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Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach

Chan, Chia-Ying; de Peretti, Christian; Qiao, Zhuo; … - In: Journal of Empirical Finance 19 (2012) 1, pp. 162-174

This paper represents the first attempt to apply a stochastic dominance (SD) approach to examine the efficiency of the UK covered warrants market. Our empirical analyses reveal that neither covered warrants nor their underlying shares stochastically dominate the other, indicating the...

Persistent link: https://www.econbiz.de/10010942981

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