頁籤選單縮合
題 名 | An Empirical Analysis of the Market Structure and the Price Behavior of Warrants: The Case of Taiwan |
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作 者 | Lee,Tsun-siou; Yang,Ching; | 書刊名 | 臺灣金融財務季刊 |
卷 期 | 1:2 2000.12[民89.12] |
頁 次 | 頁89-101 |
分類號 | 562.1 |
關鍵詞 | Warrant; Hertindahl index; Moneyness; Liquidity; |
語 文 | 英文(English) |
英文摘要 | The market of sponsored warrants has been increasing in popularity since its inception in June 1997. Most empirical research aiming at pricing accuracy of widely used option pricing models have found serious market overpricing. Since warrants are different from options in many ways, market overpricing may not be attributed to market inefficiency. Specifically, due to the limited supply of warrants, monopoly power may exist to a certain extent. Warrant prices may therefore be higher than their option counterparts which are priced under the assumption of perfect competition. We use Herfindahl index as a measure of the distribution of warrant holdings and hence the degree of monopoly power. The empirical models control the possible influences of moneyness liquidity and time to expiration suggested by the literature. The evidences indicate strong positive relationship between warrant overpricing and the degree of monopoly power no matter whether time series, corss sectional, or pooled time series-cross sectional analyses are employed. |
本系統中英文摘要資訊取自各篇刊載內容。