An Analysis of the Overpricing Phenomenon of the Equity-linked Structured Products in the Primary Market in Taiwan

• Main Authors: Yu-Yao Hung, 洪育堯
• Other Authors: 王之彥
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/08292907351056551104

碩士 === 中興大學 === 高階經理人碩士在職專班 === 94 === In this empirical study, 906 term sheets in three different types of ELNs structured products in Taiwan are collected. In addition, the Monte Carol simulation method is applied to pricing the theoretical values of theses contract, and the comparison between the theoretical value and the initial price at issuance are performed. The goal of this paper is to figure out the driving factors for the overpricing phenomenon of ELNs in the primary market in Taiwan. We find that the capital size of the issuer, the market share of the issuer, volatility of the underlying asset, and the time to maturity of the ELNs contract affect the overpricing phenomenon. Furthermore, the overpricing phenomenon in the primary market in Taiwan is decreasing as time goes by.