An Analysis of Preferred Equity Redemption Cumulative Stock
Description:
This dissertation examines whether Percs, Preferred Equity Redemption Cumulative Stocks, are properly priced regarding to the relevant securities, such as the underlying common stock, the long-term call option of the stock, and so on. Test results indicate that Percs were overpriced with respect to the equivalent packages composed of the relevant securities. Further tests on arbitrage restrictions show that transaction costs would prevent arbitrage profits. This dissertation also examines the m…
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Date:
May 1994
Creator:
Pu, Hansong
Partner:
UNT Libraries