| Author | Pornpibul Kanchanachayphoom |
| Call Number | AIT RSPR no. SM-95-1 |
| Subject(s) | Stock warrants
|
| Note | A research submitted in partial fulfillment of the requirement for the degree of Master of
Business Administration, School of Management |
| Publisher | Asian Institute of Technology |
| Abstract | Warrants were first issued in Thailand in April 1989, when the Bangkok Bank of
Commerce (BCC) issued 40 million shares of common stock in a package with 80 million
warrants to raise capital. The warrants were priced at Baht 3, and provided the holder the
option to buy one share of BBC common stock for Baht 10 in three years.
The year 1989 also witnessed the second warrant issued in the Thai capital markets.
Specifically, Star Block Company (STAR) issued 21 million new shares with an equal
number of warrants attached. The warrants were priced at Baht 5 each, and allowed the
holder the option to buy on share of ST AR common stock with the expiration month of the
warrant being August 1993.
Two new warrants on unit trusts were listed on the SET in November 1992. The
warrant on the One Multiple Growth fund (ONE-G) has an exercise price of Baht 11, and is
pseudo-American in contrast to the previous two warrants on BBC and ST AR. The second
warrant issue for 1992 was on the Sub-Anan Funk (SAN), which has an exercise price of
Baht 10. This warrant is also pseudo-American, since it expires in March 1995, but allows
early exercise from February 15 to March 15 in 1993 and 1994.
More recently, most of the companies issued bonds with warrants as part of their
capital funding. Currently, we have 20 warrant issues listed on the Stock Exchange of
Thailand with a combined market capitalization of Baht 24,210 million (as of Dec. 13,
1994)
This research is an analysis of the comparison between the market prices of warrants
and the theoretical prices that were predicted by the Black and Scholes option pricing model.
The B-S model:
W = S N(d 1 ) - X e·rT N(d 2 )
_ ln(S/X)+(r + cr2 / 2)T . _ ~ d 1 - ~ , d 2 - d 1 - av T
av T
At the instant time to expiration; W is the market value of the warrant; S is the price
of the underlying security; X is the exercise price; T is the time to expiration; r is the short-term interest rate which is continuous and constant through time; a
2 is the variance rated of
return for the underlying security; N( di) is the cumulative normal density function evaluated
at di. |
| Year | 1995 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Gupta, Jyoti P.
|
| Examination Committee(s) | Pandey, Indra M. ;Do, Ba Khang
|
| Degree | Research Studies Project Report (M.B.A.) - Asian Institute of Technology, 1995 |