DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lin, Yueh-Neng | ko |
dc.contributor.author | Yeh, Shih-Kuo | ko |
dc.contributor.author | Chuan, Shih-Ching | ko |
dc.contributor.author | Jordan, Steven J. | ko |
dc.date.accessioned | 2013-03-09T04:24:55Z | - |
dc.date.available | 2013-03-09T04:24:55Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | SERVICE INDUSTRIES JOURNAL, v.30, no.13, pp.2273 - 2288 | - |
dc.identifier.issn | 0264-2069 | - |
dc.identifier.uri | http://hdl.handle.net/10203/95355 | - |
dc.description.abstract | This study proposes a linkage between intraday variables (signal amounts and signal duration) and the mispricing of Taiwan call warrant prices, based on the lower boundary condition of Merton [1973. Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141-183] as modified by Galai [1978. Empirical tests of boundary conditions for CBOE options. Journal of Financial Economics, 9(2), 321-346]. Trading mispriced call warrants associated with a riskless hedging strategy over the period January 2004-December 2005 on average produces abnormal profits after taking into account transaction costs, as indicative of an inefficient market. | - |
dc.language | English | - |
dc.publisher | Routledge Journals | - |
dc.subject | INDEX OPTIONS | - |
dc.subject | BOUNDARY-CONDITIONS | - |
dc.subject | EFFICIENCY | - |
dc.subject | MARKETS | - |
dc.subject | TESTS | - |
dc.title | The link between intraday signals and call warrant mispricing | - |
dc.type | Article | - |
dc.identifier.wosid | 000283859900011 | - |
dc.identifier.scopusid | 2-s2.0-78149388650 | - |
dc.type.rims | ART | - |
dc.citation.volume | 30 | - |
dc.citation.issue | 13 | - |
dc.citation.beginningpage | 2273 | - |
dc.citation.endingpage | 2288 | - |
dc.citation.publicationname | SERVICE INDUSTRIES JOURNAL | - |
dc.contributor.localauthor | Jordan, Steven J. | - |
dc.contributor.nonIdAuthor | Lin, Yueh-Neng | - |
dc.contributor.nonIdAuthor | Yeh, Shih-Kuo | - |
dc.contributor.nonIdAuthor | Chuan, Shih-Ching | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | call warrants | - |
dc.subject.keywordAuthor | lower boundary conditions | - |
dc.subject.keywordAuthor | market efficiency | - |
dc.subject.keywordAuthor | signal amount | - |
dc.subject.keywordAuthor | signal duration | - |
dc.subject.keywordPlus | INDEX OPTIONS | - |
dc.subject.keywordPlus | BOUNDARY-CONDITIONS | - |
dc.subject.keywordPlus | EFFICIENCY | - |
dc.subject.keywordPlus | MARKETS | - |
dc.subject.keywordPlus | TESTS | - |
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