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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16606
標題: | 財務金融研究 Essays in Finance |
作者: | Ya-Wen Lai 賴雅雯 |
指導教授: | 洪茂蔚 |
關鍵字: | 行為異質,投資人情緒,衍生性商品交易,避險交易,總體因子,選擇權報酬率,經濟活動指標, Behavioral heterogeneity,Investor sentiment,Derivatives trading,Hedge trading,Macro factors,Option returns,Economic activity indicators, |
出版年 : | 2011 |
學位: | 博士 |
摘要: | This dissertation is composed of two essays. I empirically examine rational expectation equilibrium in options/futures markets from behavioral and traditionally rational perspectives. The first essay, titled “Behavioral Heterogeneity, Investor Sentiment and Derivatives Trading: Evidence in Stock Index Futures,” examines whether the futures position is redundant in the sense that the futures position does not contain useful information for the underlying asset. I visit this topic in a behavioral perspective and examine the causal relationship between the underlying return and futures position. I find that hedge trading and index returns have predictive power for each other, and that time-varying investor sentiment is an indispensable ingredient to explain the predictive power of hedge trading for index returns. The second essay, titled “Macro factors in Index Option Returns,” is a test of ICAPM in index option market. Specifically, I investigate whether macro factors can explain the cross-section of index option returns in an asset pricing framework. Macro factors are particularly extracted from a large panel of 132 economic activity indicators using dynamic factor analysis. The results support that macro factors have a decisive influence on index option returns, irrespective of whether the risk premia are estimated from option or stock portfolios. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16606 |
全文授權: | 未授權 |
顯示於系所單位: | 國際企業學系 |
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