由於台灣牛熊證與其他國家發行的牛熊證結算規則不同，使 得過去牛熊證研究的定價模型並不能完全套用於台灣，而台灣牛 熊證發行券商以一套簡單的財務費用公式來計算牛熊證的理論 價格，但其中財務費用比率的高低卻完全由券商所決定，隱藏著 券商的理論價格之合理性問題。因此本研究之目的為建構出一個 適合台灣牛熊證結算規則的半封閉解之定價模型，並透過其計算 之價格來探討券商收取的權利金是否合理。而研究方法為利用兩 母體平均數差異T檢定來探討券商理論價格、牛熊證市價與本研 究模型計算的價格之關係，並將財務費用比率以10%為界分成高 低兩群，與市價反推得的隱含財務費用比率相互比較，藉以探討 高低財務費用比率的台灣牛熊證是否存在定價差異。
實證結果指出，財務費用比率高時，券商的理論價格相較於低財務費用比率時，還顯著高於本研究的模型價格；而低財務費用比率與低隱含財務費用比率無差異，但是高財務費用比率卻顯著大於高隱含財務費用比率。表示券商有透過訂定較高的財務費用比率，來收取不合理的權利金，且由於投資人目前只能透過券商提供的財務費用理論公式來估計牛熊證價格，使得投資人受制於定錨效應，以致於無法做出充分的調整，造成所進行的調整不足。
Since the rules of the CBBC settlement in Taiwan are different from other countries, the pricing models from previous studies are not applicable to Taiwan contracts. The issuers set a simple (funding cost) formula to calculate the theoretical price of the CBBC. However, the funding rates are decided by the issuers. Conse-quently, there is a potential problem of the theoretical price’s rationality. To price the CBBC in Taiwan, the study derives a model of semi-closed form, and uses it to investigate the fairness of the premiums. By using the Paired T-test to compare the differences between theoretical price, market price, and ours. 10% is used to classify the high and low funding rates which are used to compare to the implied funding rate.
The results show that compared to the theoretical price of the low funding rate, the theoretical price of high funding rate is much higher than our pricing model. And there is no difference between the low funding rate and the low implied funding rate, but the high funding rate is significantly higher than the high implied funding rate. It is proved that issuers charge high premium by setting high funding rate. However, investors can only estimate the price of CBBC through the financial cost formula, so they subject to the Anchoring effect, causing the insufficient adjustment.
