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作者 Dewi, Friderica Widyasari
書名 Pricing structured notes: The case of stock participation accreting redemption quarterly-pay securities (SPARQS) issued by Morgan Stanley
國際標準書號 0496018906
book jacket
說明 79 p
附註 Source: Masters Abstracts International, Volume: 43-01, page: 0072
Chair: K. C. Chen
Thesis (M.B.A.)--California State University, Fresno, 2004
The purpose of this study was to analyze the market pricing efficiency of the Stock Participation Accreting Redemptions Quarterly-pay Securities (SPARQS), which was linked to Best Buy, from July 25, 2003 to March 24, 2004, based on the semi strong form of the efficient market hypothesis. The null hypothesis would be accepted if the average pricing error between the SPARQS' market prices and theoretical prices is statistically indistinguishable from zero. A valuation model was defined. This study showed that the average pricing error was statistically distinguishable from zero. It indicated that the SPARQS were underpriced during the sample period, leading to the rejection of the null hypothesis. This affirmed three alternative implications that were not tested since they require research outside this study's scope
School code: 6050
DDC
Host Item Masters Abstracts International 43-01
主題 Business Administration, Management
Economics, Finance
0454
0508
Alt Author California State University, Fresno
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