Abstract

http://ssrn.com/abstract=1521335
 
 

References (13)



 
 

Citations (4)



 


 



'The Biggest Warrant Auction in U.S. History'


Linus Wilson


University of Louisiana at Lafayette - College of Business Administration

December 20, 2009

Research in Business and Economics Journal, Vol. 3, pp. 1-12, 2010

Abstract:     
On December 10, 2009, the auction of JP Morgan Chase’s warrants raised gross proceeds of $950 million, topping the previous warrant auction record of the 1983 Chrysler warrants in real and nominal terms. This paper analyzed the results from the secondary market trading on December 9, 2009, of the Troubled Asset Relief Program (TARP) warrants issued by Capital One Financial (COF) to estimate the likely auction price of the JP Morgan Chase (JPM) TARP warrants. The Capital One Financial warrants have displayed an implied volatility discount relative to other historic and implied volatility metrics. The paper translates the percent volatility discounts from traded TARP warrants to estimate the likely implied volatility of long-dated TARP warrants that have not yet gone to auction.

Number of Pages in PDF File: 20

Keywords: bailout, banks, banking, Capital Purchase Program, Emergency Economic Stabilization Act, options, TARP, valuation, warrants, Capital One Financial, J.P. Morgan Chase, TCF Financial

JEL Classification: G01, G13, G21, G28, G32, G38

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Date posted: December 12, 2009 ; Last revised: March 29, 2012

Suggested Citation

Wilson, Linus, 'The Biggest Warrant Auction in U.S. History' (December 20, 2009). Research in Business and Economics Journal, Vol. 3, pp. 1-12, 2010. Available at SSRN: http://ssrn.com/abstract=1521335 or http://dx.doi.org/10.2139/ssrn.1521335

Contact Information

Linus Wilson (Contact Author)
University of Louisiana at Lafayette - College of Business Administration ( email )
Department of Economics & Finance
214 Hebrard Blvd., Room 326
Lafayette, LA 70504-0200
United States
(337) 482-6209 (Phone)
(337) 482-6675 (Fax)
HOME PAGE: http://www.linuswilson.com
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