請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62649完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修(Tsun-Siou Lee) | |
| dc.contributor.author | Shih-Ting Huang | en |
| dc.contributor.author | 黃詩婷 | zh_TW |
| dc.date.accessioned | 2021-06-16T16:06:31Z | - |
| dc.date.available | 2023-12-31 | |
| dc.date.copyright | 2013-07-03 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-06-17 | |
| dc.identifier.citation | Bakshi, G., and D. Madan (2000), “Spanning and derivative security valuation,” Journal of Financial Economics 55, 205-238.
Bakshi, G., N. Kapadia, and D. Madan (2003), “Stock return characteristics, skew laws, and differential pricing of individual equity options,” Review of Financial Studies 16, 101-143. Black, F., M. C. Jensen, and M. Scholes (1972), “The capital asset pricing model: Some empirical tests,” Studies in the Theory of Capital Makets. M. C. Jensen, ed. New York: Praeger, 79-121. Buss, A., and G. Vilkov (2011), “Option-implied correlation and factor betas revisited,” Working Paper, Goethe University. Carr, P. and Wu, L. (2009), “Variance risk premia,” Review of Financial studies 22, 1311-1341 Chang, B. Y., B. Christoffersen, K. Jacobs, and G. Vainberg (2011), “Option-implied measures of equity risk,” Review of Finance, 16, 385-428. Chen, R,-R., D. Kim, and D. Panda (2011), “On the ex-ante cross-sectional relation between risk and return using option-implied information,” Graduate School of Business Administration Fordham University Working Paper. Duan, J.-C. and J. Wei (2009), “Systematic risk and the price structure of individual equity options,” Review of Financial Studies 22, 1981-2006. Fama, E. and K. French (1992), “The cross-section of expected stock returns,” Journal of Finance, 47, 427-465. French, D., J. Groth, and J. Kolari (1983), “Current investor expectations and better betas,” Journal of Portfolio Management 10, 12-17. Friend, I., and M. Blume (1970), “Measurement of portfolio performance under uncertainty,” American Economic Review 60, 607-636. Jiang, G. and Y. Tian (2005), “The model-free implied volatility and its information content,” Review of Financial Studies, 18, 1305-1342. Stambaugh, R. F. (1982), “On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis,” Journal of Financial Economics 10, 237-268. Tsai, W.-C. (2011), “Option-implied CAPM beta and expected stock returns,” Ph.D. Dissertation, National Taiwan University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62649 | - |
| dc.description.abstract | 先前學者在選擇權隱含貝塔係數的研究中主要是針對美國的選擇權市場，在本研究中，我們將針對台灣的市場進行研究，然而，由於台灣的個股選擇權的交易量非常小，因此我們以權證市場代替之，並調整先前學者所使用計算選擇權隱含貝塔係數的方法以合乎權證市場的特性。一檔權證的存續期間約半年左右，我們篩選出連續兩年〈2011年3月至2013年2月〉皆有被券商發權證的公司，將這些公司依權證隱含貝塔係數之大小分成三組，分別觀察三組以及以買高貝塔賣低貝塔投資組合策略在未來一週至未來四週之報酬的表現。此外，我們研究未來第一週至未來第四週的報酬與權證隱含貝塔和其他控制變數的關係，以得知權證隱含貝塔係數是否可以為未來的股票報酬提供資訊。 | zh_TW |
| dc.description.abstract | Previous studies of option-implied beta focused on US’s option market. Since the trading volume of stock option in Taiwan’s option market is greatly small, we use warrant data instead and apply in an adjusted way to compute warrant-implied beta to generate four warrant-implied betas in a week period rather than a single implied-beta. Firms issued continuous two-year warrants were sorted into three groups based on implied beta. We conducted long-short strategies to examine the performance of stock returns in different periods with different implied-beta. In addition, we investigated the relationship between different-period future stock returns and control variables to verify the effects of warrant-implied beta to future stock return. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T16:06:31Z (GMT). No. of bitstreams: 1 ntu-102-R00723034-1.pdf: 1041104 bytes, checksum: 6dc430317e58074fc0bf4c94287183b9 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 中文摘要.......................I
ABSTRACT.....................II CONTENTS...........................III LIST OF FIGURES.....................IV LIST OF TABLES.......................V Chapter 1 Introduction..............1 Chapter 2 Research Methodology......3 Chapter 3 Data......................7 Chapter 4 Empirical results........10 Chapter 5 Conclusion...............13 REFERENCE...........................15 | |
| dc.language.iso | zh-TW | |
| dc.subject | 權證 | zh_TW |
| dc.subject | CAPM | zh_TW |
| dc.subject | 系統性風險 | zh_TW |
| dc.subject | 隱含選擇權 | zh_TW |
| dc.subject | CAPM | en |
| dc.subject | Warrant | en |
| dc.subject | Option-implied | en |
| dc.subject | Systematic Risk | en |
| dc.title | 臺灣權證市場下隱含貝塔係數與期望報酬之實證研究 | zh_TW |
| dc.title | An Empirical Study of Warrant-Implied CAPM Beta and the Expected Return in Taiwan Stock Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 沈中華,王衍智 | |
| dc.subject.keyword | 權證,隱含選擇權,系統性風險,CAPM, | zh_TW |
| dc.subject.keyword | Warrant,Option-implied,Systematic Risk,CAPM, | en |
| dc.relation.page | 32 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2013-06-17 | |
| 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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|---|---|---|---|
| ntu-102-1.pdf 未授權公開取用 | 1.02 MB | Adobe PDF |
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