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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58469完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達(Pai-Ta Shih) | |
| dc.contributor.author | Cheng-Feng Yang | en |
| dc.contributor.author | 楊承峯 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:16:16Z | - |
| dc.date.available | 2014-03-09 | |
| dc.date.copyright | 2014-03-09 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2014-02-12 | |
| dc.identifier.citation | Bali and Hovakimian, 2009. Volatility spreads and expected stock returns. Management Science 55, 1797-1812.
Banerjee, Doran and Peterson, 2007. Implied volatility and future portfolio returns. Journal of Banking & Finance 31, 3183-3199. Barberis and Huang, 2001.Mental accounting, loss aversion, and individual stock returns. Journal of Finance 56, 1247-1292. Battalio and Schultz, 2006. Options and the bubble. Journal of Finance 61, 2071-2102. Black and Scholes, 1972. The valuation of option contracts and a test of market efficiency. Journal of Finance 27, 399-417. Black and Scholes, 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-654. Bollerslev, 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327. Carhart, 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82. Christensen and Prabhala, 1998. The relation between implied and realized volatility. Journal of Financial Economics 50, 125-150. Cox, Ross, Rubinstein, 1979. Option pricing: a simplified approach. Journal of Financial Economics 7, 229-263. Cremers and Weinbaum, 2010. Deviations form put-call parity and stock return predictability. Journal of Financial and Quantitative Analysis 45, 335-367. Driessen, Maenhout, and VIlkov, 2009. The price of correlation risk: evidence from equity options. Journal of Finance 64, 1377-1406. Engle, 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007. Fama and French, 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56. Figlewski, 1989. Options arbitrage in imperfect markets. Journal of Finance 44, 1289-1311. Gould and Galai, 1974. Transactions costs and the relationship between put and call prices. Journal of Financial Economics 1, 105-129. Goyal and Saretto, 2009. Cross-section of option returns and volatility. Journal of Financial Economics 94, 310-326. Hanna and Ready, 2005. Profitable predictability in the cross section of stock returns. Journal of Financial Economics 78, 463-505. Harvey and Whaley, 1992. Market volatility prediction and the efficiency of the S&P 100 index option market. Journal of Financial Economics 31, 43-73. Heston, 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies 6, 327-343. Hull and White, 1987. The Pricing of Options on Assets with Stochastic Volatilities. Journal of Finance 42, 281-300. Ofek, Richardson, and Whitelaw, 2004. Limited arbitrage and short sales restrictions: evidence from the options market Journal of Financial Economics 74, 305-342. Sharpe, 1966. Mutual fund performance. The Journal of Business 39, 119-138. Xing, Zhang and Zhao, 2010. What does the individual option volatility smirk tell us about future equity returns? Journal of Financial and Quantitative Analysis 45, 641-662. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58469 | - |
| dc.description.abstract | 本文依照Goyal and Saretto(2009)所提出之個股選擇權交易策略，於每月利用當期價平之美國個股選擇權，依照歷史波動率與隱含波動率之差值篩選並分類為十分為組後，形成選擇權投資組合並試圖改進其投資報酬率。除引用原作之指標外，我們將引入考量了選擇權價格水平以及相關選擇權參數重新編製篩選指標，創造出新投資策略改進原作之成果。
針對本文提出之交易策略進行分析，發現其投資報酬率無法用目前普遍採用之Fama and French(1993)三因子模型以及Carhart(1997)動能因子模型解釋；且在子樣本分析以及納入交易成本後，本文所提出交易策略之投資報酬率仍穩固，異常報酬率則仍呈現顯著。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:16:16Z (GMT). No. of bitstreams: 1 ntu-102-R00723035-1.pdf: 881181 bytes, checksum: ed68ca90e9683c651d0f33902808e0fb (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 中文摘要……………………………………………………………………………………… i
Abstract…………………………………………………………………………………… ii 1. Introduction………………………………………………………………………… 1 2. Data…………………………………………………………………………………… 7 3. Portfolio Formation and Returns……………………………………… 10 3.1 Portfolio Formation……………………………………………………………… 10 3.2 Portfolio Returns and Analysis…………………………………………… 14 4. Risk Adjusted Return and Robustness Check…………………… 23 4.1 Risk Adjusted Returns…………………………………………………………… 23 4.2 Subsample Returns…………………………………………………………… 25 4.3 Transaction Costs………………………………………………………… 28 5. Conclusion………………………………………………………………………… 32 Reference………………………………………………………………………………… 33 | |
| dc.language.iso | en | |
| dc.subject | 歷史波動率 | zh_TW |
| dc.subject | 美國個股 | zh_TW |
| dc.subject | 隱含波動率 | zh_TW |
| dc.subject | Vega | zh_TW |
| dc.subject | 選擇權交易 | zh_TW |
| dc.subject | vega | en |
| dc.subject | historical volatility | en |
| dc.subject | US Stock | en |
| dc.subject | implied volatility | en |
| dc.subject | option portfolio | en |
| dc.title | 美國個股選擇權市場波動率交易策略探討 | zh_TW |
| dc.title | Volatility Trading Strategies for US Stock Option Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 江彌修(Mi-Hsiu Chiang),盧佳琪(Chia-Chi Lu) | |
| dc.subject.keyword | 隱含波動率,歷史波動率,選擇權交易,Vega,美國個股, | zh_TW |
| dc.subject.keyword | implied volatility,historical volatility,option portfolio,vega,US Stock, | en |
| dc.relation.page | 35 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2014-02-12 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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