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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/89139
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89139


    Title: 選擇權定價模式應用於上市公司現金增資之研究
    Authors: 黃國棟
    HUANG, GUO-LONG
    Contributors: 林烱垚
    黃國棟
    HUANG, GUO-LONG
    Date: 1992
    1991
    Issue Date: 2016-05-02 15:13:28 (UTC+8)
    Abstract: 根據選擇權的定義,增資新股申購人以及承銷券商包銷新股之行為為皆可以選擇權的買賣加以解釋,並以選擇權定價模式( Option Pricing Model.OPM)來計算其報酬,因此本研究希望利用選擇權定價模式來達到下列目的:
    Reference: 中文部份
    1. 陳隆麒譯(民79年),現代財務管理,第四版,台北華泰書局,35 , 780 263-266。
    2. 王信人(民81年),聯合報3月21日第10版。
    3. 李存修(民80年),「現金增資之成敗風險及訂價策略」,證券市場發展季刊,第十一期,111,113-115,110,40。
    4. 陳澍(民80年),證券發展與實務,證券市場發展基金會,63。
    5. 余雪明(民77年),證券交易法,證券市場發展基金會,61,55,57。
    6. 林炯垚,翁霓及黃德舜(民79年),「最適承銷股價之訂定模式(兼評三商銀公股承銷訂價) 」,證券市場發展季刊,第七期,58。
    7. 潘中孚(民79年),「中華民國證券承銷方式之承銷報酬設計」,政治大學企業管理研究所未出版碩士論文,5。
    8. 陳建志(民80年),「上市公司發行可轉換公司債之研究」,政治大學企業管理研究所未出版碩士論文,73-73。
    9. 黃培源(民81年),「股票價值評估方法」,證券市場發展季刊,第13期,99-107。
    10. 魯憶萱(民79年),「現金增資股發放對交易量及股價影響之探討」,政治大學企業管理研究所未出版碩士論文,2。
    11.李存修(民80年),「現金增資除權交易日之稀釋補償與比價心理假說之實證」,證券市場發展季刊,第12期,54-56。
    12. 李存修(民81年),「選擇權之投資策略、評價理論與其在財務管理上之應用」,證券市場發展季刊,第14期.31-32。
    13. 鄒永芳(民80年),「台灣地區股票承銷之實證研究─選擇權計價模式之應用」,中央大學財管研究所未出版碩士論文。

    英文部分
    1.Beckers,S. (1980) ,"The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance(June), 551-673.
    2.Bhattacharya,M. (1980) ,"Empirical Properties of the Black-Sc-holes Formula under Ideal Conditions, "Journal of Financial and Quantitative Analysis(December) ,1081-1106.
    3.Black,F.and M.Scholes(1973) ,"The Pricing of Option and Corporate Liabilities."Journal of Political Economy(May),399-418
    4.Black.F.and M.Scholes(1972) ."The Valuation of Option Contract and a Test of Market Efficiency," Journal of Finance(May), 399-418.
    5.Cox,J.and M.Rubinstein(1985) ,Option Markets. Prentice-Hall.
    6.Cox,J.and S.Ross(1976), "The Valuation of Options for Alternative Stochastic Process," Journal of Financial Economics(Jan-Mar),145-165 .
    7.Cox,J.,S.Ross and M.Rubinstein(1979)."Option Pricing: A Simplified Approach."Journal of Financial Economics (Sep).299-363
    8.Fama.E.F and Roll, R.(1971),`?Parameters ? Estimates for Symmetric Stable Distribution," Journal of American Statistical Association, vol63.Sep,817-836.
    9.Fisher,S., (1978),"Call Option Pricing When the Exercise Price Is Uncertain and the Valuation of Indexed Bonds," Journal of Finance(March) ,169-172.
    10.Galai,D.(1977),"Tests of Market Efficiency of Chicago Board of Options Exchange," Journal of Business(April),167-197.
    11.Geske,R . (1977),"The Valuation of Corporate Liabilities as Compound Option, "Journal of Financial and Quantitative Analysis (November), 541-552.
    12.Herb Johnson and Rene Stulz(1987), "The Pricing of Option with Default Risk," Journal of Finance(June),267-279.
    13.Hull.White(1987) ."The Pricing of Option on Assets with Stochastic Volatilities," Journal of Finance (March) ,281-300.
    14. Ibboston,Roger.G. (975). "Price Performance of Common Stock New Issues," Journal of Financial Economics,12, 235-272.
    15. _____and J. Jaffe(1975)."Hot Issue Market," Journal of Finance,30,1027-1042.
    16.James C.Van Horn(1990),Financial Market Rates& Flows. 3rd edition, Prentice-Hall International.lnc ., 202-203.
    17.James H.Lorie,Peter Dodd and M.H Kimpton(1985) ,The Stock Market: Theories and Evidences,2nd edition,Richard D. Irwin ,Inc.,144.
    18.J.Parsons and A.Raviv(1985), "Underpricing of Seasoned Issue," Journal of Financial Econolllics,14.
    19.Kevin Rock (1986), "Why New Issues Are Underpriced," Journal of Financial Economics,15.
    20.Klemkosky,R.and B.Resnick(1979),"Put-Call Parity and Market Efficiency, "Journal of Finance(December) .1141-1155.
    21.MacBeth,J.and L.Merville(1979), "An Emprical Examination of the Block-Scholes Call Option Pricing Model."Journal of Finance (December) ,1173-1186.
    22.f.targrabe,W. (1978),"The Valuation of an Option to Exchange One Asset for Another," Journal of Finance(March) .177-186.
    23.Myers.S.C., (1984),"The Capital Structure Puzzle."Journal of Finance(July) ,575-592.
    24.____ .and N.Majluf. (1984), " Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have." Journal of Financial Economics(June).187-221.
    25.Ritter.J, (1984l."The Hot Issue Market of 1980,"Journal of Business.57.215-240.
    26.Robert C.Radcliffe(1987), Investment Concepts, Anaysis and Strategy,2nd edition,Scott,roresman and Company,616.534-536.
    27.S.A.Ross,R.W.Westerfield and J.F.Jaffe(1990) .Corporate Finance, 2nd edition ,Richard D.Irwin.Inc.,562 .
    28.Stoll.H.R.,(1969)"The Reltaionship Between Put and Call Option Price," Journal of Finance (December) ,802-824.
    29.Thomas E.Copeland and J Fred Weston(1988) ,Financial Theory and Corporate Finance,3rd edition, Addison-Wesley Publishing Company, Inc. ,251-256.
    Description: 碩士
    國立政治大學
    企業管理學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004480
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

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