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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/7778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 | Chao-Kai Wang | en |
| dc.contributor.author | 王炤凱 | zh_TW |
| dc.date.accessioned | 2021-05-19T17:53:15Z | - |
| dc.date.available | 2022-07-13 | |
| dc.date.available | 2021-05-19T17:53:15Z | - |
| dc.date.copyright | 2017-07-13 | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017-07-06 | |
| dc.identifier.citation | PERIODICAL
[1] Barnes, J.G.P., 1965, 'An Algorithm for Solving Non-Linear Equations Based on the Secant Method ', The Computer Journal. [2] Beckers, Stan, 1980, 'The Constant Elasticity of Variance Model and Its Implications for Option Pricing.' Journal of Finance. 661-673. [3] Black, F., 1976, 'Studies of Stock Price Volatility Changes', Proceedings of the Business and Economics Section of the American Statistical Association. 177–181. [4] Cheung, Y-W and L. Ng, 1992, 'Stock Price Dynamics and Firm Size: An Empirical Investigation.' Journal of Finance XLVII, 1985–1997. [5] Christie, A., 1982, 'The Stochastic Behavior of Common Stock Variances: Value, leverage, and Interest Rate Effects', Journal of Financial Economics 10, 407–432. [6] Cox, J and S. Ross, 1976, 'The Valuation of Options for Alternative Stochastic Processes.' Journal of Financial Economics. [7] Cox, J., 1975, 'Notes on Option Pricing I: Constant Elasticity of Variance Diffusions.' (Working Paper, Stanford University). [8] Duffee, G., 1995, 'Stock Return and Volatility: A Firm Level Analysis ', Journal of Financial Economics 37, 399–420. [9] Duffee, G., 2002, 'Balance sheet explanations for asymmetric volatility.'(Working paper, University of California-Berkeley). [10] Hasanhodzic, J. and Andrew Lo, 2011, ' Black’s Leverage Effect Is Not Due To Leverage.' (Working paper, MIT). [11] Lee, C.F, T.P, Wu and R.R, Chen, 2004, 'The Constant Elasticity of Variance Models: New Evidence from S&P 500 Index Options.' Review of Pacific Basin Financial Markets and Policies 7 173-190. [12] Macbeth, D. and C. Emanuel, 1982, 'Further Results on the Constant Elasticity of Variance Call Option Pricing Model.' Journal of Financial and Quantitative Analysis. [13] Rubinstein, Mark, 1983, 'Displaced Diffusion Option Pricing.' Journal of Finance XXXVIII, 213-217. [14] Schroder, Mark, 1989, 'Computing the Constant Elasticity of Variance Option Pricing Formula.' Journal of Finance XLIV 211-219. [15] Schwert, W., 1989, 'Why Does Stock Market Volatility Change Over Time? ', Journal of Finance XLIV, 1115–1153. BOOK [1] C. Brooks, Introductory Econometrics for Finance third edition. Cambridge University Press, 2014. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/7778 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-19T17:53:15Z (GMT). No. of bitstreams: 1 ntu-106-R04723063-1.pdf: 1197046 bytes, checksum: 0ad45fe6c220e6c08935c35c46d05452 (MD5) Previous issue date: 2017 | en |
| dc.description.tableofcontents | 口試委員會審定書................................ #
誌謝........................................... i 摘要........................................... ii ABSTRACT....................................... iii CONTENTS....................................... iv LIST OF FIGURES AND TABLES..................... v Chapter 1 Introduction................... 1 Chapter 2 Literature Review.............. 3 Chapter 3 Methodology and Hypotheses..... 8 Chapter 4 Data and Empirical Evidence.... 11 Chapter 5 Conclusion..................... 21 REFERENCE...................................... 23 | |
| dc.language.iso | en | |
| dc.title | 隱含變異數彈性與槓桿效應 | zh_TW |
| dc.title | Implied Elasticity of CEV model and Leverage Effect | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王耀輝(Yaw-Huei Wang),姜堯民(Yao-Min Chiang) | |
| dc.subject.keyword | 波動度,固定彈性變異數模型,變異數彈性,槓桿效應,報酬率與波動度變動率關係, | zh_TW |
| dc.subject.keyword | Volatility,Leverage effect,CEV model,Elasticity of variance,Return/Changes of volatility relation, | en |
| dc.relation.page | 24 | |
| dc.identifier.doi | 10.6342/NTU201701231 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2017-07-06 | |
| 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-106-1.pdf | 1.17 MB | Adobe PDF | 檢視/開啟 |
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