| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 102 === This study was conducted to explore whether the warrant issuing would produce abnormal return to underlying stock price on the event date. We have taken 44,000 call warrants and 3,000 put warrants which were from individual warrants issued during 2008 to 2013 as samples and analyzed by event study.
The results of research are as follows: (1) For the put warrants, the drop of stock price is mostly worse than call warrants on the event date, but its range of stock price drop is the smallest that day; (2) On the issue date of warrant and event date, the substitution effect of call warrants is greater than hedge effect, while put warrants are on the contrary; (3) On the due date of warrants, the hedge effect of call warrants is greater than substitution effect, while put warrants are on the contrary; (4) Except on the due date of American put warrants, the drop degree of the underlying stocks of American warrants is usually greater than that of European warrants; (5) The cumulative average abnormal return rates existed in the comparison of American and European reset put warrants have no significant difference; (6) The cumulative average abnormal return rates existed in the comparison of American and European plain vanilla call warrants have no significant difference.
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