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標題: | 選擇權隱含資本資產訂價模型系統風險與股票期望報酬 Option-Implied CAPM Beta and Expected Stock Returns |
作者: | Wei-Che Tsai 蔡維哲 |
指導教授: | 張森林 |
關鍵字: | 選擇權,系統風險,股票報酬, options,beta,stock returns, |
出版年 : | 2011 |
學位: | 博士 |
摘要: | 本論文研究選擇權隱含的股票系統風險和未來股票報酬之關係。買進最高隱含風險投組並放空最低隱含風險投組的零成本投資策略,持有一個月的報酬率顯著為0.8499%;此報酬率在四因子風險調整後的月報酬為0.6331%。當採用市值加權投資,此異常報酬率更大,達到1.0333%。此外,選擇權隱含系統風險和股價的延遲反應程度的關係為單調遞增;當選擇權隱含系統風險增加,利用價格延遲反應程度所形成的投組,其未來投組報酬也會增加,此現象代表選擇權隱含系統風險有效率反應股票延遲反應的系統風險。除了選擇權隱含系統風險反映價格延遲的效率,選擇權隱含系統風險和Ball and Brown (1968)首度揭露盈餘宣告後的持續反應也為正向相關。而且,當未預期盈餘驚喜投組的持續反應越大,選擇權隱含系統風險也會越高,支持高系統風險伴隨高期望報酬的觀點。最後,本論文的實證結果皆支持個股選擇權市場有效率反應股票的系統風險。 This study investigates whether high option-implied beta is associated with higher future stock return. Empirical results show that a zero-investment portfolio that consists of long positions in high option-implied beta stocks and short positions in low option-implied beta stocks generates a significant monthly return of 0.8499% or 0.6331% after standard four-factor risk adjustment. The abnormal return is more pronounced if the value-weighted strategy is applied. I also find that option-implied beta is monotonically increasing in the severity of market frictions proxied by price delay of Hou and Moskowitz (2005). As option-implied beta increases, delay-based future portfolio return increases, indicating that option-implied beta help to reflect the systematic risk of the severity of market frictions affecting a firm. In addition to the efficacy of option-implied beta in capturing the systematic risk of price delay, I find that option-implied beta is positively related to post-earnings announcement drift first documented by Ball and Brown (1968). Furthermore, option-implied beta is shown to be priced within the context of post-earnings-announcement portfolio drift, supporting high systematic risk in exchange for high expected stock returns. Overall, the findings of this study are consistent with the notion that the individual stock options market efficiently reflects the systematic risk of stock returns. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23638 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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