權證發行之競爭與證券設計

Issuing Competition and Security Design in Warrant Market

曾慶平(CHING-PING TSENG)

指導教授 ： 郭文忠

國立臺北大學/社會科學學院/經濟學系/碩士(2015年)

摘要

本論文嘗試由證券設計的觀點探討台灣認購與認售權證發行設計的影響因素，特別是以權證錯價比率來推估券商在發行權證的競爭與證券設計的關連。研究樣本採用民國86年8月20日至民國104年1月13日之認購、售權證，並以Black-Scholes與SR-CEV模型計算權證發行時之錯價比率，分析其與新發行之權證條件的關係。
　　研究結果顯示，原發行權證的錯價比率與新發行權證之錯價比率具有顯著的正向關係，與新發行認購權證之價內外程度呈現顯著的負相關，而認售權證則為顯著的正相關，與新發行行使比例呈現正相關，與發行天數差為顯著的正相關。其表示競爭越激烈的權證，券商在新發行相同標的之權證時，平均而言會傾向較高之訂價、價外發行、調高行使比例與延後發行。另外券商在發行權證時，於行使比例、價內外程度及錯價方面均有模仿效果。

關鍵字

證券設計 ； 權證發行

並列摘要

The purpose of this thesis is to explore the factor of security design and competition in Taiwan warrant market. I particularly emphasize on the relationship between the portion of over-pricing and the security design of the new-issued warrant based on Black-Scholes (B-S) model and square-root constant elasticity volatility (SR-CEV) model. The sample covers expired covered call warrants and put warrants from August 20, 1997 to January 13, 2015 issued in Taiwan.

This study finds that the over-pricing issued original is positively associated with the new-issued over-pricing, negatively associated with the new-issued moneyness of call warrants and positively with put warrants, positively associated with the new-issued exercise ratio, and positively associated with the days between original-issued and new-issued warrants. It means that when the warrant issuing markets are more competitive, on the average, the issuer will tend to issue higher pricing, more out-of-the-money, higher exercise ratio, and issued later. There are some imitation effects when issuer design the exercise ratio, moneyness and over-pricing.

並列關鍵字

security design

參考文獻

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