Anvendelsen af optionsaflønning i danske børsnoterede selskaber i perioden 1995-2006

Formålet med denne rapport er at give en overordnet beskrivelse af anvendelsen af optionsaflønning i danske børsnoterede selskaber med fokus på udviklingen over tid frem til og med 2006, dvs. rapporten vil indeholde helt nye resultater i forhold til tidligere undersøgelser. Tilsvarende vil rapporten også indeholde en beskrivelse af, hvad der karakteriserer den optionsaflønning, der senest er blevet tildelt. Rapporten vil dermed primært være ”afrapporterende” og vil ikke indeholde fortolkninger eller diskussioner af disse resultater. I stedet vil rapporten, for de særligt interesserede, i flere tilfælde indeholde referencer til artikler, hvor sådanne diskussioner tidligere er foretaget og/eller, hvor de præsenterede resultater er behandlet mere detaljeret

Mutually unbiased binary observable sets on N qubits

The Pauli operators (tensor products of Pauli matrices) provide a complete basis of operators on the Hilbert space of N qubits. We prove that the set of 4^N-1 Pauli operators may be partitioned into 2^N+1 distinct subsets, each consisting of 2^N-1 internally commuting observables. Furthermore, each such partitioning defines a unique choice of 2^N+1 mutually unbiased basis sets in the N-qubit Hilbert space. Examples for 2 and 3 qubit systems are discussed with emphasis on the nature and amount of entanglement that occurs within these basis sets.Comment: 5 pages, 5 figures. Replacement - expanded introduction and conclusions; added reference

Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Time to Maturity?

New accounting standards require ¯rms to expense the costs of option-based compensation (OBC), but the associated valuations o®er many challenges for ¯rms. Earlier research has documented that ¯rms in the U.S. generally underreport the values of OBC by manipulating the inputs used for valuation purposes. This paper examines the values of OBC disclosed by Danish ¯rms. The results suggest that ¯rms experi ence some di±culties in valuing OBC, but interestingly, there is no clear evidence of deliberate underreporting. For example, there is no evidence that ¯rms use manipulated values for the Black-Scholes parameters in their valuations. Furthermore, ¯rms determine the expected time to maturity in a way that is generally consistent with the guidelines provided by the new accounting standards. The ¯ndings di®er from those of the U.S., but is consistent with the more limited use of OBC and the lower level of attention paid to these values in Denmark. However, the di®erences can also be due to the fact that several Danish ¯rms do not provide the information required regarding their OBC, which is clearly a very e®ective way of hiding the true values

Construction and information content of an investor-cost based rating of Danish mutual funds

We develop a new rating of mutual funds: the atpRating. The atpRating assigns crowns to each individual mutual fund based upon the costs an investor pays when investing in the fund in relation to what it would cost to invest in the fund’s peers. Within each investment category, the rating assigns five crowns to funds with the lowest costs and one crown to funds with the highest costs. We investigate the ability of the atpRating to predict the future performance of a fund. We find that an investor who has invested in the funds with the lowest costs within an investment category would have obtained an annual risk-adjusted excess return that is approximately 3-4 percentage points higher per annum than if the funds with the highest costs had been invested in. We compare the atpRating with the Morningstar Rating. We show that one reason why the atpRating and the Morningstar Rating contain different information is that the returns Morningstar uses as inputs when rating funds are highly volatile whereas the costs the atpRating uses as inputs when rating funds are highly persistent. In other words, a fund that has low costs one year will most likely also have low costs the following year, whereas the return of a fund in a certain year generally contains only little information about the future return that the fund will generate. Finally, we have information on the investments in different mutual funds made by a small subgroup of investors known to have been exposed to both the atpRating and the Morningstar Rating, i.e. information is provided on how investors use the two ratings. We find that investors have a clear preference for high-rated funds

A Useful Way of Burning Money

Firms pay out cash using both dividends and share repurchases. In many aspects these two means are similar, but one important difference is that dividends are generally taxed more heavily than share repurchases. Nevertheless firms persist in paying out large amounts in dividends. This paper provides an explanation for this dividend puzzle by developing a class of signaling models violating the "single-crossing" property in which information about the quality of the firm is asymmetric between the management and the shareholders. In these models a high-quality firm can always signal its quality by using share repurchases only. However, in certain cases share repurchases become costlier on the margin for a high-quality firm than for a low-quality imitator. In such cases, the high-quality firm signals most cost efficiently by means of a combination of share repurchases and taxable cash dividends financed by the issuance of new shares. Taxable cash dividends financed by the issuance of new shares then can be considered a positive kind of money burning whose role is to signal a firm’s high quality. The implications of the models are consistent with several important empirical facts about dividends and share repurchases. Thus, this paper’s main contribution is to examine a range of new signaling models that provides a role for taxable cash dividends and share repurchases and to derive their empirical implications. Key words: Dividends, Share Repurchases, Signaling, Single-Crossing Property, Money Burning JEL Classification: G35, D8

Evidence from Denmark

Abstract It is often asserted that stock splits and stock dividends are purely cosmetic events. However, many studies have documented several stock market effects associated with stock splits and stock dividends. This paper examines the effects of these two types of events for the Danish stock market. Consistent with the existing literature, the two events are associated with a significantly positive announcement effect of ap- proximately 2.5%. However, when examining the two events more carefully, several important results are obtained. First, a firm's motivation for announcing the two events is completely different. Second, the positive stock market reaction is closely related to associated changes in a firm's payout policy, but the relationship varies for the two types of events. Finally, there is only very weak evidence for a change in the liquidity of the stock. On the whole, after controlling for the firm's payout policy, the results suggest that a stock split is a cosmetic event and that a stock dividend on its own is considered negative news. Key words: Stock splits; Stock dividends; Cash dividends; Signaling; Liquidit

Reduced randomness in quantum cryptography with sequences of qubits encoded in the same basis

We consider the cloning of sequences of qubits prepared in the states used in the BB84 or 6-state quantum cryptography protocol, and show that the single-qubit fidelity is unaffected even if entire sequences of qubits are prepared in the same basis. This result is of great importance for practical quantum cryptosystems because it reduces the need for high-speed random number generation without impairing on the security against finite-size attacks.Comment: 8 pages, submitted to PR

Orthogonality of Biphoton Polarization States

Orthogonality of two-photon polarization states belonging to a single frequency and spatial mode is demonstrated experimentally, in a generalization of the well-known anti-correlation 'dip' experiment.Comment: Submitted to Phys.Rev.Let