Warrant exercise and bond conversion in competitive markets

We develop a theory of warrants held by competitive warrantholders not constrained to exercise their warrants as one block; the theory also applies to convertible bonds held by competitive bondholders not constrained to convert their bonds as one block. We prove that the warrant (bond) price in each of the competitive equilibria is less than or equal to the price in an economy with the block constraint; and for at least one competitive equilibrium the warrant (bond) price equals the warrant (bond) price in the block-constrained economy. We illustrate the paths of competitive warrant exercise and bond conversion and conclude that under realistic assumptions they can be long.     

In-the-Money Warrant Extensions

This paper examines the warrant price and stock price reactions to the extension of the expiration date of in-the-money warrants. The warrant prices increase significantly in response to the announcement, consistent with option pricing theory. Shareholders experience no significant abnormal returns at the announcement, contrary to the conjecture that an extension will transfer wealth from shareholders. There is support for the idea that firms extend warrant life because the existing assets' cash flow obviates the need for additional financing. The data show that both the stocks and the warrants perform poorly in the month following the extension announcement.     

基于分形市场的认股权证定价分析

传统的Black-Scholes期权定价模型没能考虑权证执行的“稀释效应”以及“红利分配”问题，修正的模型虽然解决了这两个问题，但仍然建立在市场有效性的假设基础之上，而分形市场中的分数布朗运动定价模型合理地解决了这些问题。本文以武钢认股权证（WISCO）为例，对认股权证的定价进行了实证探索，并对权证的理论价格与实际价格以及标的证券——武钢股价的走势进行了对比研究，指出了认股权证市场价格的不舍理性和存在的获利机会。     

附认股权公司债初探

附认股权公司债与可转换债很类似，本质上都是固定利率债券与认股权的组合，两种产品的差异主要是债券与股权凭证的结构设计。     

权证行权若干问题之思考

本文首先结合权证行权适用条件及权证价格有关影响因素,对权证行权时间选择的一般情形做出分析.在比较港台地区及内地市场权证的行权交收期,并结合权证发行人和投资者的利益以及行权需求对行权效率的选择进行分析的基础上,本文对国内目前的行权制度提出了相关建议.     

Asset valuation and accounting strategy within the Japanese shipping industry c.1876-c.1950

The Japanese shipping industry adopted European-style book-keeping in the 1870s. Before 1937, there were few regulations on accounting practices in Japan and we can observe their natural evolution at the Nippon Yusen Kaisha (NYK). NYK, which prospered to become a blue-chip company, developed its accounting techniques in asset valuation exploiting a policy that income and expense from selling securities or vessels should not go directly to the profit and loss account. Asset revaluations were undertaken not to reflect market value but to implement accounting strategy.     

The Valuation Effects of Warrant Extensions

In this paper, we examine the warrant price and stock price reactions to the announcement of warrant life extensions. As predicted by option-pricing theory, warrant prices increase in response to an extension. Our principal finding is that the stocks of firms making the extension announcements experience positive abnormal returns on average. We interpret the evidence as supportive of an anticipation hypothesis in which the market perceives the decision to extend the warrants' expiration date as a favorable indication for the stock price before the subsequent expiration.     

Warrant Exercise,Dividends, and Reinvestment Policy

In this paper, we examine sequential exercise strategies by warrantholders and the gain from hoarding warrants. We analyze several obstacles to acquiring large blocks in order to exploit sequential strategies. First, we identify several reinvestment policies for which sequential exercise is not advantageous, thereby eliminating the gain from hoarding. However, sequential exercise strategies may be advantageous for monopoly or oligopoly warrantholders, even absent dividends, because using exercise proceeds to repurchase stock or to expand the firm's scale increases the riskiness of an equity share. Second, oligopoly warrantholders can receive a smaller warrant value than perfectly competitive warrantholders, suggesting a potential cost to unsuccessful hoarding.     

Fair Terms and Fair Pricing for Multiple Warrant Issues

Abstract

Some firms utilize one or more tranches of warrant issues to supplement their capital base. Unlike exchange-traded options, the exercise of warrants requires the issuance of stock by the company, resulting in a form of dilution. Some previous studies of warrant valuation relied on “the value of the firm,” which is nonobservable, making it difficult to apply the corresponding valuation formula. This paper derives closed-form formulas to value single and multiple tranches of warrants based on the underlying stock price, its volatility, and other known parameter values. The paper first establishes the equivalence of the Black-Scholes formula for both call options and warrants in the case of a single tranche. Thereafter, it considers the impact on the value of previously issued warrants that results when a new tranche of warrants is subsequently issued, showing in each case that fair treatment of the first-issued warrant holders requires an adjustment (due to dilution) in the terms of those warrants and a corresponding modification in the warrants’ value once a second tranche of warrants is issued. To promote such fair treatment, terms of a warrant indenture would specify the nature of the adjustment required when future warrants are issued or exercised, analogous to the antidilution terms related, for example, to stock dividends. Unlike multiple issues of traded options, which are valued independently of one another, multiple warrant issues will be shown to have prices dependent on other warrants outstanding. Also examined is the sensitivity of the fair-value adjustment to changes in the underlying variables, and the theoretical fair-value prices are compared with Black-Scholes prices and with market prices of warrants in the case of two publicly traded companies, each with two warrant issues outstanding. As warrant issues modify the equity structure of a firm, the methodology of valuing warrants presented here will be useful to investment actuaries in situations in which a comprehensive market value for all of a firm’s securities is called for. In addition, risk management practices may sometimes include the use of warrant transactions to hedge stock positions similar to the way that call options are used for that purpose. This may include hedging the risk in equity-linked insurance contracts when the equity position includes stock in companies that have one or more warrant issues that are traded. The methods developed here are also applicable to multiple issues of executive stock options (ESOs) or to combinations of warrant issues and ESOs.     

沪深权证价格偏离分析

沪深证券市场权证理论价格与权证市场价格的偏离现象主要不是理论定价公式的输入变量误差导致的,而是因为股票收益率与权证收益率之间的相关系数与理论预期不一致,乃至相冲突所导致的。权证理论价格与市场价格偏离的主要原因是在当前的交易制度安排下,由于市场限制(摩擦)抑制了套利交易,导致权证市场投机交易占主导,以致权证市场价格偏离长期均衡水平。     

公允价值与资产评估

引言近十年来,国际会计准则委员会在推广公允价值方面取得了很大的进展。2005年1月1日,包括欧盟在内的90多个国家和地区开始采用新的国际会计准则,相应地也开始执行该准则中关于公允价值应用的规定。     

低波动率溢价条件下的备兑权证定价

作为对传统期权定价模型的改良，本文将不同的波动率模型导入BlackSchole（1973）模型以及Hull＆White（1987）模型，研究了在低波动率溢价条件下各种波动率模型与定价模型结合而形成的新定价模型对中资股背景的备兑权证定价的能力。根据样本所计算的结果显示，Hull＆White模型与GARCH$波动率模型的结合能够较为精准地对备兑权证进行定价。此外，面对我国证券市场可能迎来的备兑权证即将发行的格局，本文还提出了加强发行商资格审批、发行后风险控制监管相对灵活等建议。     

权证市场创设制度绩效研究

为了研究权证创设制度对市场的影响，本文构建了一个包括理性投资者、理性投机交易者和噪声交易者三种市场参与者的权证市场均衡模型，并利用权证市场推出后沪市所有交易数据对该模型进行了估计，同时比较了创设制度对不同权证种类的影响，分析了创设制度对标的股票价格行为的作用，本文发现，创设制度的引入对认沽权证的价格稳定作用超过对认购权证的价格稳定作用；权证的出现使得股票市场价格波动性变小，但创设制度却使得股票市场的波动性增大。     

Governance and bank valuation

This paper assesses the impact of the ownership structure of banks and shareholder protection laws on bank valuations while controlling for differences in bank regulations. Except in a few countries with very strong shareholder protection laws, banks are not widely held. Rather, families or the State control banks. Furthermore, (i) larger cash-flow rights by the controlling owner boost valuations, (ii) stronger shareholder protection laws increase valuations, and (iii) greater cash-flow rights mitigate the adverse effects of weak shareholder protection laws on valuations. These results suggest that ownership structure is an important mechanism for governing banks.     

规范建立和发展我国的权证市场

权证是国际证券市场上一种最初级的金融衍生产品，它是证券市场发展到一定阶段后的必然产物。权证实质上是一种股票期权。目前在我国发展权证市场很有必要，但要注意规范发展，以免金融风险被扩大。     

关于权证定价修正模型的比较研究——基于交易成本和股息分红因素的分析框架

在我国股权分置改革中，权证推动了证券市场的金融创新。鉴于权证定价可以借鉴期权理论，国外B—S模型对我国权证市场的创新和风险管理具有一定的参考意义。本文采用B—S定价模型定价宝钢认购权证和长电认购权证，分别从交易成本和股息分红的角度进行了相应的模型调整，以改进、完善适应我国权证市场的定价方法。     

Consumption-based equity valuation

Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX, and NASDAQ over a 30-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather than through a risk-adjusted cost of equity in the denominator. The risk adjustments are derived based on assumptions about the time-series properties of residual income returns and aggregate consumption rather than on historical stock returns. We compare the performance of the model with several implementations of standard valuation models, both in terms of median absolute valuation errors (MAVE) and in terms of excess returns on simple investment strategies based on the differences between model and market prices. The CCAPM-based valuation model yields a significantly lower MAVE than the best performing standard valuation model. Both types of models can identify investment strategies with subsequent excess returns. The CCAPM-based valuation model yields time-series of realized hedge returns with more and higher positive returns and fewer and less negative returns compared with the time-series of realized hedge returns based on the best performing standard valuation model for holding periods from 1 to 5 years. In a statistical test of 1-year-ahead excess return predictability based on the models’ implied pricing errors, the CCAPM-based valuation model is selected as the better model. Using the standard series of aggregate consumption and the nominal price index, a reasonable level of relative risk aversion, and calibrated growth rates in the continuing value at each valuation date, the CCAPM-based valuation model produces small risk adjustments to forecasted residual income and low continuing values. Compared with standard valuation models, it relies less on estimated parameters and speculative elements when aggregating residual earnings forecasts into a valuation.     

股权分置改革中的公司认股证定价探讨——以长电权证定价为例

由于公司认股证期末需要通过发行新股以应对权证持有人行权要求,故不能直接套用Black-Scholes公式.长电权证作为首只公司认股证,目前部分研究机构对其定价过程中的问题存在一定认识误区.本文将理清认股证定价模型原理,并针对长电权证的实际情况修正公司认股证模型,运用MC模拟的方法加以验证并提出考虑红利时的处理方法.