The link between intraday signals and call warrant mispricing

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dc.contributor.authorLin, Yueh-Nengko
dc.contributor.authorYeh, Shih-Kuoko
dc.contributor.authorChuan, Shih-Chingko
dc.contributor.authorJordan, Steven J.ko
dc.date.accessioned2013-03-09T04:24:55Z-
dc.date.available2013-03-09T04:24:55Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2010-
dc.identifier.citationSERVICE INDUSTRIES JOURNAL, v.30, no.13, pp.2273 - 2288-
dc.identifier.issn0264-2069-
dc.identifier.urihttp://hdl.handle.net/10203/95355-
dc.description.abstractThis 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.languageEnglish-
dc.publisherRoutledge Journals-
dc.subjectINDEX OPTIONS-
dc.subjectBOUNDARY-CONDITIONS-
dc.subjectEFFICIENCY-
dc.subjectMARKETS-
dc.subjectTESTS-
dc.titleThe link between intraday signals and call warrant mispricing-
dc.typeArticle-
dc.identifier.wosid000283859900011-
dc.identifier.scopusid2-s2.0-78149388650-
dc.type.rimsART-
dc.citation.volume30-
dc.citation.issue13-
dc.citation.beginningpage2273-
dc.citation.endingpage2288-
dc.citation.publicationnameSERVICE INDUSTRIES JOURNAL-
dc.contributor.localauthorJordan, Steven J.-
dc.contributor.nonIdAuthorLin, Yueh-Neng-
dc.contributor.nonIdAuthorYeh, Shih-Kuo-
dc.contributor.nonIdAuthorChuan, Shih-Ching-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorcall warrants-
dc.subject.keywordAuthorlower boundary conditions-
dc.subject.keywordAuthormarket efficiency-
dc.subject.keywordAuthorsignal amount-
dc.subject.keywordAuthorsignal duration-
dc.subject.keywordPlusINDEX OPTIONS-
dc.subject.keywordPlusBOUNDARY-CONDITIONS-
dc.subject.keywordPlusEFFICIENCY-
dc.subject.keywordPlusMARKETS-
dc.subject.keywordPlusTESTS-
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