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題名:臺灣股市特別股之評價研究
書刊名:臺大管理論叢
作者:邱顯比 引用關係王家惠
作者(外文):Chiu, Shean-BiiWang, Chia-Hui
出版日期:1993
卷期:4:1
頁次:頁37-77
主題關鍵詞:特別股選擇權評價模式Preferred stockOption pricing theory
原始連結:連回原系統網址new window
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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.
期刊論文
1.Roll, R.(1977)。An analytical formula for unprotected American call options on stocks with known dividends。Journal of Financial Economics,5,251-258。  new window
2.Cowan, A. R.、Nayar, N.、Singh, A. K.(1990)。Stock Returns before and after Calls of Convertible Bonds。Journal of Financial and Quantitative Analysis,25(4),549-554。  new window
3.Geske, R.(1979)。A Note on an Analytical Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends。Journal of Financial Economics,7,375-380。  new window
4.Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance,31(2),351-367。  new window
5.Brennan, M. J.、Schwartz, E. S.(1977)。Convertible bonds: Valuation and optimal strategies for call and conversion。Journal of Finance,32(5),1699-1715。  new window
6.King, Raymond(1986)。Convertible bond valuation: An empirical test。Journal of Financial Research,9(1),53-69。  new window
7.MacBeth, J. D.、Merville, L. J.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34(5),1173-1186。  new window
8.Whaley, Robert E.(1981)。On the valuation of American call options on stocks with known dividends。Journal of Financial Economics,9,207-212。  new window
9.Geske, R.(1978)。The Pricing of Options with Stochastic Dividend Yield。Journal of Finance,617-625。  new window
10.Black, Fischer、Scholes, Myron(1975)。Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-73。  new window
11.Houston, A. L. Jr.、Houston C. O.(1990)。Financing with preferred stock。Financial Management,3,42-54。  new window
12.Emanuel, D.(1983)。MA Theoretical Model for Valuing Preferred Stock。Journal of Finance,1133-1156。  new window
13.Finnerty, J. D.(1984)。Preferred Stock Refunding Analysis: Synthesis and Extension。Financial Management,22-28。  new window
14.Linn, S. C.、Pinegar, J. M.(1988)。The Effect of Issuing Preferred Stock on Common and Preferred Stockholder Wealth。Journal of Financial Economics,22(1),155-184。  new window
15.Mais, E. L.、Moore, W. T.、Rogers, R. C.(1989)。A Re- Examination of Share-holder Wealth Effect of Calls of Convertible Preferred Stock。Journal of Finance,44(5),1401-1410。  new window
16.Marr, M. W.、Thompson, G. R.(1985)。Primary Market Pricing of Convertible Preferred Stock。Quarterly Review of Economics and Business,73-80。  new window
17.Sorensen, E. H.、Hawkins, C. A.(1981)。On the Pricing of Preferred Stock。Journal of Financial and Quantitative Analysis,16(4),515-528。  new window
18.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
19.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
20.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
會議論文
1.李存修(1988)。可轉換公司債之評價--兼談永豐餘造紙之實例。中國經濟學會年會,319-348。  延伸查詢new window
學位論文
1.沈森永(1988)。可轉換公司債之評價(碩士論文)。國立臺灣科技大學。  延伸查詢new window
2.王文淵(1989)。從選擇權觀點衡量可轉換證券之價值-以永豐餘公司為例(碩士論文)。東海大學。  延伸查詢new window
圖書
1.Cox, J. C.、Rubinstein, M.(1985)。Options Markets。Prentice-Hall。  new window
2.林煜宗(1988)。現代投資學--制度、理論與實證。臺北:三民書局。  延伸查詢new window
 
 
 
 
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