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| 題 名 | 附認股權公司債評價模式之個案研討 |
|---|---|
| 作 者 | 劉維琪; 林淑玲; | 書刊名 | 管理評論 |
| 卷 期 | 11 1992.11[民81.11] |
| 頁 次 | 頁125-147 |
| 分類號 | 563.5 |
| 關鍵詞 | 認股權證; 附認股權公司債; 履約價格; 避險投資組合; Warrant; Warrant bond; Exercise price; Hedge protfolio; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本文主要就附認股權公司債的評價模式:Black-Scholes評價模式與恆常彈性變異數(Constant Elasticity of Variance, CEV)評價模式加以歸納,並選取民國七十五年元月至八十年三月均存續且營運狀況良好的三家股票上市為樣本,探討兩種評價模式在國內的適用性,以及模式中不同的變數對於認股權證價格的影響程度,再比較其異同處。研究結果顯示,兩種評價模式對於樣本公司的影響方向一致,符合模式的推論;唯其影響的程度各有不同。實例研討結果發現,樣本公司的股價報酬變異數之彈性係數均為0.6左右,符合CEV評價模式之假設,故推論兩種評價模式均適用於樣本公司。 |
| 英文摘要 | The objective of this study is to compare two pricing models of warrant bond: Black-Scholes and Constant Elasticity of Varance (CEV) Pricing Models. The details of the essential differences, assumptions, derivations and applications of both models are discussed. In this paper, three listing companies sustaining from January 1986 to March 1991 are chosen for case study. The empirical evidences indicate that elasticity factors of the variance of stock return are approximately equal to 0.6 for the three companies, which coincides with the assumptions of CEV models. It is concluded that both pricing models are feasible for the conditions of the selected listing companies. |
本系統中英文摘要資訊取自各篇刊載內容。