博碩士論文 etd-0514115-142131 詳細資訊


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姓名 羅智洋(Jhih-Yang Lo) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 104學年第1學期
論文名稱(中) 以橫斷面分析評估選擇權價格對股票報酬影響
論文名稱(英) Relative Options Prices and Cross-Section of Stock Returns
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    摘要(中) 本研究主要目的為探討有資訊的投資者是否喜好在選擇權市場中交易,而非股票市場。本篇論文使用Bates (1991)的skewness premium模型發現選擇權之相對價格確實影響未來股票價格的變動。我們利用skewness premium發現幾項重要結果:1. 擁有高skewness premium下的股票比擁有低skewness premium的股票多出20.55%風險調整後年化報酬率。此結果說明有資訊的投資者喜好在短期進行價外選擇權獲利。2. 資訊投資者喜好透過價外1-2%的選擇權去享受槓桿與到期後之內涵價值。3. 此skewness premium模型所以隱含之資訊與過去Xing et al. (2010) 以及 Cremers et al. (2010) 所建構之模型類似。
    摘要(英) The literature offers an extensive discussion on whether an informed trader prefers to choose the options market to acquire an information advantage. In this paper we present strong evidence that option prices contain information about future stock prices and construct a skewness premium calculated by the call option price divided by the put option price. We uncover several important results of the skewness premium. First, stocks with a higher skewness premium outperform stocks with a lower skewness premium by 20.55% per year on a risk-adjusted basis. The results are consistent with the notion that informed traders with positive news prefer to trade out-of-the-money call options. Second, informed traders choose 1-2% out-of-the-money options with the benefits of leverage and probability of moving in-the-money. Third, the skewness premium constructed by option prices is related to the implied volatility smirk and deviation of call and put, as established in Xing et al. (2010) and Cremers et al. (2010).
    關鍵字(中)
  • 資訊投資者
  • 資訊交易
  • 選擇權市場
  • 股票報酬預測
  • 風險中立偏態
  • 關鍵字(英)
  • Information trading
  • Option market
  • Risk-neutral skewness
  • Informed trader
  • Stock return predictability
  • 論文目次 論文審定書 i
    摘要 ii
    ABSTRACT iii
    CONTENTS iv
    I. Introduction 1
    II. Literature Reviews 5
    III. Data and Methodology 10
    3.1. Data and Sample Selection 10
    3.2. Skewness Premium Model 11
    3.3. Fama-MacBeth Regression 13
    3.4. Long-Short Portfolio Trading Strategy 15
    3.5. Double-Sorted Long-Short Portfolio Trading Strategy 16
    IV. Empirical Results 17
    4.1. Summary Statistics 17
    4.2. Fama MacBeth Regression 19
    4.3. Long-Short Portfolio Strategy 22
    4.4. Controlling for Options-based Measures 25
    V. Conclusion 28
    Reference 30
    Appendix A 51
    Appendix B 55
    Appendix C 56
    參考文獻 Amihud, Y., 2002. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets 5, 31-56.
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    Cremers, M., Weinbaum, D., 2010. Deviations from Put-Call Parity and Stock Return Predictability. Journal of Financial and Quantitative Analysis 45, 335–367.
    Easley, D., O’Hara, M., Srinivas, P. S., 1998. Option Volume and Stock Prices: Evidence on Where Informed Traders Trade. Journal of Finance 53. 431-465.
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    Pan, J., Poteshman, A. M., 2003. The Information in Option Volume for Stock Prices. Working paper, MIT.
    Ratcliff, R., 2013. Relative Option Prices and Risk-Neutral Skew as Predictors of Index Returns. Journal of Derivatives, 89-105.
    Xing, Y., Zhang, X., Zhao, R., 2010. What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns? Journal of Financial and Quantitative Analysis, 45, 641-662.
    口試委員
  • 林智勇 - 召集委員
  • 翁培師 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2015-05-22 繳交日期 2016-01-30

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