@article{64a090703d8e471096309d91d52bcdc3,
title = "Issuer credit ratings and warrant-pricing errors",
abstract = "This paper examines how issuer credit relates to the level of warrant-pricing errors in Taiwan. The results demonstrate that the premia of warrants with high credit ratings have fewer pricing errors, implying that warrants with higher credit ratings are more fairly priced in terms of the Black-Scholes model. Using more parameters than in traditional option-pricing models, this study contributes to the literature by demonstrating that the credit ratings of warrant issuers have a critical impact on the prices of covered warrants.",
keywords = "covered warrants, credit ratings, pricing errors",
author = "Chen, {Ming Hsien} and Gau, {Yin Feng} and Vivian Tai",
note = "Funding Information: Ming-Hsien Chen (
[email protected]) is an assistant professor in the Department of Finance, National Kaohsiung First University of Science and Technology, Taiwan. Yin-Feng Gau (yfgau@ ncu.edu.tw) is a professor in the Department of Finance, National Central University, Taiwan. Vivian W. Tai (
[email protected]) is an assistant professor in the Department of Banking and Finance, National Chi Nan University, Taiwan. The authors are grateful for helpful suggestions from Andrew Chen, Jin-Chuan Duan, and Robert Jones; participants in the European Financial Management 2010 Symposium on Asian Finance in Beijing, China; participants in the 2010 Asian Financial Association/FMA Annual Conference at the Hong Kong University of Science and Technology; and participants in the 2012 Conference on East Asian Finance in Taipei, Taiwan. Ming-Hsien Chen thanks the National Science Council for financial support (NSC98-2410-H-327-022).",
year = "2013",
month = jul,
day = "1",
doi = "10.2753/REE1540-496X4904S303",
language = "???core.languages.en_GB???",
volume = "49",
pages = "35--46",
journal = "Emerging Markets Finance and Trade",
issn = "1540-496X",
number = "SUPPL.3",
}