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標題: | 選擇權隱含之期望報酬和系統性風險:文獻比較及分析 Option-Implied Expected Return and Systematic Risk: Literatures Comparison and Analysis |
作者: | Shu-Hung Wang 王舒虹 |
指導教授: | 張森林(Sna-Lin Chung) |
關鍵字: | 選擇權,期望報酬,系統性風險,文獻比較, option,extected return,beta,literatures comparison, |
出版年 : | 2011 |
學位: | 碩士 |
摘要: | 比較Chen, Kim and Panda (2009),Chang, Christoffersen, Jacobs and Vainberg (2009),及Husmann and Stephan (2007)三篇論文所提出的,用選擇權的資料計算出其隱含期望報酬及系統性風險的方法,其結果的合理性、對未來的預測能力並進行分析。我們發現Husmann and Stephan (2007)的結果不合現實,例如計算出來的beta其平均值遠離1,及計算出來的期望報酬幾乎為負的;就系統性風險而言,Chang et al. (2009)的方法較Chen, Kim and Panda (2009)的更接近現實;而由於資料選擇及極小化方式的不同,我們的結果和Chen, Kim and Panda (2009)的僅大略一致;在我們考慮到的所有投資期間內,以Chen, Kim and Panda (2009)的方法計算出來的期望報酬和事前的beta,都有正向且顯著的橫斷面關係;即使加入公司規模、淨值市價比及動能,此顯著性仍然維持;其事前之市場風險溢酬的橫斷面迴歸估計值在經濟上也有顯著性,它包含了對未來總體經濟的預期資訊。而以Chang et al. (2009)的方法計算出來的事前beta,和已實現報酬有負向且顯著的橫斷面關係;加入公司規模、淨值市價比及動能後,此顯著性仍然維持;其事後之市場風險溢酬的橫斷面迴歸估計值在經濟上也有顯著性。最後,我們覺得Chen, Kim and Panda (2009)的模型有一點不合理之處,即該模型要求沒有無套利條件,但在其模型的推導中,又有用到無套利條件。 We compare three different methods of extracting implied expected returns and systematic risk from options that suggested by Chen, Kim and Panda (2009), Chang, Christoffersen, Jacobs and Vainberg (2009), and Husmann and Stephan (2007), their rationality, the prediction ability and analyze the results. We find that the result of Husmann and Stephan (2007) is not in line with the reality, for example, the mean of their betas is away from 1, and their implied returns are almost negative. In light of systematic risk, the result of Chang et al. (2009) is more reasonable than that of Chen, Kim and Panda (2009). And because of distinct data selection and minimized process, our result is just like the result of Chen, Kim and Panda (2009). The ex ante expected returns and the ex ante betas calculated by the method of Chen, Kim and Panda (2009) have a positive and significant cross-sectional relation in all investment horizons we considered. This significant relation is maintained regardless of the inclusion of firm size, book-to-market, and momentum. The cross-sectional regression estimate of ex ante market premium has an economic significance: it contains significant forward- looking information on future macroeconomic conditions. The realized returns and the ex ante betas calculated by the method of Chang et al. (2009) have a negative and significant cross-sectional relation. This significant relation is maintained after the inclusion of firm size, book-to-market, and momentum. The cross-sectional regression estimate of ex post market premium by Chang et al. (2009) method has an economic significance. Finally, we think there is one unreasonable point in the model of Chen, Kim and Panda (2009): their model requires no no-arbitrage condition while in order to obtain their model, this condition should be used. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/36739 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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