03703ntm a22005057a 4500 000297527 CZ-PrVSE 20150603003211.0 m d cr n|||||||||| 150603s2015 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Křížek, Tomáš ISIS:49630 dis Pokles cen akcií v ex-dividend den a efektivnost trhů s akciovými opcemi eng Ex-Dividend Day Share Price Decline and Efficiency of Equity Options Markets [elektronický zdroj] / Tomáš Křížek 2015 ?? s. : digital, PDF soubor Vedoucí práce: Petr Dvořák Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2015 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2015 This paper analyses options/warrants price behavior around an ex-dividend day of underlying shares. Both equity options as financial instruments traded on options exchanges, and warrants/certificates as OTC financial instruments are analyzed. First, the paper analyzes the ex-dividend day share price drop. Findings of this part are further used to analyze the impact of unexpected share price decline on options prices. Further, the paper focuses on volumes of traded options contracts and changes in options prices around the ex-dividend day. The paper focuses on European shares and related options and warrants. The options data was collected from the options exchange EUREX and also from several OTC sources -- Vontobel, Lang & Schwarz, Erste, and xMarkets by Deutsche Börse. The main aim of the paper is to identify market inefficiencies in trading in and valuation of equity options. There are two main conclusions that around the ex-dividend day there is a significantly increased trading activity and the call options depreciate whereas put options appreciate between the cum-dividend and the ex-dividend day. This shows insufficient implementation of the share price drops into options valuation models of options dealers or investors / speculators. Further an impact of unexpected share price behavior was analyzed but no particular pattern has been identified. The impact of the unexpected share price drop (either too high or too low) has ambiguous implications on the options prices. Finally, ways how to utilize on knowledge of inefficient trading in options around the ex-dividend day were suggested. The suggestions were done both from the perspective of an investor / speculator and of an options dealer. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas Ex-dividend day Equity options Share price decline Market efficiency Dvořák, Petr, 1960- jn19981000875 ths Stádník, Bohumil pna2012685552 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/21423/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/21423 Hlavní práce https://isis.vse.cz/zp/21423/posudek/oponent/42467 Oponentura https://isis.vse.cz/zp/21423/posudek/oponent/42468 Oponentura https://isis.vse.cz/zp/21423/podrobnosti dc:identifier NEPOSILAT VSKP vse21423 150531 21423