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1 IPO Equity WarrantDerivative Warrant covered warrant third party warrant 1 dilution effect

2 ,166 38, % USD millions) 192, , % 38,049 38, % USD millions) 42,121,577 32,967, % WFE 54 World Federation of Exchange, WFE USD millions 110, % 46, % 80, % 2, % % % 192, % 49, % World Federation of Exchange,

3 USD millions 1. 67, , , Euronext 4, , ,682 World Federation of Exchange, =/ () () % 2, % % 9.05% % 52, % 51, % 97.75% % 55, % 51, % 93.21% % % 9.05% %

4 USD millions) 192, , % USD millions) a 459, , % USD millions) b 3,940,359 2,740, % USD millions) c 40,599,466 32,021, % USD millions) d 43,694,798 33,849, % a SFE Corp. b Buenos Aires SE MexDerOsaka SETokyo SE c BM&F d BM&FSFE Corp. World Federation of Exchange, H 6 H Galai and Schneller1978 Veld and Verboven

5 1995ASE 1 Veld and Verboven Bansal et al.1989conrad1989detemple and Jorion1990 Watt et al.1992 Bhattacharya1987Pope and Yaday1992 Chen and Wu2001 Chen and Wu2001 Draper et al.2001 Chen and Wu2001 Chen and Wu ~30% 2 Damodaran and Subrahmanyam1992

6 Draper et al Chiu et al Unit IPO 2 Unit Unit IPO Package IPO Unit IPO IPO 15%~21% Schultz1993Jain Package IPO IPO 15%~34%How and Howe2001Lee et al.2003unit IPO 4 Schultz1993 Unit IPO 1/34 2 IPO IPO IPO IPO IPO IPO IPO IPO IPO

7 IPO IPO IPO Schultz1993Jain1994 Lee et al Unit IPO Unit IPO IPO Unit IPO Chemmanur and Fulghieri1997 IPO Schultz1993 Unit IPO IPO IPO Schultz1993 Unit IPO Schultz Chemmanur and Fulghieri 1997 Schultz 1993 IPO 2003Chemmanur and Fulghieri1997 IPO How and Howe2001 Lee et al.2003 Package IPO Chemmanur and Fulghieri H (

8 H H H % 38.80% 60.54% H H , H % 14.89% 15.78% H H , H % 14.92% 16.00% 6 H H H H H 6 H H H % 60.54% H H 352 H ()

9 % 2005

10 (5.12-3) = = = /10=

11 %/ 19.76%/ BlackSholes / /

12 Bansal K., Pruitt S. and Wei. K., 1989, An empirical reexamination of the impact of CBOE option initiation on the volatility and trading volume of the underlying equities: , Financial Review, 24, Bhattacharya A., 1987, Option expirations and treasury bond futures prices, Journal of Futures Market, 7, Chemmanur, Thomas J. and Fulghieri, Paolo, 1997, Why include warrants in new equity issues? A theory of unit IPOs, Journal of Financial & Quantitative Analysis, 32, 1-24 Chen, K.C. and Wu, L.F., 2001, Introduction and explanation effects of derivative equity warrants in Hong Kong, International Review of Financial Analysts, 10, Chiu, C.L., Lee, M.C., Lin, C.M. and Chen, C.D., 2005, Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan, Quarterly Journal of Business and Economics, 44, Conrad, J., 1989, The price effect of option introduction, Journal of Finance, 44, Damodaran, A. and Subrahmanyam, M., 1992, The effects of derivative securities on the markets for the underlying assets in the United States: A survey, Financial Markets, Institutions and Instruments, 1, 1-21 Detemple, J. and Jorion, P., 1990, Option listing and stock returns: an empirical analysis, Journal of Banking and Finance, 14, Draper, P., Mak, B.S.C. and Tang, G.Y.N., 2001, The derivative warrant market in Hong Kong: Relationships with underlying assets, Journal of Derivatives, 8, Galai, D. and Schneller, M.I., 1978, Pricing of warrants and the value of the firm, Journal of Finance, 33, Garner, J.L. and Marshall, B.B., 2004, Unit IPOs: The Who, When, And Why Of Warrant Amendment. By: Journal of Financial Research, 27, How, J.C.Y. and Howe, J.S., 2001, Warrants in initial public offerings: Empirical evidence, Journal of Business, 74, Jain, Bharat A., 1994, The underpricing of unit initial public offerings, The Quarterly Review of Economics and Finance, 34, Lee, M., Lee, P. and Taylor, S., Unit initial public offerings: Staged equity or signaling mechanism? Accounting & Finance, 43, Pope, P. and Yaday, P., 1992, The impact of option expiration on underlying stocks: the UK evidence, Journal of Business Finance and Accounting, 19, Schultz, P., 1993, Unit initial public offerings: A form of staged financing, Journal of Financial Economics, 34, Soku Byoun, 2004, Stock Performance following Seasoned Stock-Warrant Unit Offerings, Journal of Business, 77, Veld, C. and Verboven, A., 1995, An empirical analysis of warrant prices versus long-term call option prices, Journal of Business Finance and Accounting, 22, Watt, W. H., Yadav, P. K. and Draper, P., 1992, The impact of option listing on underlying stock returns: the uk evidence, Journal of Business Finance and Accounting, 19,

13 Unit IPO 4 Unit IPO Unit IPO Package IPOHow and Howe2001 IPO 5 H 6

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untitled RESEARCH REPORT ETF LOF 1 2 3 ...3.5 6 9 10 11 11 12 12 12 17 22 23 23 29 31 33 4 (Derivative Warrant) (covered warrant) (synthetic warrant) (third party warrant) 2 3 1 4 2005 98% 99% 100% ETF LOF 1 ETF