Since 2014
The Information Content of Repeatedly-Issued Covered Warrants
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
The Information Content of Repeatedly-Issued Covered Warrants
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| Creator |
L. Paul Hsueh
Hsien-Yi Chen |
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| Description |
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. Key words: Covered warrants, Implied volatility, Long-term performance |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-06-22
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011166
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| Source |
Journal of Financial Studies; Vol 12, No 3 (2004); 77
財務金èžå¸åˆŠ; Vol 12, No 3 (2004); 77 |
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| Language |
—
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