| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 張瑞珍 | zh_TW |
| dc.contributor.author (Authors) | Chang, Jui-Jane | en_US |
| dc.creator (作者) | 張瑞珍 | zh_TW |
| dc.creator (作者) | Chang, Jui-Jane | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Apr-2010 16:48:12 (UTC+8) | - |
| dc.date.available | 8-Apr-2010 16:48:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Apr-2010 16:48:12 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093352501 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/38414 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 93352501 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 雖然許多研究已針對認股權證評價進行調整，但是其價格低估的問題仍無法解決。因此，本文將探討認股權證發行對股價報酬動態過程的影響。本文將證實是否認股權證發行將影響其標的股價之動態過程，倘若股價報酬的動態過程已反應了認股權證發行的潛在稀釋效果，則進行充分調整的股權稀釋模型將低估認股權證的價格。為了確認在評價認購權證時充分調整稀釋效果的必要性，本文將檢測權證發行對股票報酬過程的影響。本文利用延伸Garch-M模型，導出四個檢驗稀釋效果的模型。實證結果顯示，在發行認股權證之後，股價報酬的變異數顯著降低，該結果在釐清股權稀釋效果與不對稱效果之後，該稀釋效果依然顯著。 | zh_TW |
| dc.description.abstract (摘要) | As the underestimation of warrants remains unsolved after many adjustments presented by previous researchers, we further investigate the impact of the warrant introduction on the underlying stock return processes. This research attempts to determine whether the introduction of warrants influences the return processes of underlying stocks. If the introduction creates a potential dilution effect in stock return processes, full dilution adjustment pricing models would lead to underestimation. To exam whether full dilution adjustments are required for warrant pricing, the GARCH-M model has been extended to derive four models for testing the dilution effect on stock return processes. Empirical results show that the volatilities of underlying stock return processes are significantly reduced following warrant introduction even after clarification and distinguishing dilution from asymmetric effect. | en_US |
| dc.description.tableofcontents | Chapter 1 Introduction……………………………….…. p.4Chapter 2 Literature Review…………………………… p.6 2.1 Warrant derivatives p.6 2.2 GARCH model p.9 2.3 GARCH-in-mean (GARCH-M) model p.10 2.4 Asymmetric GARCH p.10Chapter 3 Methodology…………………………………. p.14 3.1. Theoretical Consideration on Testing the Effect of Warrants on the Underlying Stock Return Process p.14 3.2. Stock Return Processes in the GARCH-M Model p.15 3.3. The GARCH-M Model with Volatility Modifications for Testing the Effect of Warrant Introduction p.17Chapter 4 Data ………………………………………….. p.24Chapter 5 Empirical Results……………………………. p.27 5.1. Model 1: The Dilution-Adjusted GARCH-M Model p.27 5.2. Model 2: The Asymmetric Dilution-Adjusted GARCH-M Model p.31 5.3. Model 3: The Dilution-Adjusted GARCH-M Model with a Threshold for Exercise Prices p.34 5.4. Model 4: The Asymmetric Dilution-Adjusted GARCH-M Model with a Threshold for Exercise Prices p.37 Chapter 6 Discussion……………………………………. p.40 6.1 The Dilution Effect on Stock Return Processes p.41 6.2 A Plausible Explanation of Changes in the Stock Return Process p.42Chapter 7 Conclusions………………………………….. p.44Appendix A The Stock Return Process of Companies in Table Ⅰ p.49 | zh_TW |
| dc.format.extent | 877487 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093352501 | en_US |
| dc.subject (關鍵詞) | 認股權證 | zh_TW |
| dc.subject (關鍵詞) | 發行效果 | zh_TW |
| dc.subject (關鍵詞) | 稀釋效果 | zh_TW |
| dc.subject (關鍵詞) | 資本結構 | zh_TW |
| dc.subject (關鍵詞) | Warrant | en_US |
| dc.subject (關鍵詞) | Introduction Effect | en_US |
| dc.subject (關鍵詞) | Dilution Effect | en_US |
| dc.subject (關鍵詞) | GARCH | en_US |
| dc.subject (關鍵詞) | Capital Structure | en_US |
| dc.title (題名) | 公司認股權證對股價之影響 | zh_TW |
| dc.title (題名) | On Stock Return Processes and Conditional Heteroskedasticities with Warrant Introduction | en_US |
| dc.type (資料類型) | thesis | en |
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