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Der Optionscharakter von Bezugsrechten

Author

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  • Klaus Röder

    (Westfälische Wilhelms-Universität Münster)

  • Gregor Dorfleitner

    (Universität Augsburg)

Abstract

Summary The analysis of stock purchase rights, or shortly rights, has a long tradition in Germany. In most cases the call option character of rights is neglected. This paper considers the valuation of rights based on option pricing theory. A formula is derived which can be implemented in conventional financial software packages. A further part of the paper deals with the empirical analysis of rights pricing as observed in real markets and identifies factors with an influence on this pricing.

Suggested Citation

  • Klaus Röder & Gregor Dorfleitner, 2002. "Der Optionscharakter von Bezugsrechten," Schmalenbach Journal of Business Research, Springer, vol. 54(5), pages 460-477, August.
    • Handle: RePEc:spr:sjobre:v:54:y:2002:i:5:d:10.1007_bf03376988
    DOI: 10.1007/BF03376988
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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. Smith, Clifford Jr., 1977. "Alternative methods for raising capital : Rights versus underwritten offerings," Journal of Financial Economics, Elsevier, vol. 5(3), pages 273-307, December.
    3. Bae, Sung C & Levy, Haim, 1994. "The Valuation of Stock Purchase Rights as Call Options," The Financial Review, Eastern Finance Association, vol. 29(3), pages 419-440, August.
    4. French, Dan W., 1984. "The weekend effect on the distribution of stock prices : Implications for option pricing," Journal of Financial Economics, Elsevier, vol. 13(4), pages 547-559, December.
    5. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Meincke, Sven & Nekat, Kai & Nippel, Peter, 2005. "Aktienrückkauf, Kapitalverwässerung und die Bedeutung von Transferable Put Rights," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 594, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.

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