On the Distribution of CBOE Option Trade Prices Occurring Between Consecutive Stock Trades

This paper examines the volume distribution of option trade prices that occurs when the underlying stock price remains constant. The width of these option trade price bands provides direct evidence on the law of one price and the redundancy of options assumed in many option models. We find that index option bands are narrower than equity option bands. Furthermore, for both equity and index options, puts have narrower bandwidths than calls. In general, option price bandwidth is narrow and can be explained by the minimum price movement allowed by the Chicago Board Options Exchanges (CBOE). This supports the single price law and the redundancy assumption. The existence of bid/ask quotes on the option does not materially affect the above results although it does alter the frequency of multiple option trade prices for a given underlying stock price. We note that over 53% of option trading volume occurs without bid/ask quotes on the CBOE compared to less than 15% a decade ago. Our results suggest that the effective bid/ask spread on options is probably no larger than the minimum price movements allowed by the CBOE. Furthermore, the need for the liquidity services of market makers may be declining if the decline in quoting activity stems from cross trading (i.e. trades not involving market makers).     

Pricing and hedging power options

In this paper we study the pricing and hedging of options whose payoff is a polynomial function of the underlying price at expiration; so-called ‘power options’. Working in the well-known Black and Scholes (1973) framework we derive closed-form formulas for the prices of general power calls and puts. Parabola options are studied as a special case. Power options can be hedged by statically combining ordinary options in such a way that their payoffs form a piecewise linear function which approximates the power option's payoff. Traditional delta hedging may subsequently be used to reduce any residual risk.     

管理层收购(MBO)与我国国企改革

管理层收购(Management Buy-outs,MBO)广泛流行于欧美国家,为企业提供了一种新的发展模式。近几年来,管理层收购(MBO)在中国也有了较快的发展。本文的宗旨在于对管理层收购自身的优缺点及其在我国的发展现状进行客观评价,进而推动国有企业改革走上健康发展之路。     

Do executive stock option grants have value implications for firm performance?

Consistent with predictions of agency theory, we find direct evidence that executive stock option grants have value implications for firm performance. This inference is drawn from evaluation of various motivations for the use of such grants in executive compensation: value enhancement, risk taking, tax benefit, signaling and cash conservation. We find consistent evidence for the value enhancement motivation to reduce agency costs. As well, they signal for positive price sensitive information. Our results reject the tax benefit and cash conservation motivations. This finding is robust after controlling for the endogenous character of executive stock option grants and other equity-based grants. JEL Classification G32 • J33 • M52     

农村信用社产权制度改革:理论、绩效与出路

农村信用社产权制度改革不仅是一个金融问题,而且是一个复杂的社会问题.长期以来我国农村信用社按照合作制进行规范绩效差的主要原因是,农村信用社产权制度改革的国家偏好和农民的接受程度之间存在着巨大的矛盾.文章建议通过稳定农村信用社的经营、拉长农村信用社产权制度改革的周期、完善农村信用社产权制度改革的外部环境、增加农村信用社产权制度改革的途径等四个方面的措施来推动我国农村信用社的产权制度改革.     

Technology and Rights

What do we know about technology and rights? This article provides a fairly comprehensive overview of current issues regarding this topic. We explore and analyse a wide spectrum of rights that are challenged in this current era of technological convergence. We use the United States Bill of Rights as an example of the vulnerability of legal protections for rights against particular political and technological changes in this post 9-11 climate. New streams of rights acting as a safeguard against further incursions of technology into civil liberties are explored. We also address intellectual property rights and international trends in copyright, patent and trademark laws. We question whether these issues of technology and rights have a place in current technological literacy scenarios.     

Entry in the presence of dueling options

This paper investigates the influence of industry uncertainty on the decision by established firms to enter a new industry. Specifically, we examine the tension between the option to defer , which discourages entry in the presence of uncertainty, and the option to grow , which may encourage entry in the presence of uncertainty when there are early mover advantages. Empirical analysis on data from a broad array of industries revealed that the effect of uncertainty on entry is not monotonic. Our findings are the first to find support for the nonmonotonic effect of uncertainty that has only recently emerged in theoretical treatments of real options theory, and amplify the importance of considering both the option to defer and the option to grow when contemplating entry. Furthermore, we found evidence that the relationship between uncertainty and entry is moderated by: (a) irreversibility, which influences the value of the option to defer; (b) the total value of growth opportunities; and (c) early mover advantages, which magnify the value of growth options. Copyright © 2003 John Wiley & Sons, Ltd.     

企业主体性产权理论的构建 --相关和自主统一的属性所有权

企业是市场经济活动的主体，应该具有其主体属性，并且正是其主体属性决定它的主体地位和作用，并形成主体性产权。但是，学术界缺乏对这个问题的研究，主要是因为受西方经济学传统的限制，要突破这种限制必须把经济学与管理学结合起来进行研究，以构建企业主体性产权理论。企业主体性产权是其相关属性产权与自主属性产权的统一。企业相关属性及其产权是基础和结果，主要说明企业主体性产权的共性；企业自主属性及其产权是原动力和境界，主要说明企业主体性产权的个性。它们的互补和统一突出地体现在企业家及其产权上。企业主体性产权的目的是在防止“蛋糕”缩小的同时把“蛋糕”做大，其核心是基于相互关系的约束而进行自主创造的激励，其模型的运行特点是协同一自主创造。企业主体性产权理论的应用，可以保证和促使中国企业循着超越自然历史发展。     

Have labour practices and human rights disclosures enhanced corporate accountability? The case of the GRI framework

This paper critically evaluates Transnational Corporations’ (TNCs) claimed adherence to the Global Reporting Initiative (GRI)’s ‘labour’ and ‘human rights’ reporting guidelines and examines how successful the GRI has been in enhancing comparability and transparency. We found limited evidence of TNCs discharging their accountability to their workforce and, rather, we found evidence to suggest that disclosure was motivated more by enhancing their legitimacy. TNCs failed to adhere to the guidelines, which meant that material information items were often missing, rendering comparability of information meaningless. Instead, TNCs reported large volumes of generic/anecdotal information without acknowledging the impediments they faced in practice.     

Independent directors and earnings management: The moderating effects of controlling shareholders and the divergence of cash-flow and control rights

The research results on the suppressing effect of independent directors on earnings management are not consistent in existing literature. In addition, it has been argued that using financial statements provided by top management to investigate top management's earnings management is not appropriate. Therefore, the purpose of this study is twofold. First, we used external auditors (including the auditors of Taiwan Stock Exchange Corporation and the auditors of two Big Four accounting firms – Deloitte & Touche and KPMG in Taiwan) as respondents in order to obtain less biased data. Second, we investigate the moderating effects of controlling shareholders and the divergence of cash-flow and control rights on the relationship between independent directors and earnings management. The results show that both the existence of controlling shareholders and the divergence of cash-flow and control rights have significant suppressing effects on the relationship between independent directors and earnings management. Theoretical and practical implications are also discussed.