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The restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of the previous trading day, no longer applies to the constituent stocks of the Taiwan Top 50 Index. This study investigates the abnormal returns and volatility changes of those...
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The aim of this paper is to re-examine the sequential-financing hypothesis in the context of convertible bond issuances from firms listed on the Taiwan Stock Exchange from 1994 to 2003. The results contend that announcements of convertible debt offerings are, on average, associated with...
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mistake that the return of market portfolio is assumed to be exogenous, the risk-return characteristics is a concept from the … the incorrect practice of the estimation of cost of equity by beta. On the empirical study of CAPM, we emphasize the …
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Chinese Abstract: MM 命题的最大贡献是提出完美市场假设和使用套利证明方法。本文回顾了完美市场假设和无套利原理,然后对 MM...
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complete markets, which is equivalent to the unique existence of a risk-neutral measure. A single-period binomial-tree model …-free markets is a necessary condition for the legitimacy of risk-neutral pricing, and that a condition of complete markets is for … the uniqueness of a risk-neutral measure. The objective of this paper is to provide an intuitive interpretation of …
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