Empirical Study on Prices, Trading Volumes, and Arbitrages of Listed Subscription Warrants

نویسندگان

چکیده

This study analyzes the price patterns, trading volumes, and arbitrage opportunities of listed subscription warrants using 70 detachable public bonds with warrant issuances. The major findings this are as follows. First, prices at listing date are, on average, 69.3% adjusted Black-Scholes (BS) prices. Second, increased after listing, cumulative return for 100 days is 28.45%~46.75%, depending assumption. In addition, price/adjusted BS ratio increases, undervaluation problem slowly disappears. Third, abnormal volume short sales around listings statistically significant persists least one year. Fourth, consistent third result, long-run underperformance significant, one-year returns -11.71%~-28.53%. These facts decreasing stock prices, increasing serve potential evidence arbitrages, 20% investment horizon.

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ژورنال

عنوان ژورنال: Han-guk jeunggwon hakoeji

سال: 2022

ISSN: ['2005-8187', '2713-5543']

DOI: https://doi.org/10.26845/kjfs.2022.06.51.3.281