지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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Facing negative values of theta, investors holding equity-linked warrants (ELWs) are essentially taking a position in which the value of the ELW decreases as time passes. Therefore, it is likely that investors tend to refrain from purchasing additional ELWs on the day immediately before a holiday. Using a sample of Korean ELWs, we find that trading volume and the money paid for the traded ELWs are significantly lower on pre-holidays as compared to other days. Our measures of trading activities include: (1) trading volume, (2) money trading volume, (3) net volume investors purchased from the LPs, and (4) net money paid to the LPs. All these measures of trading activities are significantly lower on pre-holidays than on other days. Our results are consistent with the predictions obtained when we assume investors are sensitive to time decay, i.e., decreasing time value of warrants over calendar time.
목차
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참고문헌 (16)
참고문헌 신청
Ariel, R. A. / 1987 / A Monthly Effect in Stock Returns / Journal of Financial Economics 18 (1) : 161 ~ 174
Brockman, P. / 1998 / The Persistent Holiday Effect : Additional Evidence / Applied Economics Letters 5 : 205 ~ 209
Byun, J. H. / 2008 / Equity Linked Warrant(ELW)’s LP Liquidity Supply and Volatility Changes / Ewha Management Review 26 (1) : 17 ~ 41
Cadsby, C. B. / 1992 / Turn-of-the-Month and Pre-Holiday Effects on Stock Returns : Some International Evidence / Journal of Banking and Finance 16 : 497 ~ 509
Chan, Y. C. / 2001 / Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong / Journal of Banking and Finance 25 (8) : 1401 ~
Brockman, P. / 1998 / The Persistent Holiday Effect : Additional Evidence / Applied Economics Letters 5 : 205 ~ 209
Byun, J. H. / 2008 / Equity Linked Warrant(ELW)’s LP Liquidity Supply and Volatility Changes / Ewha Management Review 26 (1) : 17 ~ 41
Cadsby, C. B. / 1992 / Turn-of-the-Month and Pre-Holiday Effects on Stock Returns : Some International Evidence / Journal of Banking and Finance 16 : 497 ~ 509
Chan, Y. C. / 2001 / Price and Volume Effects Associated with Derivative Warrant Issuance on the Stock Exchange of Hong Kong / Journal of Banking and Finance 25 (8) : 1401 ~
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