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題名 Warrant Introduction Effects on Stock Return Processes
作者 Chang, Jui-Jane ; Liao, Szu-Lang
張瑞珍;廖四郎
貢獻者 金融系
日期 2010-04
上傳時間 17-Feb-2014 17:49:51 (UTC+8)
摘要 As the underpricing 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 on stock return process, full dilution adjustment pricing models would lead to underpricing. To examine whether full dilution adjustment is required for warrant pricing, the Generalized Autoregressive Conditional Heteroscedasticity in Mean (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 distinguishing dilution from asymmetric effect. [ABSTRACT FROM AUTHOR]
關聯 Applied Financial Economics, 20(17), 1377-1395
資料類型 article
DOI http://dx.doi.org/10.1080/09603107.2010.491440
dc.contributor 金融系en_US
dc.creator (作者) Chang, Jui-Jane ; Liao, Szu-Langen_US
dc.creator (作者) 張瑞珍;廖四郎zh_TW
dc.date (日期) 2010-04en_US
dc.date.accessioned 17-Feb-2014 17:49:51 (UTC+8)-
dc.date.available 17-Feb-2014 17:49:51 (UTC+8)-
dc.date.issued (上傳時間) 17-Feb-2014 17:49:51 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63908-
dc.description.abstract (摘要) As the underpricing 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 on stock return process, full dilution adjustment pricing models would lead to underpricing. To examine whether full dilution adjustment is required for warrant pricing, the Generalized Autoregressive Conditional Heteroscedasticity in Mean (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 distinguishing dilution from asymmetric effect. [ABSTRACT FROM AUTHOR]en_US
dc.format.extent 554482 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Applied Financial Economics, 20(17), 1377-1395en_US
dc.title (題名) Warrant Introduction Effects on Stock Return Processesen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1080/09603107.2010.491440en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1080/09603107.2010.491440en_US