An Examination on the Abnormal Returns of a Selected Group in Taiwan Warrants Markets
| Autor: | Wen-Bing Yu, 游文彬 |
|---|---|
| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 This thesis is trying to develop an operational model for examining on the abnormal returns (AR) of selected groups such as high price (HP) group, and low price (LP) group in Taiwan warrants market, and the findings of the thesis are summarized as follows. 1. This study findings indicate that 8378 times of overvalued (89.31%) and 1003 times of undervalued (10.69%) among the total 9381 trading days. The market prices of warrants are frequently overvalued in Taiwan warrants market, and are occasionally undervalued. The events of undervalued is the opportunities of earning AR. 2. The warrants of the HP group have more opportunities of earning AR than the warrants of the LP group. The characteristics of the warrants of the HP group including 100% electronic stocks are worthy to further probe. 3. Under the assumption of no transaction fee, the AR model provided pretty good empirical results, especially for HP group. However, the cumulative profits are negative if concerning transaction fees including tax and operating cost.. 4. The factors of impacting cumulative AR (CAR) are the quantity of AR (ARQ), the average of trading warrant quantity (QA) and the ratio of undervalued times (LE), since these three variables all show significant and positive effects to CAR. Key word: Warrant, Mispricing, Abnormal Returns, Logit Models |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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