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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > 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 link:	https://doi.org/10.1016/j.iref.2022.03.012
DOI:	10.1016/j.iref.2022.03.012
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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