Warrant Pricing and Listing in an Emerging Market: The Case of Thailand

36 Pages Posted: 4 Jun 2007

See all articles by Arnat Leemakdej

Arnat Leemakdej

Thammasat University - Faculty of Commerce and Accountancy

Anya Khanthavit

Thammasat University - Faculty of Commerce and Accountancy

Stylianos Perrakis

Concordia University, Quebec - John Molson School of Business

Date Written: December 1998

Abstract

This study proposes a more complete model to pricing warrant by taking into account the expected cash infusion when warrants are exercised. The model can be extended to pricing the warrant of levered firm. In addition, the paper suggests an alternative test to examine the impact of warrant listing on volatility of the underlying stocks. The alternative test can avoid the bias from change in capital structure of the sample. This bias partly explains contradicting empirical results found in previous literature. Using daily data during 1994 to 1997 of warrants listed on the Stock Exchange of Thailnd, it finds that there exists the impact which helps stabilizing the volatility of underlying stock and pull down stock price.

Keywords: warrant,levered firm valuation,volatility,thailand

JEL Classification: G13

Suggested Citation

Leemakdej, Arnat and Khanthavit, Anya and Perrakis, Stylianos, Warrant Pricing and Listing in an Emerging Market: The Case of Thailand (December 1998). Available at SSRN: https://ssrn.com/abstract=990962 or http://dx.doi.org/10.2139/ssrn.990962

Arnat Leemakdej (Contact Author)

Thammasat University - Faculty of Commerce and Accountancy ( email )

Tha Pra Chan
Bangkok, 10200
Thailand
6681 7107491 (Phone)

Anya Khanthavit

Thammasat University - Faculty of Commerce and Accountancy ( email )

Bangkok
Thailand

Stylianos Perrakis

Concordia University, Quebec - John Molson School of Business ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada

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