台灣權證發展從民國86年9月至今已第19年，據2015年1月統計資料顯示權證市場規模為亞洲第二、全球第六，對於台灣權證市場的研究也蓬勃發展，許多研究指出權證市價與理論價格有顯著的差異。但並無針對此價格差異進一步說明。本篇研究樣本以台灣經濟新報資料庫中的衍生性金融商品資料庫為主，取得2013-2015年台灣發行之指數型權證、台灣五十成分股為標的之權證作為研究對象，首先針對權證價格是否為公平定價進行檢測，結果發現權證市價皆不為公平定價，價格皆有溢價的情形產生，因此本研究第二部分去探討台灣八大發行商發行權證溢價的幅度，以交易量較高的台灣五十成分股為研究對象，並以統計方法進一步探討溢價的成因，透過此研究可作為投資人投資權證的篩選方法之一。

The Taiwan warrant market began in 1997, it has been 19 years. According to a January, 2015 market statistical data, Taiwan warrant market are second largest in Asian, sixth largest in global. For Taiwan warrant market research is also booming. Many research indicated that warrant market price is significantly different from theoretical price. However, there is limited explanation for the difference. This study sample is from TEJ data base of derivative financial products including 2013-2015 Taiwan index warrants, Taiwan top 50 index constituent stock warrants. This study firstly focuses on is warrant price fairly priced. The result shows that warrant price is not fairly priced. Second, this paper studies on the warrant price premium of Taiwan top 50 index constituent stock warrants and use regression to further explore the causes of premium. Through this study can be used as reference for investment.

中文摘要..........................................................................................................i
英文摘要.........................................................................................................ii
目錄...............................................................................................................iii圖表目錄........................................................................................................iv
第一章 緒論....................................................................................................1
第二章 文獻探討.............................................................................................2
第一節 權證市場概況................................................................................................................2
第二節 權證定價模型................................................................................................................5
第三節 權證價格相關文獻.......................................................................................................8
第三章 資料與研究方法...................................................................................8
第一節 資料來源.......................................................................................................................8 第二節 研究方法..........................................................................................................................9第四章 實證結果............................................................................................14
第一節 認購（售）權證公平定價檢測..............................................................................14
第二節 權證價格溢價幅度buy and hold.............................................................................16
第三節 發行商發行權證價內外程度及報酬關係.............................................................20
第四節 溢價原因分析...............................................................................................................25
第五章 結論...................................................................................................27
參考文獻.........................................................................................................29
附錄................................................................................................................31

一、中文文獻
李怡宗、劉玉珍、李健瑋，「Black-Scholes 評價模式在台灣認購權證市場之實證」，管理評論，第十八卷第三期,民國八十八年，頁83-104。
徐守德、官顯庭、黃玉娟，「台股認購權證定價之研究」，管理評論，第十七卷第二期，民國八十七年，頁45-69。
二、英文文獻
Black, F., & Scholes, M. J. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, Vol. 81, No. 3, pp.637-654.
Cox, J. C. (1996). The Constant Elasticity of Variance Option Pricing Model, The Journal of Portfolio Management, Vol. 22, No. 1, pp.15-17.
Canina, Linda and Stephen Figlewski, (1993). The Informational Content of Implied Volatility, The Review of Financial Studies, Vol. 6, No. 3, pp. 659-681.
Christensen, B. J., & Prabhala, N. R. (1998). The relation between implied and realized volatility. Journal of Financial Economics, Vol. 50, No. 2, pp.125–150.
Fung, J.K.W. and Zeng, T.Z.X (2012). Are derivative warrants overpriced? , Journal of Future Markets , Vol. 32 No. 12, pp. 1144-1170.
Latane, H.A. and R. Rendleman, Jr. (1976). Standard Deviation of Stock Price Ratios Implied in Option Prices, Journal of Finance, Vol.31, No. 2, pp.369-381.
Lauterbach, B. and P. Schultz. (1990). Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternative, Journal of Finance, Vol.45, No. 4, pp.1181-1209.
Li, G., & Zhang, C. (2010). Why are derivative warrants more expensive than options? an empirical study. Journal of Financial and Quantitative Analysis, Vol. 46, No. 1, pp.275-297.
Merton, Robert C. (1973). Theory of rational option pricing, Bell Journal of Economics and Management Science, Vol.4, No. 1, pp.141-183.