政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/63908

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51721683 Online Users : 465

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 140.119/63908

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/63908

Title:	Warrant Introduction Effects on Stock Return Processes
Authors:	Chang, Jui-Jane;Liao, Szu-Lang 張瑞珍;廖四郎
Contributors:	金融系
Date:	2010-04
Issue Date:	2014-02-17 17:49:51 (UTC+8)
Abstract:	As the underpricing 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 on stock return process, full dilution adjustment pricing models would lead to underpricing. To examine whether full dilution adjustment is required for warrant pricing, the Generalized Autoregressive Conditional Heteroscedasticity in Mean (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 distinguishing dilution from asymmetric effect. [ABSTRACT FROM AUTHOR]
Relation:	Applied Financial Economics, 20(17), 1377-1395
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/09603107.2010.491440
DOI:	10.1080/09603107.2010.491440
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
1377-1395.pdf		541Kb	Adobe PDF2	1248	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...