臺灣博碩士論文加值系統

認購權證投資績效初探
研究生:陳慈穎 指導教授：郭文忠 博士
中文摘要
本篇研究是以英國42檔權證做分析，探討投資者應如何選擇投資進場時點並研究何者因素將影響認購權證的投資績效。在本篇研究發現針對這42檔權證而言，對投資者來說選擇在權證執行期間的中間點來進入將獲得最佳的報酬。另一方面，我們亦找出權證流通在外的股數、溢價比例、市場價格、標的物價格、股利、價內外程度，顯著影響投資的績效表現。因此，實證結果建議投資人在選擇認購權證時應在中間點進場並且本篇所找出的影響認購權證的因子也能影響投資認購權證的績效表現。

A Study on the Performances of Warrants
Student：Tzu-Ying Chen Advisor：Wen-Chung Guo
ＡBSTRACT
This paper investigates 42 warrants in U.K .The results indicate that how to choice the investment entering timing and find the explanatory factors of warrants would affect the investment performance. In this paper , we find that the middle entering point of the warrants exercise period will get the best investment performances to the investors. On the other hand , we also find that amount outstanding , parity, premium/discount% , market price , dividend yield , the underlying assets price , moneyness will remarkably affect the warrants performance . Thus , the empirical results suggests that the investors choice the middle points of the exercise period to enter the warrants market which will get the best performance and the explanatory factors in this paper also could affect the
warrants performance.

Contents
1. Introduction…………………………………………………………1
2. Literature…………………………………………………………….3
3. Data………………………………………………………………….4
4. Methodology…………………………………………………………5
5. Empirical Results…………………………………………………….7
6. Conclusion………………………………………………………………………..9
Reference

Reference
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