教師資料查詢 | 類別: 會議論文 | 教師: 鍾惠民 HUIMIN CHUNG (瀏覽個人網頁)

標題:The Impact of Derivative Warrants Introductions on the Underlying StocksEvidence from Taiwan
學年90
學期1
發表日期2001/11/23
作品名稱The Impact of Derivative Warrants Introductions on the Underlying StocksEvidence from Taiwan
作品名稱(其他語言)
著者Chung, Huimin
作品所屬單位淡江大學財務金融學系
出版者
會議名稱2001現代財務論壇學術研討會=2001 Conference of Contemporary Issues of Finance
會議地點臺中, 臺灣
摘要This paper investigates the impact of derivative warrant introductionon the return, risk and trading activity of the underlying assets. Theresult shows that the impact of derivative warrant introductions havemany distinguish features that differ from that of standard options.We found a positive abnormal return at the announcement day, which ismore significant for stocks that are successively issued within twomonths, but the returns decrease after the issuance day. There is apost-issue under-performance of underlying stocks. The results showthat investment bankers have good market timing and that investor haveoptimistic expectation regarding future earnings. Our evidence isconsistent with that financial institutions take advantage of windowsof opportunity by issuing warrants on overvalued equity. We also findthat investment banks tend to issue warrants on stocks which have arecent increase in volatility. The empirical results demonstrate thattrading volume, systematic risk, and liquidity are not affected, whilethe variances of the underlying assets decrease after warrantsintroduced.
關鍵字台灣;避險效果;新上市股票;市場擇時;衍生性權證;交易量;Taiwan;Hedging Effect;Initial Public Offering;Market Timing;Derivative Warrant;Trading Volume
語言英文
收錄於
會議性質國內
校內研討會地點
研討會時間20011123~20011123
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處2001現代財務論壇學術研討會論文集=Proceedings of 2001 Conference of Contemporary Issues of Finance31頁
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