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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/142855
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/142855


    Title: Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies
    Authors: 林士貴
    Lin, Shih-Kuei
    Tsai, Pei-Ling;Hsu, Yuan-Lin;Chih, Hsiang-Hsuan
    Contributors: 金融系
    Keywords: Open market share repurchases;Regulatory price range restriction;Exchange option;Option portfolio
    Date: 2022-09
    Issue Date: 2022-12-27 10:45:53 (UTC+8)
    Abstract: This paper derives option pricing models to formulize the flexibility and conditions that managers have in open market share repurchase programs in Taiwan. We extend the exchange option model by including the regulatory price range restriction and the purpose of the share repurchase. We propose the exchange option model (with price range constraints) and the option portfolio model. The simulated and empirical results show that the market reaction is lower than that in the model of Ikenberry and Vermaelen (1996). The price range constraint may block the market reaction when stock prices are volatile. In addition, investors may pay less attention to the repurchase purpose of returning buyback shares to employees, since there will be a small impact on price. Furthermore, we find that the stock volatility has a significant negative impact on the market reaction to the announcements of the share repurchases.
    Relation: International Review of Economics and Finance, Vol.81, pp.205-226
    Data Type: article
    DOI 連結: https://doi.org/10.1016/j.iref.2022.03.012
    DOI: 10.1016/j.iref.2022.03.012
    Appears in Collections:[金融學系] 期刊論文

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