題名: 重複發行認購權證之資訊內涵 作者: 薛立言;陳獻儀
貢獻者: 財務金融學系
關鍵詞: 認購權證;隱含波動 ? ;長期績效;Covered warrants;Implied volatility;Long-term performance
日期: 2004
上傳時間: 2010-06-08T05:53:15Z 出版者: Asia University
摘要: 在國內認購權證市場中，相同標的被重複發?的現象十分普遍，由於權證發?標的之 選取是由發?券商決定，因此?同券商針對同一標的發?權證的?為值得市場投資人加 以重視。本研究之目的就是?解市場對於重複發?權證的反應並且進一步分析此事件所 可能傳遞的資訊內涵。?同於過去研究多偏重在權證發?對標的股價或波動?的影響，
本研究以權證隱含波動性的變化?分析市場對重複發?權證的反應。實證結果發現，在 重複發?日之前十日，市場中現有權證之隱含波動?即出現?常上漲現象，顯示出權證 發?的資訊有可能先?洩?，或者發?券商事先在市場上?抬現有權證之價格，藉以提高 該權證之隱含波動??增加該檔權證權??之收入。其次，在權證發?當日，權證隱含波 動?也出現顯著?常的上揚，反應出投資人預期未??確定性的增加；同時也顯示出投 資人對重複發?事件解?為正向的訊息效果。在進一步分析標的股票之長期績效表現 後，我們發現在某些觀察期當中，標的股票報酬表現呈現有顯著優於非權證標之股 票以及市場平均報酬的現象。In the domestic warrant market, a number of stocks have been repeatedly chosen to be the underlying
asset by different warrant issuers. This study attempts to investigate the information content, if any, of these repeatedly-issued covered warrants.
Specifically, we examine the behaviors of implied volatility of existing warrants during the announcements of repeatedly-issued warrants, and our findings show that implied volatility increased significantly around the announcement day, suggesting that the market envisions greater uncertainty associated with the announcement but reacts favorably.
When examining the long-term performance of the underlying stocks of the repeatedly-issued warrants, we find that these stocks tend to
outperform non-warrant target stocks as well as the market average during some observed periods.
