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
Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for pub...Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was carried out.The author warrants that his/her contribution is original展开更多
Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for pub...Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as-tacitly or explicitly-by the responsible authorities at the institution where the work was carried展开更多
Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for pub...Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was carried out.The author warrants that his/her contribution is original展开更多
Journal of Shanghai University(JSU)is published bi- monthly,providing a forum for exchange of research findings in sci- ences and technological disciplines including Applied Mathematics and Mechanics,Physics,Informati...Journal of Shanghai University(JSU)is published bi- monthly,providing a forum for exchange of research findings in sci- ences and technological disciplines including Applied Mathematics and Mechanics,Physics,Information Technology,Mechatronics Engineering,Materials Science and Engineering,Environmental and Chemical Engineering,Biology and Life Science.Contribu- tions from members of Shanghai University as well as researchers of other institutions are sincerely welcome.展开更多
Left-turning vehicle movement at signalized intersections with permissive left-turn phases creates safety concerns due to the higher chance of conflict with opposing-through vehicles and pedestrians.In this research,a...Left-turning vehicle movement at signalized intersections with permissive left-turn phases creates safety concerns due to the higher chance of conflict with opposing-through vehicles and pedestrians.In this research,a simulation-based study was conducted to evaluate pedestrians’impact on traffic conflicts between left-turning vehicles and opposing-through vehicles(V-V conflicts)as well as traffic conflicts between left-turning vehicles and pedestrians(V-P conflicts)in the permissive left-turn phasing scenario.Intersections with different opposing-through volumes,left-turn volumes,number of opposing-through lanes,and pedestrian volumes were modeled in VISSIM,a traffic micro-simulator.The surrogate safety assessment model(SSAM)was used to estimate the number of V-V and VP conflicts.The effect of pedestrian presence on V-V and V-P conflicts was evaluated using simulation scenarios with and without pedestrian presence.Simulation results revealed that pedestrian presence increased both V-V and V-P conflicts.As pedestrian presence increased the total number of traffic conflicts,permissive left-turn phasing processed fewer left-turn vehicles to maintain the same level of intersection safety with pedestrian presence compared to the no-pedestrian scenario.Since current left-turn phasing decision guidelines do not consider the impacts of pedestrian presence,this research quantified pedestrian-influenced and pedestrian-involved left-turn traffic conflicts to determine appropriate left-turn signal phasing decisions to ensure safe and efficient crossing of pedestrians and vehicles at signalized intersections.This simulation-based study’s findings can be beneficial in the decision making of left-turn phasing selection as the before-after intersection safety performance analysis by collecting field data often resources intensive.展开更多
This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and a...This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.展开更多
Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for pub...Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was展开更多
Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for pub...Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was carded out.The author warrants that his/her contribution is original and that he/she has full power to make this grant.The展开更多
Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for pub...Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as-tacitly or explicitly-by the responsible authorities at the institution where the work was carried out.The author warrants that his/her contribution is original and that he/she has full power to make this grant.The author signs for and accepts responsibility for releasing this mate-展开更多
The English edition of Chinese Journal of Integrative Medicine is edited and published by the Chinese Journal of Integrated Traditional and Western Medicine Press.Original scientific papers of advanced clinical and ex...The English edition of Chinese Journal of Integrative Medicine is edited and published by the Chinese Journal of Integrated Traditional and Western Medicine Press.Original scientific papers of advanced clinical and experimental medicine in the field of integration of traditional Chinese and Western medicine are expected.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.
文摘Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was carried out.The author warrants that his/her contribution is original
文摘Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as-tacitly or explicitly-by the responsible authorities at the institution where the work was carried
文摘Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was carried out.The author warrants that his/her contribution is original
文摘Journal of Shanghai University(JSU)is published bi- monthly,providing a forum for exchange of research findings in sci- ences and technological disciplines including Applied Mathematics and Mechanics,Physics,Information Technology,Mechatronics Engineering,Materials Science and Engineering,Environmental and Chemical Engineering,Biology and Life Science.Contribu- tions from members of Shanghai University as well as researchers of other institutions are sincerely welcome.
基金supported by Dr.Dey's start-up funding provided by West Virginia University.
文摘Left-turning vehicle movement at signalized intersections with permissive left-turn phases creates safety concerns due to the higher chance of conflict with opposing-through vehicles and pedestrians.In this research,a simulation-based study was conducted to evaluate pedestrians’impact on traffic conflicts between left-turning vehicles and opposing-through vehicles(V-V conflicts)as well as traffic conflicts between left-turning vehicles and pedestrians(V-P conflicts)in the permissive left-turn phasing scenario.Intersections with different opposing-through volumes,left-turn volumes,number of opposing-through lanes,and pedestrian volumes were modeled in VISSIM,a traffic micro-simulator.The surrogate safety assessment model(SSAM)was used to estimate the number of V-V and VP conflicts.The effect of pedestrian presence on V-V and V-P conflicts was evaluated using simulation scenarios with and without pedestrian presence.Simulation results revealed that pedestrian presence increased both V-V and V-P conflicts.As pedestrian presence increased the total number of traffic conflicts,permissive left-turn phasing processed fewer left-turn vehicles to maintain the same level of intersection safety with pedestrian presence compared to the no-pedestrian scenario.Since current left-turn phasing decision guidelines do not consider the impacts of pedestrian presence,this research quantified pedestrian-influenced and pedestrian-involved left-turn traffic conflicts to determine appropriate left-turn signal phasing decisions to ensure safe and efficient crossing of pedestrians and vehicles at signalized intersections.This simulation-based study’s findings can be beneficial in the decision making of left-turn phasing selection as the before-after intersection safety performance analysis by collecting field data often resources intensive.
文摘This paper examines the information content of implied volatility in the Chinese covered warrant market and finds that the implied volatility is consistently higher than the realized volatility for .all warrants and across all maturities. The implied volatility has very little information content for future volatility in the Chinese warrant market which is dominated by retail investors. Possible explanations for the results are regulatory issues such as restrictions on the short-selling of warrants, differential trading rules for stocks and warrants, high leverage and low trading costs and a market dominated by retail investors.
文摘Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was
文摘Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as--tacitly or explicitly--by the responsible authorities at the institution where the work was carded out.The author warrants that his/her contribution is original and that he/she has full power to make this grant.The
文摘Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well as-tacitly or explicitly-by the responsible authorities at the institution where the work was carried out.The author warrants that his/her contribution is original and that he/she has full power to make this grant.The author signs for and accepts responsibility for releasing this mate-
文摘The English edition of Chinese Journal of Integrative Medicine is edited and published by the Chinese Journal of Integrated Traditional and Western Medicine Press.Original scientific papers of advanced clinical and experimental medicine in the field of integration of traditional Chinese and Western medicine are expected.
