Study For The Rationality of The Broker’s Call Warrant

• Main Authors: Chun-Liang Chen, 陳俊良
• Other Authors: Chin-Chuan Huang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/8wmthp

碩士 === 銘傳大學 === 資訊管理學系碩士在職專班 === 94 === This case study is to find out the rationality of the warrant call price of the broker. The study is focusing at thirteen domestic brokers and limit to fifteen call warrant. We are suspicious only broker is benefit from the existing call price, and would like to go through the statistics to see if the call price from broker is actually too high, consequently the investors are not able to get any profit from the existing call price.Up to now we’ve done the data collection and analysis for 195 stocks from 13 brokers, the data includes the actual number collection and the calculation for warrant’s wave value and theory value. Base on the comprehensive survey of listed stock, it’s not hard to see that most of the highest peak always happened on the first day listed on public; unless the targeted item is able to appreciate drastically in the first month open on the public, else the stock price is always going down trend. The actual study also reveals only Da Hwa Securities, Tun Yi Securities, and Chin Ding Securities are having the more rational pricing policy, other securities firms are pricing reversely compare to the public price of targeted item. If we classified by different industries, this phenomenon also existed on conventional industry, financial industry, and electronics industry. The over pricing phenomenon is not limited to any single or specific industry. If base on the calculation of former transaction date plus the hidden fluctuation pairs with Black&Scholes theory, the price of this calculation shows the very minor difference with the actual market price. This show the hidden fluctuation pairs with Black&Scholes has the better prediction of interpretation capability.