https://scholars.lib.ntu.edu.tw/handle/123456789/165875
標題: | An Empirical Analysis of the Price Behavior of Taiwanese Stock Warrants | 作者: | Lee, Tsun-Siou Jian, Mei-Yun |
公開日期: | 30-八月-2001 | 出版社: | 臺北市:國立臺灣大學財務金融學系 | 摘要: | Taiwanese stock warrants have been traded well above their theoretical prices since their inception in 1997. Instead of trying to provide explanations for the overpricing phenomenon, we investigate the behavior of the magnitude of overpricing over time. Through AR model, we first find significantly negative relationship between the magnitude of market overpricing and the returns of the underlying shares. However, the negative relationship vanishes when all end-of-month data are discarded and the usual factors such as the time-to-expiration, moneyness and liquidity are controlled. Month-end buying activities may have been created mostly by the warrant-issuing securities firms for the fear of reporting too much unrealized loss on their warrant positions, especially in the market downturns. Alternatively, if naïve warrant investors prefer to hold their positions due to the lack of liquidity in the unfavorable market situations, the overpricing of warrants would also get more serious. When the unexpected shocks are fitted into the AR -GARCH model, the-first-order autocorrelation of daily mispricing is clearly verified. Both GARCH and ARCH effects are detected in the variance equation in most cases. For asymmetric analysis, we find that the impacts of bad news on future volatility is greater than those of good news of the same magnitude, consistent with the previous literature. The leverage effect and volatility feedback effect, however, fail to capture the essence of warrant overpricing. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/20060927122731601943 | 其他識別: | 20060927122731601943 |
顯示於: | 財務金融學系 |
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