We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...

This paper examines the information content of implied volatility of structured call warrant in the Singapore Stock Exchange (SGX). The study is the first to examine implied volatility of equity options (structured warrants) outside the US. Using a daily dataset for 252 trading days for a period...

This paper explores the tradition of awarding of royal warrants in monarchies in the EU. In order to determine the legality of awarding royal warrants, EU State aid law and national public law are analysed. The analysis shows that legal analysis of royal warrants rests on the public/private...

We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: that in the Chinese warrants market. Persistently successful investors traded very actively and exhibited characteristics of de facto market makers. Unskilled investors unprofitably...

In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market information about future volatility or if they contribute to volatility discovery by their own. As a result,...

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based...

"By many measures, the Eurodollar futures and options complex has been the most successful in the world. Since its introduction in 1981, the tremendous volume and open interest of the Eurodollar complex have made the Chicago Mercantile Exchange the envy of other exchanges, from São Paulo to...

As of 12/31/21, Amazon held $22 billion of equity and warrants in related companies. In fact, it often requests a free grant of warrants when it enters into a new commercial agreement with a supplier. Over the past 20 years, Amazon has gotten warrants almost 20 publicly traded companies and more...

This paper develops useful theory of arbitrage and risk arbitrage. It describes a prize winning successful risk arbitrage involving Nikkei put warrants trading on the Toronto and American stock exchanges. The paper describes the various types of contracts and how the risk arbitrage was traded...

We show that the design of speculative retail products strongly influences the aggregate exposure of retail investors. Using proprietary data on bank-issued knock-out warrants, we find that individual investors trading these warrants, on aggregate, speculate against the short-term trend of the...

This article visits the question of whether canceled warrants (CWs) have a positive effect on LME metal prices. To examine this question carefully, a regression model is applied. This paper finds a statistically significant positive link between CWs and LME metal prices, including aluminum,...

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...

The paper bridges a gap in the literature by using moment analysis, CAPM statistics, stochastic dominance (SD) test, and volume analysis to examine investor preferences for warrants between China and Taiwan, and investigating why the market for warrants in China has to close while the market for...

The paper bridges a gap in the literature by using moment analysis, CAPM statistics, stochastic dominance (SD) test, and volume analysis to examine investor preferences for warrants between China and Taiwan, and investigating why the market for warrants in China has to close while the market for...

We examine the issuance choice across rights issues of equity, unit offerings and standalone warrants and investigate the market reactions to these issue types. We find that agency costs, growth opportunities and current funding needs relative to assets in place are prime drivers of the type of...

This paper considers the realized returns of individual investors in warrants and leverage certificates. First, we derive a general formula that analytically decomposes the return into several economically meaningful components that are related to investor's trading behavior and the issuers'...

Based on a rational option pricing framework that incorporates short-selling and margin-trading constraints in the stock market, we present evidence that Chinese warrant prices, which are regarded as bubbles in the previous literature, can be explained by a new option pricing model. Based on the...

We conduct the most comprehensive study to date of the Chinese warrants market in terms of the length of the sample period and the variety of the warrants investigated. During our sample period from August 2005 to September 2009, the underlying Chinese stock market peaked in October 2007, and...

We develop a model for the demand of warrants by individual investors with regard to their sensitivity to issuer margins, defined as the relative overpricing with respect to the theoretical value. Based on an empirical data set we show that investors are relatively margin-sensitive; that is,...

The empirical analysis of new warrant issues in the context of a structural model of the firm typically assumes the absence of debt and a perfect equity pricing model. We examine here an approach relaxing these two assumptions. The proposed approach develops simple analytical expressions for the...