政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/142855

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51569380 Online Users : 733

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/142855

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/142855

Title:	Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies
Authors:	林士貴 Lin, Shih-Kuei Tsai, Pei-Ling;Hsu, Yuan-Lin;Chih, Hsiang-Hsuan
Contributors:	金融系
Keywords:	Open market share repurchases;Regulatory price range restriction;Exchange option;Option portfolio
Date:	2022-09
Issue Date:	2022-12-27 10:45:53 (UTC+8)
Abstract:	This paper derives option pricing models to formulize the flexibility and conditions that managers have in open market share repurchase programs in Taiwan. We extend the exchange option model by including the regulatory price range restriction and the purpose of the share repurchase. We propose the exchange option model (with price range constraints) and the option portfolio model. The simulated and empirical results show that the market reaction is lower than that in the model of Ikenberry and Vermaelen (1996). The price range constraint may block the market reaction when stock prices are volatile. In addition, investors may pay less attention to the repurchase purpose of returning buyback shares to employees, since there will be a small impact on price. Furthermore, we find that the stock volatility has a significant negative impact on the market reaction to the announcements of the share repurchases.
Relation:	International Review of Economics and Finance, Vol.81, pp.205-226
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.iref.2022.03.012
DOI:	10.1016/j.iref.2022.03.012
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	274	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...