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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63908
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63908


    Title: Warrant Introduction Effects on Stock Return Processes
    Authors: Chang, Jui-Jane;Liao, Szu-Lang
    張瑞珍;廖四郎
    Contributors: 金融系
    Date: 2010-04
    Issue Date: 2014-02-17 17:49:51 (UTC+8)
    Abstract: As the underpricing of warrants remains unsolved after many adjustments presented by previous researchers, we further investigate the impact of the warrant introduction on the underlying stock return processes. This research attempts to determine whether the introduction of warrants influences the return processes of underlying stocks. If the introduction creates a potential dilution effect on stock return process, full dilution adjustment pricing models would lead to underpricing. To examine whether full dilution adjustment is required for warrant pricing, the Generalized Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) model has been extended to derive four models for testing the dilution effect on stock return processes. Empirical results show that the volatilities of underlying stock return processes are significantly reduced following warrant introduction even after distinguishing dilution from asymmetric effect. [ABSTRACT FROM AUTHOR]
    Relation: Applied Financial Economics, 20(17), 1377-1395
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/09603107.2010.491440
    DOI: 10.1080/09603107.2010.491440
    Appears in Collections:[金融學系] 期刊論文

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