重複發行認購權證之資訊內涵

The Information Content of Repeatedly-Issued Covered Warrants

薛立言(L. Paul Hsueh) ； 陳獻儀(Hsien-Yi Chen)

《財務金融學刊》 12卷3期 (2004/12) Pp. 77-105

https://doi.org/10.6545/JFS.2004.12(3).3

摘要

在國內認購權證市場中，相同標的被重複發行的現象十分普遍，由於權證發行標的之選取是由發行券商決定，因此不同券商針對同一標發行權證的行為值得市場投資人加以重視。本研究之目的就是了解市場對於重複發行權證的反應並且進一步分析此事件所可能傳遞的資訊內涵。不同於過去研究多偏重在權證發行對標的股價或波動率的影響，本研究以權證隱含波動性的變化來分析市場對重複發行權證的反應。實證結果發現，在重複發行日之前十日，市場中現有權證之隱含波動率即出現異常上漲現象，顯示出權證發行的資訊有可能先行洩露，或者發行券商事先在市場上拉抬現有權證之價格，藉以提高該權證之隱含波動率來增加該檔權證權利金之收入。其次，在權證發行當日，權詮隱含波動率也出現顯著異常的上揚，反應出投資人預期未來不確定性的增加；同時也顯示出投資人對重複發行事件解讀為正向的訊息效果。在進一步分析標的股票之長期績效表現後，我們發現在某些觀察期當中，標的股票報酬表現呈現有顯著優於非權證標之股票以及市場平均報酬的現象。

關鍵字

認購權證 ； 隱含波動率 ； 長期績效

並列摘要

In the domestic warrant market, a number of stocks have been repeatedly chosen to be the underlying asset by different warrant issuers. This study attempts to investigate the information content, if any, of these repeatedly-issued covered warrants. Specifically, we examine the behaviors of implied volatility of existing warrants during the announcements of repeatedly-issued warrants, and our findings show that implied volatility increased significantly around the announcement day, suggesting that the market envisions greater uncertainty associated with the announcement but reacts favorably. When examining the long-term performance of the underlying stocks of the repeatedly-issued warrants, we find that these stocks tend to outperform non-warrant target stocks as well as the market average during some observed periods.

並列關鍵字

Coveredwarrants ； Implied volatility, Long-term performance

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