Japanese Equity Warrants PDF Download
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Author: Richard Downes
Publisher:
ISBN:
Category : Equity
Languages : en
Pages : 142
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Book Description
Author: Richard Downes
Publisher:
ISBN:
Category : Equity
Languages : en
Pages : 142
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Book Description
Author: Christopher M. Mitchinson
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: P. H. Kevin Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
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Book Description
Author: Madis Senner
Publisher:
ISBN:
Category : Convertible bonds
Languages : en
Pages : 156
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Book Description
Author: Kevin Connolly
Publisher: Palgrave Macmillan
ISBN: 9780333569856
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
This market is the largest and most liquid-call type derivative in the world. Philips and Connolly intend to clarify definitions and discuss why the warrant is so important to the institutional investor. The authors consider its versatility and the implications for profit from the tremendous volatility in this market.
Author: Kevin Connolly
Publisher:
ISBN: 9781561590346
Category : International finance
Languages : en
Pages : 228
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Book Description
Author: George A. Philips
Publisher:
ISBN: 9780946559497
Category : Finance
Languages : en
Pages : 222
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Book Description
Author: Terry Marsh
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this paper, we investigate the systematic departures of traded prices of Japanese equity warrants and convertible bonds from their theoretical Black-Scholes values. We briefly consider transactions costs and the dilution adjustment as potential explanations of the discrepancy between price and value, showing that they can, in principle, explain some of the discrepancy. However, our major focus is on shifts in volatility of the prices of the underlying stocks as a function of the stock price changes; such shifts are not taken into account in the Black-Scholes values. We assume that the pseudo-probability distributions of prices of stocks of cross-sections of companies which are roughly similar in size are identical. This simple assumption (which can be generalized) enables us to infer the implied probability distribution and binomial tree for stock price changes using the Derman and Kani (1994), Dupire (1994), Rubinstein (1994), and Shimko (1993) approach. The cross-section of warrant prices implies an inverse volatility smile and a positively skewed probability density for stock prices. Rubinstein's identifying assumptions generate an implied binomial tree in which the relative size of up-steps and down-steps, and thus volatility, changes systematically as stock prices change. We briefly consider potential explanations for the implied behavior, and for the difference in the smile pattern between index options and the warrants and convertibles.
Author: Jack Clark Francis
Publisher: John Wiley & Sons
ISBN: 9780471326038
Category : Business & Economics
Languages : en
Pages : 742
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Book Description
Aktienderivate gehören zu den populärsten Derivatprodukten, die von institutionellen Anlegern gehandelt werden. Ein Aktienderivat ist ein Future oder eine Option auf Aktien oder Aktienindices. Zu den traditionellen Aktienderivaten gehören Optionsscheine, Optionen, Futures und Aktienindexfutures. Das "Handbook of Equity" ist eine vollständige und umfassende Überarbeitung des ersten und einzigen Buches zu diesem Thema. Herausgegeben von führenden Köpfen der Branche - darunter Nobelpreisträger Fischer Black, John Braddock und Mark Rubenstein - enthält es wichtige neue Informationen zu Aktienindexfutures und -optionen und erweitert die mathematische Diskussion um das Black & Scholes-Modell. (11/99)
Author: Hoje Jo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the risk-shifting and delayed equity explanations for Japanese firms using convertible securities in their financing mix. The popularity of equity-linked debt instruments in Japan where institutional arrangements mitigate the incentives to transfer wealth from bondholders to stock holders seems inconsistent with the risk-shifting explanation. Also the probability of choosing convertible securities over common equity is not positively related to the potential to transfer wealth from the bondholders to the stockholders. Similar results are obtained when we examine convertible debt ratios. However, we find evidence consistent with Stein's (1992) argument that firms use convertibles to delay equity when they have favorable information about the firm. The price increases preceding and following convertible issues and convertible usage are positively related to offering size and growth opportunities as predicted by Stein (1992). Overall, our findings support the delayed-equity explanation for Japanese firms issuing convertibles, but provide little support for the risk- shifting hypothesis.
