On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightnes...On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightness and liquidity, changes on underlying stocks due to warrants issuance, are investigated. In this study, the CAPM is applied for evaluating the market risk, the Kyle model for the market depth, the averaged best five bid-ask spread for the market tightness and the averaged turnover rate for the market liquidity. The empirical results indicate that the most significant influence is the market liquidity, the market tightness next; the market risk and market depth are non-significant.展开更多
The most common type of intersection improvement considered in Ghana is signalization. However, other actions such as the installation of left-turn lanes have been proven to improve the efficiency and safety of an int...The most common type of intersection improvement considered in Ghana is signalization. However, other actions such as the installation of left-turn lanes have been proven to improve the efficiency and safety of an intersection without the need for signalization in the short term. Warrants which guide the installation of such lanes in Ghana are adopted from elsewhere and as a result do not reflect local traffic flow conditions. This study established volume warrants based on a delay threshold to guide the installation of left- turn lanes at unsignalized T-intersections using VISSIM micro simulation tool. The VISSIM model was calibrated using traffic flow, delay, average and maximum queue length data obtained from a two-hour video recording of the case study intersection during the morning peak period. After calibration, several scenarios covering a wide range of opera- tional conditions were simulated. Using level of service （LOS） C cut off point of 25 s/veh as the maximum acceptable delay to minor road left-turning traffic, an equation y = -0.57x ＋1091 has been developed which predicts the minor road left-turn volume threshold （y） above which a minor road left-turn lane may be considered and below which a minor road left-turn lane may not be necessary for a range of major road volumes （x）. The critical delay to major road left-turning traffic was found to be 16 s/veh. Major road left-turn lane volume warrants were also determined based on this threshold delay value. The approach used in this study can serve as a guide that can be used by metropolitan and municipal road en- gineers to assess the need for left-turn lanes.展开更多
The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying s...The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock exchanges.The event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal return.Empirical results show no evidence of magnitude effect but sign effect after warrants introduction.The authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.展开更多
We have shown that classic works of Modigliani and Miller, Black and Scholes, Merton, Black and Cox, and Leland making the foundation of the modern asset pricing theory, are wrong due to misinterpretation of no arbitr...We have shown that classic works of Modigliani and Miller, Black and Scholes, Merton, Black and Cox, and Leland making the foundation of the modern asset pricing theory, are wrong due to misinterpretation of no arbitrage as the martingale no-arbitrage principle. This error explains appearance of the geometric Brownian model (GBM) for description of the firm value and other long-term assets considering the firm and its assets as self-financing portfolios with symmetric return distributions. It contradicts the empirical observations that returns on firms, stocks, and bonds are skewed. On the other side, the settings of the asset valuation problems, taking into account the default line and business securing expenses, BSEs, generate skewed return distributions for the firm and its securities. The Extended Merton model (EMM), taking into account BSEs and the default line, shows that the no-arbitrage principle should be understood as the non-martingale no arbitrage, when for sufficiently long periods both the predictable part of returns and the mean of the stochastic part of returns occur negative, and the value of the return deficit depends on time and the states of the firm and market. The EMM findings explain the problems with the S&P 500 VIX, the strange behavior of variance and skewness of stock returns before and after the crisis of 1987, etc.展开更多
文摘On the basis of the price, volume and volatility of underlying stocks, this article empirically investigates the impact of 273 Taiwan call warrants on underlying stocks. Discussions by the market risk, depth, tightness and liquidity, changes on underlying stocks due to warrants issuance, are investigated. In this study, the CAPM is applied for evaluating the market risk, the Kyle model for the market depth, the averaged best five bid-ask spread for the market tightness and the averaged turnover rate for the market liquidity. The empirical results indicate that the most significant influence is the market liquidity, the market tightness next; the market risk and market depth are non-significant.
文摘The most common type of intersection improvement considered in Ghana is signalization. However, other actions such as the installation of left-turn lanes have been proven to improve the efficiency and safety of an intersection without the need for signalization in the short term. Warrants which guide the installation of such lanes in Ghana are adopted from elsewhere and as a result do not reflect local traffic flow conditions. This study established volume warrants based on a delay threshold to guide the installation of left- turn lanes at unsignalized T-intersections using VISSIM micro simulation tool. The VISSIM model was calibrated using traffic flow, delay, average and maximum queue length data obtained from a two-hour video recording of the case study intersection during the morning peak period. After calibration, several scenarios covering a wide range of opera- tional conditions were simulated. Using level of service （LOS） C cut off point of 25 s/veh as the maximum acceptable delay to minor road left-turning traffic, an equation y = -0.57x ＋1091 has been developed which predicts the minor road left-turn volume threshold （y） above which a minor road left-turn lane may be considered and below which a minor road left-turn lane may not be necessary for a range of major road volumes （x）. The critical delay to major road left-turning traffic was found to be 16 s/veh. Major road left-turn lane volume warrants were also determined based on this threshold delay value. The approach used in this study can serve as a guide that can be used by metropolitan and municipal road en- gineers to assess the need for left-turn lanes.
基金supported by the National Nature Science Foundation of China under Grant No.71101001the National Nature Science Foundation of Chinathe Research Grants Council of Hong Kong under Grant No.70731160635
文摘The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock exchanges.The event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal return.Empirical results show no evidence of magnitude effect but sign effect after warrants introduction.The authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.
文摘We have shown that classic works of Modigliani and Miller, Black and Scholes, Merton, Black and Cox, and Leland making the foundation of the modern asset pricing theory, are wrong due to misinterpretation of no arbitrage as the martingale no-arbitrage principle. This error explains appearance of the geometric Brownian model (GBM) for description of the firm value and other long-term assets considering the firm and its assets as self-financing portfolios with symmetric return distributions. It contradicts the empirical observations that returns on firms, stocks, and bonds are skewed. On the other side, the settings of the asset valuation problems, taking into account the default line and business securing expenses, BSEs, generate skewed return distributions for the firm and its securities. The Extended Merton model (EMM), taking into account BSEs and the default line, shows that the no-arbitrage principle should be understood as the non-martingale no arbitrage, when for sufficiently long periods both the predictable part of returns and the mean of the stochastic part of returns occur negative, and the value of the return deficit depends on time and the states of the firm and market. The EMM findings explain the problems with the S&P 500 VIX, the strange behavior of variance and skewness of stock returns before and after the crisis of 1987, etc.
