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博碩士論文 etd-0514115-142131 詳細資訊
Title page for etd-0514115-142131
論文名稱
Title
以橫斷面分析評估選擇權價格對股票報酬影響
Relative Options Prices and Cross-Section of Stock Returns
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
64
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2015-05-22
繳交日期
Date of Submission
2016-01-30
關鍵字
Keywords
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
Information trading, Option market, Risk-neutral skewness, Informed trader, Stock return predictability
統計
Statistics
本論文已被瀏覽 5767 次,被下載 0
The thesis/dissertation has been browsed 5767 times, has been downloaded 0 times.
中文摘要
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。
Abstract
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).
目次 Table of Contents
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 References
Amihud, Y., 2002. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets 5, 31-56.
An, B., Ang, A., Bali, T., Cakici, N., 2014. The Joint Cross Section of Stocks and Options. Journal of Finance 69, 2279-2337.
Bali, T. G., Hovakimian, A., 2009. Volatility Spreads and Expected Stock Returns. Management Science 55, 1797-1812.
Barbaris, N., and Huang, M. 2008. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. American Economic Review 98, 2066-2100.
Bates, D. S., 1991. The Crash of ‘87: Was It Expected? The Evidence from Options Markets. Journal of Finance 46, 1009-1044.
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Chakravarty, S., Gulen, H., 2004. Informed Trading in Stock and Option Markets. Journal of Finance 59, 1235-1258.
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.
Fama, E. F., MacBeth, J. D., 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81, 607–636.
Fama, E. F., French, K. R., 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 47,427-465.
Fama, E. F., French, K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Hayunga, D. K., Lung, P. P., 2014. Trading in the Options Market around Financial Analysts’ Consensus Revisions. Journal of Financial and Quantitative Analysis 49, 725–747.
Jegadeesh, N. Titman, S., 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48, 65-91.
Manaster, S., Rendleman Jr, R. J., 1982. Option Prices as Predictors of Equilibrium Stock Prices. Journal of Finance 37, 1043-1057.
Newey, W. K., West, K. D., 1987. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55, 703–708.
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.
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