如何计算认股权证的资本成本

认股权证作为一种长期资金的筹资方式 ,其资本成本必须予以考虑。但是使用传统资本成本计算方法不能反映其真实成本。本文尝试使用B -S和CAPM模型来计算其资本成本 ,并用实例说明     

The financing decisions of REITs: The case of warrant extensions

In this paper, we examine the warrant price and stock price reactions to the announcement of warrant life extensions by REITs. As predicted by option pricing theory, warrant prices increase in response to these extensions. The stocks of REITs making the extension announcements experience average abnormal returns that are not significantly different from zero. Thus, total firm value appears to increase, with the gains accruing primarily to the warrantholders.     

我国股改中权证的价格泡沫及影响因素

本文针对我国股改中的百慕大权证提出了新的“模拟树-市场情绪”定价模型。该模型的实证研究结果表明中国权证市场价格存在严重高估;加入市场情绪指标后,通过建立多元回归模型得到了对于实际价格的显著的拟合结果,有力地解释了超出权证理论价格的实际价格所包含的情绪因素。本文最后对权证价格高估的原因及权证未来的走势进行了分析。     

The tax (dis)advantage of a firm issuing options on its own stock

It is common for firms to issue or purchase options on the firm's own stock. Examples include convertible bonds, warrants, call options as employee compensation, and the sale of put options as part of share repurchase programs. This paper shows that option positions with implicit borrowing—such as put sales and call purchases—are tax-disadvantaged relative to the equivalent synthetic option with explicit borrowing. Conversely, option positions with implicit lending—such as warrants—are tax-advantaged. I also show that firms are better off from a tax perspective issuing bifurcated convertible bonds—bonds plus warrants—rather than an otherwise equivalent standard convertible.     

权证会计处理的国际准则及其借鉴

本文在简要介绍权证产品及其要素、种类和功能的基础上,重点围绕国际会计准则关于金融工具会计的相关规定,对权证的会计处理原则和方法进行了探讨,并就其对我国会计及信息披露发展的启示进行了分析,以期为我国权证产品的成功推出进行一些有益的探索.     

Unit initial public offerings: Staged equity or signaling mechanism?

We investigate the use of unit (i.e., package) initial public offerings by Australian industrial firms and conclude that their use reflects their role as a signaling mechanism (Chemmanur and Fulghieri, 1997), as distinct from the agency–cost explanation offered by Schultz (1993). From a sample of 394 IPOs between 1976 and 1994, the 66 firms making unit offerings are typically riskier, use less prestigious underwriters and have a lower level of retained ownership than other IPO firms. While these results are also consistent with Schultz's agency cost explanation, other results we report are not. We find no difference in underpricing etween unit IPOs and other IPO firms, nor are there any significant differences in the planned uses of proceeds reported in the prospectus, post–listing failure rates or secondary equity offerings of the type predicted by Schultz. We do however, report evidence consistent with a prediction unique to the signaling explanation. After controlling for the level of ownership retained by insiders, the proportion of firm value sold as warrants is increasing in IPO firms' riskiness.     

Return and risk in initial public offerings of both shares and warrants

In the past few years there has been an increasing number of new issues of shares of common stock together with warrants intended to raise interest in initial public offerings of relatively young, growing firms. In this study we examine the pricing efficiency of stocks and warrants offered simultaneously to the public as a single unit. We present a model for evaluating the warrants in such offerings and test it empirically against data from the Tel-Aviv Stock Exchange, where such offerings have become standard. We find that the issued units are usually undervalued, allowing for significant abnormal positive returns. But, while the warrants are usually underpriced, the stocks are overpriced. Largely consistent with the evidence from other financial markets around the world, we also find abnormal negative rates of return in the long run.     

权证对投资者投资偏好影响的实证研究

金融衍生产品的出现提高了证券市场信息传递的速度，知情交易者通过对衍生品的投资提高传递的效率。本文通过对我国权证市场和相应标的股票市场交易高频数据的研究，探讨知情交易者在权证市场出现后是否改变了投资的对象。实证结果表明，尽管有部分知情交易者投资了认购权证，但是并没有证据表明知情交易者偏好认沽权证。造成这一结果的原因可能是权证制度自身的缺陷。     

权证行权若干问题之思考

本文首先结合权证行权适用条件及权证价格有关影响因素,对权证行权时间选择的一般情形做出分析.在比较港台地区及内地市场权证的行权交收期,并结合权证发行人和投资者的利益以及行权需求对行权效率的选择进行分析的基础上,本文对国内目前的行权制度提出了相关建议.     

A Reduced‐Form Model for Warrant Valuation

This paper studies warrant valuation using a reduced‐form model. Analogous to the credit risk literature, structural models require complete information about the asset value process and the firm’s liabilities. In contrast, reduced‐form models require only information about the firm’s stock price process. We introduce a reduced‐form model where the warrant holder is a price taker, and we relate our model to structural models appearing in the literature.