Price Discovery Function and Market Risk Effect to Common Stock after Warrant trading
|關鍵字:||認購權證;隱含股價;市場風險;系統風險;非系系風險;Warrant;Implied stock price;Market risk;systematic risk;unique risk|
Warrant is a new market instrument for investors in Taiwan. By Black & Scholes(1973) option pricing model, it provides an implied price information for its underlying stock. The purpose of this study is to use the implied stock price to predict the equilibrium stock price in the stock market. Its impact on the volatility of stock return is also explained. We find that when the market price of the stock is higher than the implied price, its daily return would be higher than that of the other day. This does confirm that the implied stock price contains valuable information for predicting the actual stock price. Meanwhile, the total risk and unique risk for the stock were lowered after the issuance of the related warrant. However, the systematic risk remains unaffected.
|Appears in Collections:||Thesis|