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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/38414


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    題名: 公司認股權證對股價之影響
    On Stock Return Processes and Conditional Heteroskedasticities with Warrant Introduction
    作者: 張瑞珍
    Chang, Jui-Jane
    貢獻者: 廖四郎
    張瑞珍
    Chang, Jui-Jane
    關鍵詞: 認股權證
    發行效果
    稀釋效果
    資本結構
    Warrant
    Introduction Effect
    Dilution Effect
    GARCH
    Capital Structure
    日期: 2009
    上傳時間: 2010-04-08 16:48:12 (UTC+8)
    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。
    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.
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    描述: 博士
    國立政治大學
    金融研究所
    93352501
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093352501
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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