政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/38414
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51063698      Online Users : 952
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/38414


    Title: 公司認股權證對股價之影響
    On Stock Return Processes and Conditional Heteroskedasticities with Warrant Introduction
    Authors: 張瑞珍
    Chang, Jui-Jane
    Contributors: 廖四郎
    張瑞珍
    Chang, Jui-Jane
    Keywords: 認股權證
    發行效果
    稀釋效果
    資本結構
    Warrant
    Introduction Effect
    Dilution Effect
    GARCH
    Capital Structure
    Date: 2009
    Issue Date: 2010-04-08 16:48:12 (UTC+8)
    Abstract: 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。
    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.
    Reference: Alberg D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18, 1201-1208.
    Alkeback, P., & Hagelin, N. (1998). The impact of warrant introductions on the underlying stocks, with a comparison to stock options. The Journal of Futures Markets, 18, 307-328.
    Baldauf, B., & Santoni, G. J. (1991). Stock price volatility: some evidence from an ARCH model. The Journal of Futures Markets, 11, 191-200.
    Becchetti, L. (1996). The effect of bond plus equity warrant issues on underlying asset volatility: an empirical analysis with conditional and unconditional volatility measures. Applied Financial Economics, 6, 327-335.
    Beckers, S. (1980). The constant elasticity of variance model and its implications for option pricing. Journal of Finance, 35, 661-673.
    Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-659.
    Black, F. (1976). Studies of Stock Market Volatility Changes. 1976 Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
    Bollen, N. (1998). A note on the impact of options on stock return volatility. Journal of Banking and Finance, 22, 1181-1191.
    Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.

    Christie, A. A. (1982). The stochastic behavior of common stock variances. Journal of Financial Economics, 10, 407-432.
    Christoffersen, P., & Jacobs, K. (2004). Which GARCH model for option valuation? Management Science, 50, 1204-1221.
    Cox, J., & Ross, S. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
    Crouhy, M., & Galai, D. (1991). Common errors in the valuation of warrants and options on firms with warrants. Financial Analysts Journal, 47, 89-90.
    Damodaran, A., & Lim, J. (1991). The effects of option listing on the underlying stocks` return processes. Journal of Banking & Finance, 15, 647-664.
    Duan, J. (1995). The GARCH option pricing model. Mathematical Finance, 5, 13-32.
    Edwards, F. R. (1988a). Does futures trading increases stock market volatility? Financial Analysts Journal, 44, 63-69.
    Edwards, F. R. (1988b). Futures trading and cash market volatility: stock index and interest rate Futures. The Journal of Futures Markets, 8, 421-439.
    Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity With Estimates of the Vari- ance of United Kingdom Inflation. Econometrica, 50, 987-1008.
    Engle, R. F., & Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric Reviews, 5, 1-50.
    Engle, R., Lilien, D., & Robins, R. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391-407.
    Engle, R., & Ng, V. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749-1778.
    Fedenia, M., & Grammatikos, T. (1992). Options trading and the bid-ask spread of the underlying stocks. Journal of Business, 65, 335-351.
    Galai, D., & Schneller, M. I. (1978). Pricing of warrants and the value of the firm. Journal of Finance, 33, 1333-1342.
    Glosten, L., Jagannathan, R., & Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
    Handley J. (2002). On the valuation of warrants. The Journal of Futures Markets, 22, 765-782.
    Hauser, S., & Lauterbach, B. (1997). The relative performance of five alternative warrant pricing models. Financial Analysts Journal, 53, 55-61.
    Heston S.L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327-343.
    Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.
    Kamara, A., Miller, T. W., & Siegel, A. F. (1992). The effect of futures trading on the stability of Standard and Poor 500 returns. The Journal of Futures Markets, 12, 645-658.
    Koziol, C. (2006). Optimal exercise strategies for corporate warrants. Quantitative Finance, 6, 37-54.
    Kremer, J., & Roenfeldt, R. (1993). Warrant pricing: Jump-diffusion vs. Black-Scholes. Journal of Financial and Quantitative Analysis, 28, 255-272.
    Lauterbach, B., & Schultz, P. (1990). Pricing warrants: an empirical study of the Black-Scholes model and its alternatives. Journal of Finance, 45, 1181-1209.
    Ma, C. K., & Rao R. P. (1988). Information asymmetry and options trading. The Financial Review, 23, 39-51.

    Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48, 261-297.
    Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347-370.
    Schulz, G. U., & Trautmann, S. (1994). Robustness of option-like warrant valuation. Journal of Banking and Finance, 18, 841-859.
    Skinner, D. (1989). Options markets and stock return volatility. Journal of Financial Economics, 23, 61-78.
    Stein, J. (1987). Informational externalities and welfare-reducing speculation. Journal of Political Economy, 95, 1123-1145.
    Rabemananjara, R. and Zakoïan, J. M.: 1993, Threshold ARCH models and asymmetries in volatility, Journal of Applied Econometrics 8, 31.49.
    Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18, 931-955.
    Description: 博士
    國立政治大學
    金融研究所
    93352501
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093352501
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

    Files in This Item:

    File Description SizeFormat
    35250102.pdf856KbAdobe PDF21237View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback