隱含變異數彈性與槓桿效應

Abstract

近幾十年來許多不同理論用來解釋股價報酬率與波動度變動率之間存在負向關係的原因。Black（1976）首先將其歸因於財務槓桿的影響，隨著公司股價下跌，槓桿率將會提高，槓桿率上升導致波動度變大，本文提出了新的方法來驗證財務槓桿效應的存在，根據固定彈性變異數定價模型，從市場的選擇權交易資訊中隱含出變異數彈性。實證結果變異數彈性顯示股票報酬率與波動度變動率之間呈現負相關，且彈性是槓桿率的函數，間接證明了財務槓桿效應，同時研究發現槓桿效應與公司規模之間呈現負向關係。

An inverse relationship between the stock return and volatility changes has been interpreted by many different theories during recent decades. First documented by Black(1976) who attributes it to the effects of financial leverage. As firm’s stock price falls, it would become highly leveraged, and this increase in leverage leads to higher equity-return volatility. This thesis provides a new method to support financial leverage effect by implying the elasticity from Constant Elasticity of Variance model. Evidence shows a negative relation between the stock return and volatility changes. Also the elasticity is a function of leverage ratio which implies the effect of financial leverage. Furthermore, result indicates a negative relation between the leverage effect and the firm size.