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| Title: | 備兌型權證標的與契約內容的選擇
The selection of underlying stocks and contract contents of covered warrants |
| Authors: | 林鋒斌 |
| Contributors: | 周行一
林鋒斌 |
| Keywords: | 備兌型權證
流動性
投資人偏好
covered warrant
liquidity
preference of investors |
| Date: | 2010 |
| Issue Date: | 2011-09-29 16:47:51 (UTC+8) |
| Abstract: | 台灣證券交易所每季會挑選並公告可為權證標的的股票，證券商再從中選取想要發行的股票標的，這些被選為標的的股票被發行權證的次數存在明顯的差異。證券商在發行時掌握了許多優勢，除了可以挑選標的之外，權證契約的內容大多也都由證券商決定，這些權證的契約內容勢必會依據標的股票特性的不同而有所差異。在本文中我們將找出會影響證券商選擇標的的因素。另外，我們也試圖找出權證契約與標的股票的特性的關聯性並且討論避險成本課稅問題解決後，對證券商發行權證的影響。
我們發現證券商偏好以近期受到較多市場關注、具有投資人市場偏好、有較高波動度以及有較好流動性的股票作為權證的標的。我們也發現不同標的特性的股票權證契約特性也會不同，受到市場較多關注、流動性較高的標的股票以及重設型、歐式的權證的溢價比例會較高，也發現標的股票的波動性越高，權證的存續期間會較低、標的股票的市值比例越高，權證的行使比例會越低、標的股票的波動性越高，證券商則傾向以重設型以及美式的形式發行權證。近幾年權證檔數的激增與避險成本課稅問題的解決也存在著緊密的關係。
最後，以避險成本課稅問題的時間點來觀察權證市場前後期的改變，則發現下列幾種現象的差異。第一、單一股票於一季之內被發行的次數增加，第二、權證的溢價比例上升，第三、權證的行使比例與存續期間下降，第四、單一權證的發行量降低。這些現象則顯示證券商發行權證模式的改變，在避險成本課稅問題解決後，證券商發行權證的模式類似於石油輸出國家組織控制石油供給量，透過降低每檔權證的發行量來增加議價的籌碼。
Taiwan Stock Exchange (TWSE) selects and announces the stocks for issuing warrants quarterly. Brokers can pick up suitable underlying assets for issue warrants. We observed, however, that the frequency for underlying stocks for issuing warrants were different. We know that the broker has many advantages on issuing warrants likes selecting underlying stocks and setting covenants as well. The covenants will be set base on the stock’s characters. We tried to find key factors for brokers for issuing warrants. Besides, after the deregulation on hedge cost, we elaborate the relationship between warrants and underlying assets.
We found brokers prefer to issue the warrant whose underlying asset with good liquidity, market frenzy and high volatility. Besides, we also noticed that the warrant’s characters will be different base on their underlying assets. The premium is higher for stocks with market frenzy, high liquidity and European warrant. Underlying assets with high volatility will attribute low duration. Stock with high market capitalization will make exercise ratio lower. Brokers intend to issue Reset and American warrants for underlying asset with high volatility. The surge of warrant issuing attributed to relax on hedging tax.
Last, we showed the warrant market different after the relaxing restrictions of hedge cost as follows. First, the frequency of issuing warrant with same underlying asset increases. Secondly, the premium for issuing warrant rises. Thirdly, exercise ratio and duration declines. Fourthly, the volume for single issue is lower. These phenomenon shows that brokers try to increase their bargain power by controlling the warrant volume. This model likes Organization of Petroleum Exporting Countries (OPEC) to control the petrol price by depressing the supply. |
| Reference: | 中文部分
1. 王秀玲(2008)，「台灣認購（售）權證制度十年發展之回顧」，集保結算所月刊第172期，頁31-52。
2. 中華民國證券商業同業公會(2010)，《證券公會季刊》，第一季，頁4-25。
3. 沈仰斌、陳獻儀(2002)，「券商選擇認購權證標的公司之決定因素」， Working paper。
4. 周行一、徐苑玲、徐新舫、莊凱如(2008)，「散戶投資人的交易偏好」，世新大學，行為財務學暨新興市場理論與實證研討會。
5. 郎咸平與劉玉珍，財務管理，二版，民國85 年，頁511-514
6. 謝劍平，現代投資學，民國87 年，初版，頁573-574
英文部分
1. Barber, B. and Odean, T. (2000) ‘Trading is hazardous to your wealth: The common stock investment performance of individual investors’ Journal of Finance 55, 773-806.
2. Brennan, M. J., and Thakor, A. V. (1990) ‘Shareholder preferences and dividend policy’. Journal of Finance 45, 993–1018.
3. Dahlquist, M. and Robertsson, G. (2001) ‘Direct foreign ownership, institutional investors, and firm characteristics’ Journal of Financial Economic 59, 413-440.
4. Jain, R. (2007) ‘Institutional and individual investor preferences for dividends and share repurchases’ Journal of Economics and Business 59, 406-429.
5. Mayhew, S. and Mihov, V. (2004) ‘How do exchanges select stocks for option listing’ Journal of Finance 59, 447–472.
6. Ng, L. and Wu, F.(2006) ‘Revealed stock preferences of individual investors: Evidence from Chinese equity markets’ Pacific-Basin Journal 2, 175-192.
7. Titman, S., Wei, K. C. J., and Yamada, T. (2004) ‘Stock holding preference and performance by different types of investors’ Working Paper. |
| Description: | 碩士
國立政治大學
財務管理研究所
98357031
99 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0098357031 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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