The Impact of Derivative Warrants Introductions on the Underlying Stocks：Evidence from Taiwan

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题名:	The Impact of Derivative Warrants Introductions on the Underlying Stocks：Evidence from Taiwan
作者:	Chung, Huimin
贡献者:	淡江大學財務金融學系
关键词:	台灣;避險效果;新上市股票;市場擇時;衍生性權證;交易量;Taiwan;Hedging Effect;Initial Public Offering;Market Timing;Derivative Warrant;Trading Volume
日期:	2001-11
上传时间:	2014-02-11 23:59:06 (UTC+8)
摘要:	This paper investigates the impact of derivative warrant introductionon the return, risk and trading activity of the underlying assets. Theresult shows that the impact of derivative warrant introductions havemany distinguish features that differ from that of standard options.We found a positive abnormal return at the announcement day, which ismore significant for stocks that are successively issued within twomonths, but the returns decrease after the issuance day. There is apost-issue under-performance of underlying stocks. The results showthat investment bankers have good market timing and that investor haveoptimistic expectation regarding future earnings. Our evidence isconsistent with that financial institutions take advantage of windowsof opportunity by issuing warrants on overvalued equity. We also findthat investment banks tend to issue warrants on stocks which have arecent increase in volatility. The empirical results demonstrate thattrading volume, systematic risk, and liquidity are not affected, whilethe variances of the underlying assets decrease after warrantsintroduced.
關聯:	2001現代財務論壇學術研討會論文集=Proceedings of 2001 Conference of Contemporary Issues of Finance，31頁
显示于类别:	[財務金融學系暨研究所] 會議論文

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