臺灣認購權證初級市場定價、風險、與策略

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Title:	臺灣認購權證初級市場定價、風險、與策略
Other Titles:	Primary Market Pricing, Risk, and Issuing Strategies in Taiwan Warrant Market
Authors:	李進生;謝文良
Contributors:	淡江大學財務金融學系
Date:	2001-01
Issue Date:	2009-11-30 17:50:37 (UTC+8)
Publisher:	復華證券金融股份有限公司
Abstract:	本文探討台灣權證初級市場的定價方式、定價公平性、及券商常用的初級市場銷售策略。文中揭示臺灣權證發行機構面對相當高的價格風險及其他發行風險，券商以提高波動性估計來面對無法精確估計波動性的風險，使得權證發行價顯著高估，同時也實現可觀的超額利潤。根據理論推導，於發行期間拉抬股價確實有助於券商獲取較高發行利潤，但此舉有可能損害投資人的利益。實證資料進一步顯示，權證發行前標的股有顯著的超額報酬，但發行期間的發行後的報酬皆不明顯，這反映券商於發行前建立避險部位，並乘勢拉抬股價，提高權證發行售價。最後本文建議以揭露標竿價格的方式，協助市場判斷合理的權證發行價位水準。 The persistent overprice in Taiwan warrant market is investigated in detail. We find that issuers often mark up the initial offering prices by a large percentage. The issuing risk together with regulation restricitions is not sufficient to justify the huge realized issuing profit. The pricing formula provides issuers with strong incentive to manipulate the underlying stock prices. Such behavior may profit issuers at investors' costs. However, event study shows no significant excess return during the issuing period, although nontrivial cumulative returns are found in a 30-day period perior to warrant issuance. Finally, disclosure of benchmark prices at warrant issuing may reduce the mispricing and increase the efficiency of primary market.
Relation:	證券金融 68，頁 1-36
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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