevée, les agences deviennent laxistes pour augmenter leurs revenus futurs. Cet effet ne nécessite pas que la rémunération de l agence soit contingente à la notationThe first essay shows that adverse selection on the capital market affects incentives of entrepreneurs to engage in information acquisition through education or experience. The second essay models innovation financing as a sequential investment problem. Adverse selection on the capital market distorts investment timing and creates inertia. Optimal contracts can be implemented through stock options with a vesting period and severance payments. The third essay studies ratings or certification agencies and shows that reputational concerns have an ambiguous effect. When the perceived reliability of ratings is deficient, reputation has a disciplining effect and the precision of reports improves. However, agencies with a good reputation are too lenient
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Chan, Chun Keung. "A study of the relationship between volatility premium and option returns over different time horizons: an ex-post and ex-ante empirical analysis using bid-ask data". HKBU Institutional Repository, 2016. https://repository.hkbu.edu.hk/etd_oa/307.
Testo completoAbstract (sommario):
There are three distinct avenues of empirical research relating to option returns. (1) attempts to explain option returns; (2) analysis of models forecasting option implied volatility (IV) versus alternative forecasts of futures realized volatility (RV); and (3) estimation of the economic benefit of volatility forecasting. This study shows that the three apparently disparate fields of research are closely related since option returns are positively related to volatility spread, and asset returns are negatively related to volatility shock. We show that IV outperforms, and indeed subsumes, a subset of time-series historical volatility (TS-HV) forecasts in predicting RV, although the finding that TS-HV does not provide incremental information in forecasting RV, the use of the alternative predictor can enhance the economic profit to option traders. The study also shows that option horizons significantly affect the impact of option mispricing and market direction on option returns. We provide incremental evidence that puts are more expensive than calls and reinforce the argument that pricing asymmetry can be attributed to the greater skewness of put returns due to a negative return-volatility relationship.
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高志強 e Chi-keung Anthony Ko. "A preliminary study of Hong Kong warrants using the Black-Scholesoption pricing model". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263227.
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Lee, Chi-ming Simon. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula /". [Hong Kong] : University of Hong Kong, 1992. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13302838.
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Shi, Qi. "A study of the implied volatility function evidence from Hang Seng Index options market in Hong Kong /". Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B31601984.
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Li, Na. "The informational content of indirect real estate options evidence from Hong Kong /". Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B38316675.
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Binkowski, Karol Patryk. "Pricing of European options using empirical characteristic functions". Phd thesis, Australia : Macquarie University, 2008. http://hdl.handle.net/1959.14/28623.
Testo completoAbstract (sommario):
Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008.Bibliography: p. 73-77.
Introduction -- Lévy processes used in option pricing -- Option pricing for Lévy processes -- Option pricing based on empirical characteristic functions -- Performance of the five models on historical data -- Conclusions -- References -- Appendix A. Proofs -- Appendix B. Supplements -- Appendix C. Matlab programs.
Pricing problems of financial derivatives are among the most important ones in Quantitative Finance. Since 1973 when a Nobel prize winning model was introduced by Black, Merton and Scholes the Brownian Motion (BM) process gained huge attention of professionals professionals. It is now known, however, that stock market log-returns do not follow the very popular BM process. Derivative pricing models which are based on more general Lévy processes tend to perform better. --Carr & Madan (1999) and Lewis (2001) (CML) developed a method for vanilla options valuation based on a characteristic function of asset log-returns assuming that they follow a Lévy process. Assuming that at least part of the problem is in adequate modeling of the distribution of log-returns of the underlying price process, we use instead a nonparametric approach in the CML formula and replaced the unknown characteristic function with its empirical version, the Empirical Characteristic Functions (ECF). We consider four modifications of this model based on the ECF. The first modification requires only historical log-returns of the underlying price process. The other three modifications of the model need, in addition, a calibration based on historical option prices. We compare their performance based on the historical data of the DAX index and on ODAX options written on the index between the 1st of June 2006 and the 17th of May 2007. The resulting pricing errors show that one of our models performs, at least in the cases considered in the project, better than the Carr & Madan (1999) model based on calibration of a parametric Lévy model, called a VG model. --Our study seems to confirm a necessity of using implied parameters, apart from an adequate modeling of the probability distribution of the asset log-returns. It indicates that to precisely reproduce behaviour of the real option prices yet other factors like stochastic volatility need to be included in the option pricing model. Fortunately the discrepancies between our model and real option prices are reduced by introducing the implied parameters which seem to be easily modeled and forecasted using a mixture of regression and time series models. Such approach is computationaly less expensive than the explicit modeling of the stochastic volatility like in the Heston (1993) model and its modifications.
Mode of access: World Wide Web.
x, 111 p. ill., charts
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Alpert, Karen. "The effects of taxation on put-call parity and option exercise behavior /". [St. Lucia, Qld.], 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18166.pdf.
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Alimov, Azizjon. "Innovations, real options, risk and return : evidence from the pharmaceutical and biotechnology industries /". view abstract or download file of text, 2007. http://proquest.umi.com/pqdweb?did=1421619401&sid=1&Fmt=2&clientId=11238&RQT=309&VName=PQD.
Testo completoAbstract (sommario):
Thesis (Ph. D.)--University of Oregon, 2007.Typescript. Includes vita and abstract. Includes bibliographical references (leaves 109-114). Also available for download via the World Wide Web; free to University of Oregon users.
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Cheung, Yuk-lung Alan, e 張玉龍. "The Hang Seng Index options market in Hong Kong". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31265996.
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Cheng, Xin. "Three essays on volatility forecasting". HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1183.
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Chan, Ka Ming Camay. "The profitability of index futures spread arbitrage strategies with bid and ask index quotes". HKBU Institutional Repository, 2001. http://repository.hkbu.edu.hk/etd_ra/337.
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Yang, Twan-Shan. "Rescission and repricing of executive stock options: Repricing alternatives, optimal repricing policy, and early exercise". Diss., The University of Arizona, 2002. http://hdl.handle.net/10150/280074.
Testo completoAbstract (sommario):
This dissertation consists of two chapters. Chapter 1 examines the ex-ante optimality of repricing and rescission of executive stock options while considering dilution effects and the tax effects of new accounting rules associated with repricing and rescission. Traditional repricing lowers the exercise price of outstanding options to match the declined market value of the stock. Rescission allows employees to cancel already-exercised options when share prices fall, which was not an issue until 2000 when the stock market plummeted. To my best knowledge, this study is the first research on examining the possible optimality of traditional repricing and rescission while considering the economic impact of changing accounting rules in an ex-ante contracting setting. Chapter 2 examines the ex-ante optimality of repricing alternatives and derives an optimal repricing-triggered policy, which specify how deeply the options are under water before repricing takes place. In practice, traditional repricing practices have become obsolete since new accounting rules took effect in July 2000. To avoid associated variable accounting charges that cause uncertainty in future reported earnings, companies have tried several repricing alternatives as solutions to rescuing underwater options. This study not only justifies the occurrence of some repricing alternatives but also quantifies the impact of the marking-to-market feature imbedded in the new accounting rules.
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Wang, Yintian 1976. "Three essays on volatility long memory and European option valuation". Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102851.
Testo completoAbstract (sommario):
This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models.The first essay presents a new model for the valuation of European options. In this model, the volatility of returns consists of two components. One of these components is a long-run component that can be modeled as fully persistent. The other component is short-run and has zero mean. The model can be viewed as an affine version of Engle and Lee (1999), allowing for easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that is well established in the literature. It also fits options better than a model that combines conditional heteroskedasticity and Poisson normal jumps. While the improvement in the component model's performance is partly due to its improved ability to capture the structure of the smirk and the path of spot volatility, its most distinctive feature is its ability to model the term structure. This feature enables the component model to jointly model long-maturity and short-maturity options.
The second essay derives two new GARCH variance component models with non-normal innovations. One of these models has an affine structure and leads to a closed-form option valuation formula. The other model has a non-affine structure and hence, option valuation is carried out using Monte Carlo simulation. We provide an empirical comparison of these two new component models and the respective special cases with normal innovations. We also compare the four component models against GARCH(1,1) models which they nest. All eight models are estimated using MLE on S&P500 returns. The likelihood criterion strongly favors the component models as well as non-normal innovations. The properties of the non-affine models differ significantly from those of the affine models. Evaluating the performance of component variance specifications for option valuation using parameter estimates from returns data also provides strong support for component models. However, support for non-normal innovations and non-affine structure is less convincing for option valuation.
The third essay aims to investigate the impact of long memory in volatility on European option valuation. We mainly compare two groups of GARCH models that allow for long memory in volatility. They are the component Heston-Nandi GARCH model developed in the first essay, in which the volatility of returns consists of a long-run and a short-run component, and a fractionally integrated Heston-Nandi GARCH (FIHNGARCH) model based on Bollerslev and Mikkelsen (1999). We investigate the performance of the models using S&P500 index returns and cross-sections of European options data. The component GARCH model slightly outperforms the FIGARCH in fitting return data but significantly dominates the FIHNGARCH in capturing option prices. The findings are mainly due to the shorter memory of the FIHNGARCH model, which may be attributed to an artificially prolonged leverage effect that results from fractional integration and the limitations of the affine structure.
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Venemalm, Johan. "State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends". Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226518.
Testo completoAbstract (sommario):
In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. For option contracts with discontinuous payoff functions, however, finite differences encounter problems to maintain the order of convergence of the employed finite difference scheme. Therefore the timesteps are often computed in a conservative manner, which might increase the total execution time of the solver more than necessary. It can be shown that for American call options written on dividend paying stocks, it may be optimal to exercise the option right before a dividend is paid out. The result is that yet another discontinuity is introduced in the solution and the timestep is often reduced to preserve the intrinsic convergence order. However, it is thought that at least in theory the optimal length of the timestep is an increasing function of the time elapsed since the last discontinuity occured. The objective thus becomes that of finding an explicit method for adjusting the timestep both at the dividend instants and between dividend instants. Keeping the discretization in space constant leads to a time non-equidistant finite difference problem. The aim of this thesis is to propose a time non-equidistant numerical finite difference algorithm for valuation of American call options on stocks with dividends known in advance. In particular, an explicit formula is proposed for computing timesteps at the dividend instants and between dividend payments given a user-specified error tolerance. A portion of the report is also devoted to numerical stabilization techniques that are applied to maintain the convergence order, including Rannacher time-marching and mollification.
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Lai, Eugene Chang Fu. "An investigation into optimal stock option compensation : a thesis presented in fulfillment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University". Massey University, 2010. http://hdl.handle.net/10179/1344.
Testo completoAbstract (sommario):
Throughout twentieth century, it has become increasingly common for executives to be remunerated with stock options, contracts which allow the recipient to buy company stock at a predetermined price, thus giving the incentive to maximize the stock price in order to increase the value of the stock option contract. Not only has stock option compensation become increasingly prevalent to executives at most major listed companies, but also to employees at all levels of the firm, both big and small. However, along with the growth in popularity, stock option compensation also became a topic of contention, not only among the general public, but among lobbyists, legislators and academics. This thesis aims to provide a better understanding of stock option compensation practice, with a particular emphasis on the United States, where stock option compensation is most prevalent. The thesis is divided into three chapters: the first chapter deals with establishing a foundational understanding of stock option practice and possible drivers through investigating the literature on the history of stock option compensation practice in the US. The second chapter develops a holistic theoretical model of an optimal stock option compensation package to possibly explain some practice currently considered as excessive. Then lastly, the third chapter empirically tests the validity of possible drivers of executive stock option policy in recent times in an attempt to identify whether current practice is optimal or not. The first chapter is primarily a literature review, covering a series of events over the history of stock option compensation in the US, ranging from its early beginnings in the early twentieth century until the present day. Included in the coverage of significant events are: legislation impacting tax benefits for corporate and for recipients; “landmark” events such as the first case of “broad-based” option compensation resulting in companies following a standard business practice; trends in the stock market; academic theory of the development of agency theory which supports the use of tools such as equity based compensation, and the development of major option valuation models; the possible impact of accounting standards; and the possibly impact of major bankruptcies or unethical behavior directly or indirectly tied to executive stock option compensation. The second chapter follows with a theoretical approach to understanding stock option compensation trends by analyzing the major benefits and costs associated with stock options. The model developed differs to most other existing optimization models as it does not focus on one set of benefits or factors, rather a more holistic approach is taken. Using a holistic approach, this model also helps explain how levels of compensation that are considered excessive under an optimisation model based only incentive benefits, can actually be optimal for the firm once other costs and benefits are incorporated. The model also aims to provide an alternative explanation to the managerial power hypothesis to explain why the buoyancy of the market may be positively correlated with compensation levels. This is explained by the impact of the buoyancy of the market on the likelihood of stock option exercise, and the costs and benefits either unconditional, partially conditional or conditional on options being exercised. In addition, smaller companies are also found to benefit from stock options more than larger firms due to some of the unconditional benefits, in particular, the ability to attract higher quality talent which can also help small firms fulfil untapped potential. Lastly, the model also provides useful insight into the appropriateness of using of foregone option premiums as the economic opportunity cost of granting stock options. The third chapter aims to empirically test the impact of several factors brought up in Chapter One that may help explain changes in compensation that occurred at the turn of the century. These major factors analyzed are: 1) the bull market prior to and the bear market following the market crash of 2000, 2) changes in accounting standards for equity based compensation, and 3) possible public perception of corruption following several major bankruptcies associated with poor ethics in 2002. Mixed evidence is found regarding the impact of market cycles. These findings include cycles to be linked to granting options out-of-the-money, a general inverse relationship with the levels of stock option compensation with the buoyancy of the market, expected for companies managing incentives, and finally there are indications companies ceased granting options based on poor company stock price performance prior to 2001. Other findings indicate the possible influence of accounting standards on economic decisions as well as the broad impact of events surrounding 2001-2, even though they have no economic impact. On the one hand, decreases in stock option compensation levels is shown to be linked to accounting decisions, however, there is insufficient evidence to support the argument that firm-wide decision making to cease granting stock options completely was based on accounting decisions.
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Antenucci, Robert P. "Impact of Corporate Governance, Excess CEO Compensation, and CEO Stock Option Grants on Firm Performance during Recessionary Periods". Kent State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=kent1386339174.
Testo completo
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Irzil, Hayet. "Apport de la théorie des options à la valorisation du stock d'invendus". Thesis, Paris 2, 2015. http://www.theses.fr/2015PA020006.
Testo completoAbstract (sommario):
L'émergence d'invendus constitue un phénomène de première importance. En effet, il n'y a pas d'entreprise sans invendus. C'est pourquoi les entreprises souhaitent éliminer les invendus en fin de période de vente. Dans ce cadre une nouvelle problématique émerge : comment valoriser un stock d'invendus et optimiser son déstockage ? C'est l'objet du travail doctoral que de répondre à cette question fondamentale du point de vue de la science économique. Pour cela, il faut tout d'abord déterminer à quel prix une firme peut-elle déstocker ses invendus et ensuite dé-terminer quand doit-elle avoir recours au marché du déstockage ou aux soldes directes ? Cette thèse consacre une première partie à un survol de la littérature,à la fois en management et marketing, mais surtout en sciences économiques. La seconde partie propose un modèle original de valorisation des invendus qui adapte en microéconomie les méthodes de couvertures utilisées en finance, notamment les options, dans le cas où la demande est incertaine. Il est montré d'un point de vue théorique qu'il est possible de proposer une couverture contre le risque d'invendus.D'une part la théorie est adaptée au cas de l'approvisionnement, et d'autre part au cas des invendus. Des simulations chiffrées illustrent comment fonctionne concrètement cette méthode dans chacun des cas. La troisième partie est plus générale et développe deux modèles originaux inter-temporels dans le cadre d'un marché monopolistique. Il y a deux types de consommateurs, ceux qui sont sensibles à l'étalage des biens, et ceux qui sont insensibles à cet étalage. Les consommateurs sensibles à l'étalage, choisissent la part qu'ils achètent de cet étalage, cependant que le monopole choisit à la fois le prix et l'étalage. Que la demande soit certaine ou incertaine, il émerge toujours un stock d'invendus. Le monopole peut le revendre, soit directement aux consommateurs insensibles à l'étalage, soit à une firme de déstockage. L'endogénéité du marché du déstockage est alors étudiéeSince there is not a firm without a stock of unsold goods, the study of this phenomenon is an issue of great importance. Indeed, firms face the stock of unsold goods that they want to clear at the end of the market period. The latter has an impact on not only on the firm's production process, but also on the economy growth. In this context, how to value the stock of unsold goods and when should the firm clears it ? This doctoral work aims to answer to this fundamental question from the standpoint of economics. For this purpose, we must first determineat which price a firm can clear its stock of unsold goods and then determine when it should have recourse to selling-off market or clearance sales ? The first part of this thesis is dedicated to a review of the literature, both related to management and marketing science, but also to economics. The second part focuses on an original model of unsold goods' stock valuation which is adapted to the microeconomic hedging methods used in finance (including options where the demand is uncertain). Results show that it is possible to provide a hedge against the risk of a stockof unsold goods. On the one hand, the theory is adapted to the case of supply and on the other hand, it fits the case of a stock of unsold goods. From the theoretical point of view, the results of numerical simulations illustrate the way this method works in practice for different cases. The third part is more general since it introduces two intertemporal original models under the monopolistic market structure.There are two types of consumers, depending on the degree of their sensitiveness to the display of goods (those who are sensitive versus those who are not). Consumers who are relatively strongly sensitive to the display of goods choose to buy apart from it. Furthermore, the monopoly chooses both the price and the quantityof displayed goods in order to maximize its profit. Under certain or uncertain demand,it always emerges a stock of unsold goods. The monopoly can sell the stockof unsold goods, either directly to consumers who are insensitive to the display ofgoods, or to the selling-off firm. Endogenous selling-off market is then studied
42
Choi, Fun Sang Daniel. "The efficiency of the London Traded Options Market : the implications of volatility, volume, and bid-ask spreads". Thesis, University of Stirling, 1993. http://hdl.handle.net/1893/23411.
Testo completoAbstract (sommario):
This study is a test of the efficiency of the London Traded Options Market. Because it uses the Black-Scholes Option Pricing Model, it is also a test of option pricing. In the process of examining call option price behaviour it investigates the effects of three empirical factors. First, it investigates the effect of a non-constant share price volatility. Hitherto, there has been no agreed procedure on modelling or forecasting the future share price volatility. This study shows that the GARCH process has the best forecasting accuracy. The ex ante GARCH volatility estimate is then incorporated in the Black-Scholes model. Because the volatility is assumed constant in the Black-Scholes model, the consideration of adapting the GARCH volatility into the model sheds insight on bridging empirical results and theoretical requirements. Second, because the London Traded Options Market is thinly traded the quoted prices may not reflect prices at which trade did or could take place. However, information on call option trading volume may not be available. This study develops and implements an analytical criterion to select the most actively traded call options. The call options selected by this criterion bear the basic characteristics of those frequently traded call options where trading volume is available. Third, this study uses the bid and ask quotations for shares and call options to test the efficiency of the London Traded Options Market. By incorporating the bid-ask spread directly in the establishment of arbitrage portfolios, an accurate assessment of transactions data can be made. The results of incorporating these factors in the test for market efficiency reveal that, despite the identification of mispriced call options, it would not have been possible to exploit the mispricing by setting up arbitrage portfolios. It must therefore be concluded that the London Traded Options Market was trading efficiently over the period of this study.
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Li, Na, e 李娜. "The informational content of indirect real estate options: evidence from Hong Kong". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B38316675.
Testo completo
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Lin, Cheng-I. Eric Kensinger John W. "Changes in trading volume and return volatility associated with S&P 500 Index additions and deletions". [Denton, Tex.] : University of North Texas, 2007. http://digital.library.unt.edu/permalink/meta-dc-5149.
Testo completo
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Shi, Qi, e 施琦. "A study of the implied volatility function: evidence from Hang Seng Index options market in Hong Kong". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31601984.
Testo completo
46
Kochan, Mucahit. "Information Content of Iron Butterfly Arbitrage Bounds". Thesis, University of North Texas, 2016. https://digital.library.unt.edu/ark:/67531/metadc955071/.
Testo completoAbstract (sommario):
Informed traders trade options on underlying securities to lower transaction costs and increase financial leverage for price trend and variance strategies. Options markets play a significant role in price discovery by incorporating private information about future prices for an underlying security into option prices. I generate a new model-free volatility measure to calculate the "distance from arbitrage bounds" from minute-by-minute option series for the S&P 500 index and 30 individual underlying stocks. These iron butterfly arbitrage bounds (IBBs) use intraday call and put option prices from the Bloomberg database. Narrow and wide IBBs are expected to reveal the options market valuation of volatility by market participants. Data series is gathered by using successive one-minute intervals from the Bloomberg database. The data comprise the most recent bid and ask option prices and volumes. I collect S&P 500 index values and index options and use 30 underlying stock prices and option prices for the contracts that have the largest option trading volume during the sampling interval. These bid and ask prices reflect the information generated by intraday price pressures implied by S&P 500 index options or stock options. Consistent with the option micro-structure literature, I find that the IBB measure for actively traded stock options attains its highest level immediately after the open of the market, declines steadily throughout the first trading hour and remains relatively stable until market close. However, index IBBs behave differently. S&P 500 index option IBB attains its lowest level during the first hour of the trading day, then increases and remains relatively stable until market close. I present new evidence regarding the dynamic relation between stock returns and innovations in expected volatility by using the minute-by-minute change in implied volatility (IV) as a proxy. Unlike the relationship between individual stock returns and their respective changes in implied idiosyncratic volatility, I find that all the coefficients on the market volatility index (VIX) term are negative and significant. Therefore, the evidence supports the explanation that the negative relationship between stock returns and expected volatility innovations is primarily related to the systematic component of the expected volatility. I also test whether narrow and wide IBB values capture incremental information to explain the return-volatility relationship. Results indicate that neither narrow IBB nor wide IBB values provide additional information beyond that provided by VIX and IV. The results are robust to five-minute and ten-minute sampling frequencies.
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Weyerhaeuser, James W. "A Study in Market Micromanagement: The Asymmetrical Effects of the 2008 Short Sale Ban on Stocks With and Without Traded Options". Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/487.
Testo completoAbstract (sommario):
This study provides an empirical analysis of the 2008 short sale ban. The evidence suggests that the presence of tradable options plays a crucial role in determining the effect of a short sale ban. Results show that if there are no traded options on a stock, the short sale ban brought abnormal returns of roughly +8%. However if there are traded options on a stock, the market maker exemptions nullify the positive effects of the ban. Furthermore, for the banned stocks that do experience positive abnormal returns during the ban, the lifting of the ban causes a prompt reversal of these returns. Findings suggest short sale bans cause an underrepresentation of negative opinions for as long as the ban lasts and that the presence of tradable options eliminates that underrepresentation by providing an alternative for pessimistic investors.
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Tama-Sweet, Isho 1973. "Do managers alter the tone of their earnings announcements around stock option grants and exercises?" Thesis, University of Oregon, 2009. http://hdl.handle.net/1794/10242.
Testo completoAbstract (sommario):
ix, 69 p. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.In this dissertation I investigate whether managers alter the linguistic tone of their earnings announcements to increase the value of their stock options. Empirical research finds evidence that managers use optimistic tone to signal future firm performance. However, prior literature also finds a positive relation between optimistic tone in earnings announcements and short-window abnormal returns. The market reaction to optimistic tone suggests that managers can profit from using pessimistic tone to lower the firm's stock price prior to option grants and optimistic tone to increase the stock price prior to option exercises. I hypothesize that managers adjust the tone of their earnings announcements to increase the value of their stock options. In addition, I hypothesize that managers will alter the tone to increase option payouts when the costs of doing so (proxied by litigation risk) are low and when the financial reporting incentives to do so (proxied by earnings management) are high. I test these predictions using 17,211 firm-quarter observations from 1998-2006. In my tests I regress the tone of the earnings announcement on its known determinants and indicators for a stock option grant or exercise shortly following the announcement. I do not find evidence that managers, on average, alter the tone of earnings announcements prior to option grants or exercises. However, I find that managers decrease optimistic tone prior to option grants when they also record low discretionary accruals, which suggests that altering tone and managing earnings are complementary strategies to move stock price. I also find that managers increase optimistic tone prior to option exercises when litigation risk is low, but decrease optimistic tone prior to option exercises when litigation risk is high. Further analysis indicates the litigation risk results hold only after the Sarbanes-Oxley Act of 2002. Overall, my evidence suggests that managers increase optimistic tone prior to option exercises except when a high threat of litigation constrains such opportunism. When managers do alter tone, the average financial gain is small relative to their total compensation.
Committee in charge: Steven Matsunaga, Chairperson, Accounting; Angela Davis, Member, Accounting; David Guenther, Member, Accounting; Jeremy Piger, Outside Member, Economics
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El, Aoud Sofiene. "Dynamique jointe stock/option et application aux stratégies de trading sur options". Thesis, Châtenay-Malabry, Ecole centrale de Paris, 2015. http://www.theses.fr/2015ECAP0020/document.
Testo completoAbstract (sommario):
Cette thèse explore théoriquement et empiriquement les implications de la dynamique jointe action/option sur divers problématiques liées au trading d’options. Dans un premier temps, nous commençons par l’étude de la dynamique jointe entre une option sur un stock et une option sur l’indice de marché. Le modèle CAPM fournit un cadre mathématique adéquat pour cette étude car il permet de modéliser la dynamique jointe d’un stock et son indice de marché. En passant aux prix d’options, nous montrons que le beta et la volatilité idiosyncratique, paramètres du modèle, permettent de caractériser la relation entre les surfaces de volatilité implicite du stock et de l’indice. Nous nous penchons alors sur l’estimation du paramètre beta sous la probabilité risque-neutre en utilisant les prix d’options. Cette mesure, appelée beta implicite, représente l’information contenue dans les prix d’options sur la réalisation du paramètre beta dans le futur.Pour cette raison, nous essayons de voir, si le beta implicite a un pouvoir prédictif du beta futur.En menant une étude empirique, nous concluons que le beta implicite n’améliore pas la capacité de prédiction en comparaison avec le beta historique qui est calculé à travers la régression linéaire des rendements du stock sur ceux de l’indice. Mieux encore, nous remarquons que l’oscillation du beta implicite autour du beta futur peut entraîner des opportunités d’arbitrage, et nous proposons une stratégie d’arbitrage qui permet de monétiser cet écart. D’un autre côté, nous montrons que l’estimateur du beta implicite pourrait être utilisé pour la couverture d’options sur le stock en utilisant des instruments sur l’indice, cette couverture concerne notamment le risque de volatilité et aussi le risque de delta. Dans la deuxième partie de notre travail, nous nous intéressons au problème de market making sur options. Dans cette étude, nous supposons que le modèle de dynamique du sous-jacent sous la probabilité risque-neutre pourrait être mal spécifié ce qui traduit un décalage entre la distribution implicite du sous-jacent et sa distribution historique.Dans un premier temps, nous considérons le cas d’un market maker risque neutre qui vise à maximiser l’espérance de sa richesse future. A travers l’utilisation d’une approche de contrôle optimal stochastique, nous déterminons les prix optimaux d’achat et de vente sur l’option et nous interprétons l’effet de présence d’inefficience de prix sur la stratégie optimale. Dans un deuxième temps, nous considérons que le market maker est averse au risque et essaie donc de réduire l’incertitude liée à son inventaire. En résolvant un problème d’optimisation basé sur un critère moyenne-variance, nous obtenons des approximations analytiques des prix optimaux d’achat et de vente. Nous montrons aussi les effets de l’inventaire et de l’inefficience du prix sur la stratégie optimale. Nous nous intéressons par la suite au market making d’options dans une dimension plus élevée. Ainsi, en suivant le même raisonnement, nous présentons un cadre pour le market making de deux options ayant des sous-jacents différents avec comme contrainte la réduction de variance liée au risque d’inventaire détenu par le market-maker. Nous déterminons dans ce cas la stratégie optimale et nous appuyons les résultats théoriques par des simulations numériques.Dans la dernière partie de notre travail, nous étudions la dynamique jointe entre la volatilité implicite à la monnaie et le sous jacent, et nous essayons d’établir le lien entre cette dynamique jointe et le skew implicite. Nous nous intéressons à un indicateur appelé "Skew Stickiness Ratio"qui a été introduit dans la littérature récente. Cet indicateur mesure la sensibilité de la volatilité implicite à la monnaie face aux mouvements du sous-jacent. Nous proposons une méthode qui permet d’estimer la valeur de cet indicateur sous la probabilité risque-neutre sans avoir besoin d’admettre des hypothèses sur la dynamique du sous-jacent. [...]This thesis explores theoretically and empirically the implications of the stock/option joint dynamics on applications related to option trading. In the first part of the thesis, we look into the relations between stock options and index options under the risk-neutral measure. The Capital Asset Pricing Model offers an adequate mathematical framework for this study as it provides a modeling approach for the joint dynamics between the stock and the index. As we compute option prices according to this model, we find out that the beta and the idiosyncratic volatility of the stock, which are parameters of the model, characterize the relation between the implied volatility surface of the stock and the one of the index. For this reason, we focus on the estimation of the parameter beta under the risk-neutral measure through the use of option prices.This measure, that we call implied beta, is the information contained in option prices concerning the realization of the parameter beta in the future. Trying to use this additional information, we carry out an empirical study in order to investigate whether the implied beta has a predictive power of the forward realized beta. We conclude that the implied beta doesn’t perform better than the historical beta which is estimated using the linear regression of the stock’s returns onthe index returns. We conclude also that the oscillation of the implied beta around the forward realized beta can engender arbitrage opportunities, and we propose an arbitrage strategy which enables to monetize this difference. In addition, we show that the implied beta is useful to hedge stock options using instruments on the index. In the second part of our work, we consider the problem of option market making. We suppose that the model used to describe the dynamics of the underlying under the risk-neutral probability measure can be misspecified which means thatthe implied distribution of the underlying may be different from its historical one. We consider first the case of a risk neutral market maker who aims to maximize the expectation of her final wealth. Using a stochastic control approach, we determine the optimal bid and ask prices on the option and we interpret the effect of price inefficiency on the optimal strategy. Next to that, we suppose that the market maker is risk averse as she tries to minimize the variance of her finalwealth. We solve a mean-variance optimization problem and we provide analytic approximations for the optimal bid and ask prices. We show the effects of option inventory and price inefficiency on the optimal strategy. We try then to extrapolate the study to a higher dimension in order to see the effect of joint dynamics of the different underlyings on the optimal strategy. Thus, we study market making strategies on a pair of options having different underlyings with the aim to reduce the risk due to accumulated inventories in these two options. Through the resolution of the HJB equation associated to the new optimization problem, we determine the optimal strategy and we support our theoretical finding with numerical simulations. In the final part of the thesis, we study the joint dynamics of the at-the-money implied volatility and the spot process. We try to establish a relation between this joint dynamics and the implied skew through the use of a quantity called the Skew Stickiness Ratio which was introduced in the recent literature. The Skew Stickiness Ratio quantifies the effect of the log-return of the spot on the increment of theat-the-money volatility. We suggest a model-free approach for the estimation of the SSR (Skew Stickiness Ratio) under the risk-neutral measure, this approach doesn’t depend on hypothesis on the dynamics of the underlying. [...]
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Dornaus, Rafael Pellegrino da Silva. "Majoritários vs. minoritários: uma análise dos benefícios de controle e o diferencial de preços entre classes de ações no Brasil por meio de uma abordagem por opções reais". reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11503.
Testo completoAbstract (sommario):
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Este trabalho visa contribuir para a discussão e o instrumental a cerca dos benefícios de controle nas empresas e a forma de estimá-lo. Para tanto, utilizou-se uma abordagem baseada da teoria de opções reais, com foco no diferencial de preço entre classes de ações no Brasil entre janeiro de 2002 a novembro de 2013. Foram examinadas 44 empresas listadas no período, levando a uma amostra de 23.322 observações semanais. Foi encontrada evidência empírica para dar suporte à hipótese da existência de uma opção de venda perpétua sobre os benefícios de controle da empresa de titularidade do controlador da empresa e o efeito negativo que variações no prêmio desta exercem sobre o diferencial de preços entre as classes de ações. Em tempo, também foi encontrada evidência que sugere que o nível de governança corporativa e a proteção aos acionistas minoritários, medidos através do nível de listagem da empresa na BM&FBovespa estão positivamente relacionados com o nível de diferencial de preços. Por outro lado, a inclusão de dados que englobam o período do pós-crise do sub-prime norte-americano não deu suporte para inferir que o nível do diferencial de dividendos exerça pressão positiva no diferencial de preços entre as classes de ações.
This paper aims at contributing to the discussion around private benefits of control and the instrumental to estimate it. Therefore, we analyzed the differential pricing of equity classes in Brazil from January 2002 to November 2013 based on the theory of real options. We examined 44 Brazilian listed firms throughout the period resulting in a sample of 23.322 weekly observations. We found empirical evidence that supports our hypothesis regarding the existence of a perpetual put option on the private benefits of the controlling shareholder and the negative effect its premium deals on the dual-class price differential. We also found evidence suggesting that the level of corporate governance and minority shareholder protection represented by the level of share listing in the BM&FBovespa stock exchange is positively associated with the price differential level. On the other hand, the inclusion of data that covers the post North American sub-prime crisis did not provide evidence that the level dividend differentials is positively related to the dual-class price differential.