衍生金融市场之监督管理初论

<正> 衍生金融商品(又称衍生金融工具)是从外汇、股票、债券等现货市场所派生出来的金融创新商品,主要有期货、期权和互换三大类,由若干不同的交易合同组成。期货包括外汇、利率或股价指数等期货合约;期权是一种选择权。期权的购买者在支付一定数额的权利金后,即拥有在一定时间内以一定价格出售和购买一定数量的相关商品的权利;互     

期权交易(上)

<正> 一、期权交易的基本概念 自从1973年芝加哥货物交易中心正式引入标准期权交易合同后,期权市场迅速扩大,期权交易被广泛地应用于现代金融的各个领域,期权交易的种类从普通股票期权发展到商品期权、利率期权、指数期权、货币期权和期货期权等,并且新的期权交易类型仍在不断产生。 期权交易,是期货合约选择权(Options on Futures Con-tracts)交易的简称,表示一种权利的买卖活动。交易者通过付出一笔较小的费用,便得到一种权利,这种权利使得交易者能够在合约到期之前的任何时候,以事先定立的价格和数量选择是否购买或出售相关期货合约,但不负有必须履约的义务。在期权合约的有效期内,期权可以转让,超过规定期限,合约失效,买主的权利随之作废,卖主的义务也被解除。     

期货市场及其管理讲座

期货市场及其管理讲座《工商行政管理》编辑部国家工商局市场司合办第六讲期权交易一、期权交易的概念、特点期权交易（ＯｐｔｉｏｎｓＴｒａｄｉｎｇ）又译为“选择权交易”，它是目前国际商品、金融及证券市场中相当流行的一种交易方式；是随着期货市场的不断巩固和发展...     

浅论期权在财务管理中的应用

期权 (OPTION)也称选择权 ,它是一种契约 ,其购买者在支付一定数额的期权费后 ,有权利在某一特定期间内以一定价格向对方购买或出售某种特定标的物 ,但又无实施这种权利的义务。期权作为一种衍生金融商品 ,自“布莱克—斯克尔斯”期权定价模型 (OPM)建立后 ,开始得到日新月异的发展。发展至今 ,期权不仅被应用于金融工程 ,也被运用于投资、保险、理财等领域进行投资或套期保值 ,尤其在财务管理中的应用具有广泛的前景。     

论期权交易(六) 外汇期权交易

<正> 前面几篇我们探讨了期权交易的基本特征、主要做法、交易策略,以及商品期权交易的一些特点等等。本篇主要研究一下外汇这一标的的期权交易。外汇期权交易与其他标的的期权交易一样,双方交易的是一种权利,买卖的也仅仅是权利,而非义务,因而也就具备了期权交易所共有的避险趋利的风险一收益结构形式;但是,外汇期权又不同于其他诸如商品、股票指数等的期权,由于所买卖的标的是外汇,因而就存在着外汇汇率变动的风     

浅谈金融衍生品在我国的应用

金融衍生工具,又称金融衍生产品。金融衍生工具是20世纪七八十年代全球金融创新浪潮中的高科技产品,在我国现阶段金融衍生品交易主要包括以汇率作为标的物的远期交易、掉期交易、具有期权性质权证交易、具有期权性质的银行理财产品、以期货为中心的金融业务。     

期权理论在项目投资风险控制中的应用

期权是一种以合约的形式定义的选择权,它赋予合约持有者在一定时期内,以预先确定的价格(称为执行价格)买进或卖出一定数量的标的资产的权利(而非义务)。为获得这一权利而预先支付的期权费是这项期权的价格。期权作为金融市场的一种衍生工具,其功能主要在于规避风险,以便在商品、股票或外汇买卖等基础性交易发生损失时能够得到补偿。而从广义上说,期权实质上是一     

略论计算机信息与信息权

本文从UCITA创设的计算机信息权着手,分析信息经济时代越来越重要的交易对象,即计算机信息的交易及权利持有人的权利保护问题.     

商品采购后的反悔权探析

商品采购后的反悔权,是现代社会新兴交易方式的产物。其作为一项法定权利,必须在法律予以明确规定的情况下才可以行使。从公平交易的角度分析,商品采购后反悔权主要适用于上门推销、远程销售、电子商务等新兴的营销方式,而对于消费信贷、大宗交易等则由于其交易标的的特殊性,也有规定消费者反悔权的必要。商品采购后反悔权的行使必须受到反悔期限等一定的限制。     

论企业投资决策中的期权定价法

企业面临的大多数投资项目具有期权性质,运用传统的价值评价方法难以取得好的效果,金融期权理论与定价公式能有效地解释与评价企业具有选择权的投资项目。     

农村宅基地抵押试点的法律观察

现行农民宅基地使用权抵押试点分别以财产流转性收益和农村金融市场扩展为抵押主题,采取农民房屋所有权并附属宅基地使用权抵押和宅基地使用权直接抵押两种模式及多种类型。试点宅基地使用权抵押融资存在抵押权合法性、抵押物处置效力的法律风险。宅基地使用权抵押应遵循合法性途径,完善抵押登记制度,宅基地使用权转让应市场化运作,其受让后的宅基地使用权期限可界定为30年为宜。     

How do firms finance their exports? – evidence from China

Using a firm-level production data over the period of 2005–2009 from China, this paper provides a new empirical evidence on how firms finance their exports when they have several financial options. The main results of the paper can be summarized as follows. First, firms who have better access to any finance are more likely to export and export more. More financial options lead to a higher export probability and capacity due to the complementary relation between financial options. Second, of all financial options, the internal finance captured by cash holdings or profit plays the most important role on firms’ export likelihood and volume. Firms rely more on the external finance through borrowing to start exporting, but depend more on issuing stocks to their shareholders to expand their exports. Third, subsample results suggest that the financial option of issuing stocks is generally more important for firms who have worse access to external finance in determining export propensity and quantity, such as private-owned firms, small-scale firms, young firms, and non-eastern firms.     

Immediate responses to financial crises: A focus on US MNE subsidiaries

This paper provides evidence for the immediate or short-term responses to financial crises of US multinational firm (MNE) subsidiaries. Using a real options perspective, we hypothesize that financial crises change the relative value of ‘within-country’ versus ‘across-country’ options for MNE subsidiaries. We suggest that relocating subsidiary output is an effective short-term response to local financial crises. We examine the effects of 83 financial crises (banking, debt and currency crises) on longitudinal data of US MNEs’ subsidiary sales in over 50 countries in the period 1983–2005. Our results show market-switching effects. Particularly in the case of local currency crises we observe a refocus of the MNE's subsidiary local sales toward export markets. The effect is maintained in the occurrence of twin financial crises. These results confirm our expectation that financial crises cause an increase in the value of ‘across-country’ option relative to ‘within-country’ option.     

Board member age,stock seasoning and the evolution of capital structure in Chinese firms

This study examines the evolution of capital structure for Chinese stock issuers over an eleven-year period, stretching three years pre- to eight years post-listing. The paper scrutinizes the role of a key demographic in this seasoning process: The age of board officers. The present study’s key postulate is that board age proxies for a firm’s growth options. While issuer indebtedness exhibits little to no connection with other board properties, a strong inverse association exists with officer age. Moreover, entities with older boards experience notably smaller contractions in leverage on listing, as well as more subdued upswings post-IPO. Results are congruent with older board firms possessing fewer growth options and raising less capital at IPO. Additionally, study findings suggest that the Global Financial Crisis delayed Chinese firms’ re-leveraging adjustments post-IPO. Finally, changes to leverage at IPO, and in the years thereafter, appear similar for both hot- and cold-market issuers.     

可转债设计变量对赎回条款价值的影响

运用障碍期权定价的思想和首次通过时间风险中性概率分布,就可转债赎回条款建立价值评估模型,并以模型为基础,定量分析设计变量对赎回条款价值的影响,得到:面值越大,赎回权价值越大;回购价格越大赎回权价值越小。触发比率越大赎回权价值越大;触发价格越高,赎回权价值越小。在触发比率不变前提下,转换价格越大,赎回权价值越小。硬回购保护期不变条件下,赎回权价值随转换期或者到期时间的延长而升高,达到一个高点后,赎回权价值又随到期时间的继续延长而下降等结论。同时澄清了人们长期以来对转换期(或到期时间)影响赎回权价值的错误认识。     

财务二重性视角下的企业财务治理及相关问题研究——兼论财务管理主体、客体与目标

现代财务的内涵决定了企业财务包括价值和权力两个层面,其中,财务治理主要从权力角度处理财务问题,而财务管理侧重从价值角度处理财务问题。据此,我们认为:财务治理主体是拥有财权并参与配置财权的自然人或法人,而财务管理主体是财务活动的参与者与执行者;财务治理客体是财权,而财务管理客体是本金;财务治理目标是财权的最优配置,而财务管理目标是本金的最大增值。     

论公共物品权的设定

人们消费社会产品,在法律上必然存在消费该物品的权利,否则就可能存在其他权利或权力阻止人们消费这种物品。设定公共物品权具有重要意义,天赋人权和社会契约理论、自然法思想和社会连带思想、分级财政与公共财政理论为其理论基础。公共物品权是生存权和发展权的体现,属于应有权利和社会权的范畴,具有非独占性和平等性特征,属于基本权利,但不能超越社会经济发展水平。     

Feed them facts: Value perceptions and consumer use of sustainability-related product information

More than ever, consumers are demanding sustainable options on retail shelves. Retailers, however, are not finding clear evidence of the financial benefits for doing so. This study attempts to provide concrete suggestions to retailers on what kinds of sustainability-related information to provide to consumers. Our online study of approximately 3600 participants provides evidence that, when provided with full information on all sustainability-related attributes, consumers make price/benefit trade-offs resulting in the selection of higher priced, more value-differentiated products. Further, when sustainability-related information is provided for some products and not for others, consumers will “punish” the non-sustainable option. Managerial implications are discussed.     

The intraday distribution of volatility and the value of wildcard options

This study investigates the value of the wildcard option embedded in the American FT‐SE 100 index (SEI) options. Model‐based studies of S&P 100 index options show the embedded wildcard option to have significant value. By contrast, nonparametric tests on SEI options indicate that the wildcard has very little value. The contrasting results arise because U.S. studies observe a high level of volatility during the 15‐minute wildcard period, whereas the 21‐minute wildcard period in London is relatively quiet. The present study highlights the sensitivity of the wildcard value to the intraday distribution of volatility and indicates the difficulty in estimating the wildcard period volatility, since it is itself volatile. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 307–320, 2000     

Valuing Seller‐Defaultable Options

This study analyzes seller‐defaultable options that allow option writers to have a free‐will right to default, along with some prespecified default mechanisms. We analytically and numerically examine the pricing, hedging, defaulting, and profitability of the seller‐defaultable options, considering three possible scenarios for seller default. Analyzing the essential implications of seller‐defaultable options, we show that the option price is positively correlated with the default fine, underlying asset price, and volatility. The seller‐defaultable option's Greeks appear more complicated than those of the plain vanilla options. The likelihood of sellers defaulting increases with the underlying asset price, interest rate, volatility, and maturity time. Subject to the default mechanism, the buyers’ trading involves a trade‐off between profits and costs. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:129–157, 2013