本文利用選擇權評價模式計算台灣股市特別股之理論價值，並進一步利用迴歸分析探討實際價格與理論價值之間差距的可能來源。主要結論如下： 1.特別股實際價格與理論價值之差距，在股價高價檔時期大於股價低檔時期。 2.可轉換特別股的轉接價值，受標的普通股股價的影響很深。當轉換期間很長時，轉換價值相當地接近普通股股價。 3.以Black-Scholes模式，縮短轉換權利有效期間，與擬美國式買權法三種方式評價結果，差距值大小的變化雖不一致，但判斷為高估或低估的方向與趨勢相差不大。 4.迴歸分析結果發現「特別股成交量」與「發行量加權股價指數」為影響實際價格與理論價值差距值的主要因素。

This paper applies the option pricing theory to examine the price behavior of preferred stocks in Taiwan Stock Market. Using regression analysis, this paper further explores the factors that may explain the differences between the market prices. and the theoretical values of preferred stocks. Major findings include. 1. The differences between the preferred stock prices and the theoretical values are greater in the bull market, and are smaller in the bear market. 2. The conversion values of the convertible preferred stocks are deeply affected by the underlying common stock prices. When the time to maturity approaches infinity, the conversion value of the pre-ferred stock approximates the common stock price. 3. Under three valuation methods:(l)the Black-Scholes option pricing model, (2)shortening the effective period of conversion rights, and (3)the pseudo-American call method, the empirical results are similar in the directions and trends of the differences between the market prices and the theoretical values. 4. The results of the regression analysis show that ''Trading Vol-ume of Preferred Stocks' and 'Weighted Stock Price Index" affect the differences between the market prices and the theoretical values.