English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140903 (78%)
Visitors : 46051652      Online Users : 899
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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

    Files in This Item:

    File Description SizeFormat

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    著作權政策宣告 Copyright Announcement
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback