台灣重設型認購權證模式價與市價差異之實證研究

Abstract

重設型認購權證的特色在於當標的股價達到重設條件時，履約價可以被重設至一個較低的價格。本研究以國內證券商所發行的重設型認購權證做為研究對象，探討重設型認購權證模式價與市價的差異情形。首先以蒙地卡羅模擬法求算重設型認購權證的模式價格，然後檢測模式價與市價之間的差異是否顯著，再進一步以時間數列與橫斷面混合迴歸的方式來進行分析，將價內程度、距到期日期間、重設型認購權證的類型、重設期間與允許重設次數等因素納入迴歸分析中，希冀能找出造成重設型認購權證模式價與市價差異的主要原因。 研究結果發現，重設型認購權證模式價與市價之間有顯著差異存在，並且價內程度、距到期日期間、重設型認購權證的類型、重設期間與允許重設次數等因素，皆為造成模式價與市價差異的重要原因。

The property of the reset warrant is that if the underlying stock price of the reset warrant satisfies reset conditions during the reset period, its strike price may be reset to a lower strike. This paper investigates the price differences between model prices and market prices of the Taiwanese reset warrants. First, the Monte Carlo simulation method is used to calculate the prices of the reset warrants. Secondly, this paper adopts paired t test to investigate the price differences between model prices and market prices of reset warrants. Then time series/cross-section pooling regression is further performed to identify the factors affecting the price differences. The depth of in-the-money, time to maturity, types of reset warrants, reset period and times allowed for resetting are considered in the pooling regressions to find the factors affecting the price differences between model prices and market prices of reset warrants. This paper finds that there is a strong evidence to support that model prices and market prices of reset warrants are different. The price differences between model prices and market prices of reset warrants are influenced by the depth of in-the-money, time to maturity, types of reset warrants, reset period and times allowed for resetting.