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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Nien-Tzu Lin | en |
dc.contributor.author | 林念茲 | zh_TW |
dc.date.accessioned | 2021-06-15T12:49:55Z | - |
dc.date.available | 2026-12-31 | |
dc.date.copyright | 2016-08-02 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-07-21 | |
dc.identifier.citation | Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810–836.
Bakshi, G., D. Madan. 2000. Spanning and derivative-security valuation. J. Financial Econom. 55(3) 205–238. Bakshi, G., N. Kapadia, D. Madan. 2003. Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev. Financial Stud. 16(1) 101–143. Bali, T. G., A. Hovakimian. 2009. Volatility spreads and expected stock returns. Management Sci. 55(11) 1797–1812. Bollerslev, T., G. Tauchen, H. Zhou. 2009. Expected stock returns and variance risk premia. Rev. Financial Stud. 22(11) 4463–4492. Chen, Yi-Ting, Keng-Yu Ho, and Larry Y. Tzeng. 'Riskiness-minimizing spot-futures hedge ratio.' Journal of Banking & Finance 40 (2014): 154-164. Crotty, James. 'Structural causes of the global financial crisis: a critical assessment of the ‘new financial architecture’.' Cambridge journal of economics 33.4 (2009): 563-580. Fama, E. F., J. D. MacBeth. 1973. Risk, return and equilibrium: Empirical tests. J. Political Econom. 81(3) 607–636. Foster, D. P., S. Hart. 2009. An operational measure of riskiness. J. Political Econom. 117(5) 785–814. Ghysels, Eric, Pedro Santa-Clara, and Rossen Valkanov. 'There is a risk-return trade-off after all.' Journal of Financial Economics 76.3 (2005): 509-548. Homm, Ulrich, and Christian Pigorsch. 'Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement.' Journal of Banking & Finance 36.8 (2012): 2274-2284. Kadan, Ohad, Fang Liu, and Suying Liu. 'Generalized systematic risk.' American Economic Journal: Microeconomics 8.2 (2016): 86-127. Merton, R. C. 1973. An intertemporal asset pricing model. Econometrica 41(5) 867–887. Rothschild, Michael, and Joseph E. Stiglitz. 'Increasing risk II: Its economic consequences.' Journal of Economic Theory 3.1 (1971): 66-84. Rothschild, Michael, and Joseph E. Stiglitz. 'Increasing risk: I. A definition.' Journal of Economic theory 2.3 (1970): 225-243. Taboga, Marco. 'The riskiness of corporate bonds.' Journal of Money, Credit and Banking 46.4 (2014): 693-713. Xing, Y., X. Zhang, R. Zhao. 2010. What does the individual option volatility smirk tell us about future equity returns? J. Financial Quant. Anal. 45(3) 641–662. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50635 | - |
dc.description.abstract | Bali, Cakici, and Chabi-Yo(2011)研究證實:在1996年1月至2008年9月期間,選擇權隱含風險值與未來風險調整溢酬具有顯著負向關係。本文延伸Bali et al.的研究期間,以Fama and MacBeth(1973)的模型探討2008年9月後選擇權隱含風險值是否也能有效預期風險調整溢酬的變化,此外,本研究採取具有投資組合概念的股指作為取樣對象。實證結果顯示股指隱含風險值在2008年9月前對未來調整溢酬有顯著預期力且呈反向變動,然而2008年9月後僅30天到期選擇權隱含風險值能顯著負向預期未來風險調整溢酬;長天期選擇權隱含風險值甚至對未來風險調整溢酬具有正向關係 | zh_TW |
dc.description.abstract | Bali, Cakici, and Chabi-Yo(2011) introduced the generalized options' implied measure of riskiness and shew that option implied riskiness successfully predict the risk-adjusted returns of individual stocks return distribution. This paper extends their empirical results to U.S. stock indexes and also investigates whether the relationship holds during the financial crisis of 2007-08. The empirical results of this study show that a significant negative relationship holds between the option implied riskiness and future risk-adjusted returns of stock indexes before September 2008. But the results exist no more during the financial crisis of 2007-08, indicating strong structural changes occurred. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T12:49:55Z (GMT). No. of bitstreams: 1 ntu-105-R03723063-1.pdf: 1554652 bytes, checksum: 72d46231cd09cd444563aaa883d37e3d (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | 口試委員審定書 i
誌謝 ii 摘要 iii Abstract iv 目錄 v 圖表目錄 vi 第一章、概述 1 第二章、研究假說 4 第三章、研究樣本與研究方法 6 3.1資料來源與篩選 6 3.1.1解釋變數 7 3.1.2被解釋變數 8 3.2敘述統計 9 3.3研究方法 11 第四章、研究結果 13 第五章、結果分析與解釋 15 第六章、結論 17 參考文獻 18 | |
dc.language.iso | zh-TW | |
dc.title | 股票指數的選擇權隱含風險值與其報酬─以美國股票指數為例 | zh_TW |
dc.title | Return and the Option Implied Riskiness of Stock Indexes ─ Example from U.S. Stock Indexes | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
dc.subject.keyword | 風險指標,選擇權隱含風險值,股票指數報酬,金融海嘯, | zh_TW |
dc.subject.keyword | Riskiness,Option implied riskiness,Stock indexes return,Financial crisis, | en |
dc.relation.page | 34 | |
dc.identifier.doi | 10.6342/NTU201601067 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2016-07-21 | |
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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