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Title: The Link between Intraday Signals and Call Warrant Mispricing
Authors: Yueh-Neng Lin
Shih-Kuo Yeh
Shih-Ching Chuan
Steven J. Jordan
Contributors: 國立臺灣海洋大學:航運管理學系
Keywords: call warrants
lower boundary conditions
market efficiency
signal amount
signal duration
Date: 2010
Issue Date: 2019-06-14T08:22:30Z
Publisher: Service Industries Journal
Abstract: 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.
Relation: 30(13) pp.2273-2288
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52264
Appears in Collections:[航運管理學系] 期刊論文

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