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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/9887

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/9887

    Title: 重複發行認購權證之資訊內涵
    Authors: 薛立言;陳獻儀
    Contributors: 財務金融學系
    Keywords: 認購權證;隱含波動?;長期績效;Covered warrants;Implied volatility;Long-term performance
    Date: 2004
    Issue Date: 2010-06-08 13:53:15 (UTC+8)
    Publisher: Asia University
    Abstract: 在國內認購權證市場中,相同標的被重複發?的現象十分普遍,由於權證發?標的之選取是由發
    標的股票報酬表現呈現有顯著優於非權證標之股票以及市場平均報酬的現象。In the domestic warrant market, a number of stocks have been repeatedly chosen to be the underlying
    asset by different warrant issuers. This study attempts to investigate the information content, if any, of these
    repeatedly-issued covered warrants. Specifically, we examine the behaviors of implied volatility of existing
    warrants during the announcements of repeatedly-issued warrants, and our findings show that implied
    volatility increased significantly around the announcement day, suggesting that the market envisions greater
    uncertainty associated with the announcement but reacts favorably. When examining the long-term
    performance of the underlying stocks of the repeatedly-issued warrants, we find that these stocks tend to
    outperform non-warrant target stocks as well as the market average during some observed periods.
    Relation: 財務金融學刊 12(3):77-106
    Appears in Collections:[財務金融學系] 期刊論文

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