本文旨在探討在選擇權市場中是否有資訊交易人所透露的隱含資訊。本篇文章根據過去文獻中衡量有資訊交易人之變數，以不同的樣本選取與頻率，發現確實存在預測股價的情況。觀察變數與股價未來報酬的關係，發現幾項有趣的結果: 1. 若以單變數來進行股價預測，以價平的買權隱含波動率變動能夠最有效的預測股價變化。 2.隱含資訊投資人在股價未來有下降風險時較容易交易選擇權來避險或獲利。 3. 在同時使用多個變數來預測股票報酬時價平選擇權之隱含波動率變化有最好的影響力。

This research offers an extensive discussion on whether informed traders prefer to choose the options market to acquire an information advantage. If informed trading exists, then the option implied information could predict underlying stock returns. In this paper we extend the Baltussen et al. (2012) and An et al. (2014) implied information measures and test them in different samples. We find several interesting results of these measures as follows. First, they do have predictive ability, and the change in at-the-money call implied volatility presents the best predictive ability. Second, most predictions of implied information are reflected whenprices drop moreso than when they rise. Third, when predicting stock prices by multiple measures, the change in at-the-money put implied volatility exhibits a large influence.

Contents
論文審定書 i
摘要 ii
ABSTRACT iii
1. Introduction 1
2. Data and Option Measures 5
2.1 Data 5
2.2 Option Measures 6
2.3 Descriptive Statistics 8
3. Empirical Method and Results 9
3.2 Empirical Method 9
3.3 Empirical Results 11
4. Results of Combined Option Measures 16
4.1 Double-Sorted Portfolio 16
4.3 Company-Level Regression 18
5. Conclusion 21
Reference 23
Table 1. Descriptive Statistics 26
Table 2. Portfolio Return Base on Option Measures 27
Figure 1. Cumulative Performance of SkewOTM, RVIV, and Skew, January 1996 to June 2013 28
Figure 2. Cumulative Performance of Cvol and Pvol, January 1996 to June 2013 29
Table 3. Double sorted Portfolio 30
Table 4. Company-Level Regressions without Control, January 1996 – June 2013 31
Table 5. Company-Level Regressions with Control, January 1996 – June 2013 32
Appendix 33

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