請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58539完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
| dc.contributor.author | Chun-An Tsou | en |
| dc.contributor.author | 鄒峻安 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:19:04Z | - |
| dc.date.available | 2025-07-11 | |
| dc.date.copyright | 2020-07-17 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-15 | |
| dc.identifier.citation | [1] Amihud, Y. (2002). “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” Journal of Financial Markets, vol. 5, no. 1 (January):31–56. [2] Ang, A., R.J. Hodrick, Y. Xing, and X. Zhang. (2006). “The Cross-Section of Volatility and Expected Returns.” Journal of Finance, vol. 61, no. 1 (February):259–299. [3] AN, B.‐J., ANG, A., BALI, T.G. and CAKICI, N. (2014), The Joint Cross Section of Stocks and Options. The Journal of Finance, 69: 2279-2337. [4] Bali, T. G., Hovakimian, A. (2009). Volatility spreads and expected stock returns. Management Science, 55(11), 1797–1812. [5] Bali, T.G., N. Cakici, and R.F. Whitelaw. (2009). “Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns.” NBER Working Paper 14804. [6] Battalio, R., and P. Schultz. (2006). “Options and the Bubble.” Journal of Finance, vol. 61, no. 5 (October):2071–2102. [7] Black, F. (1975). “Fact and Fantasy in the Use of Options.” Financial Analysts Journal, vol. 31, no. 4 (July/August):36–41. [8] Chang, C.‐C., Chou, P.‐H. and Liao, T.‐H. (2012), Fitting and testing for the implied volatility curve using parametric models. J. Fut. Mark., 32: 1171-1191. [9] Chan, K., Chung, Y. P., Johnson, H.(1993).Why option prices lag stock prices: A trading based explanation. The Journal of Finance, 48(5), 1957–1967. [10] Cremers, M., Weinbaum, D. (2010). Deviations from put call parity and stock return predictability. Journal of Financial and Quantitative Analysis, 45(2), 335–367. [11] Doran, J. S., Peterson, D. R., Tarrant, B. C. (2007). Is there information in the volatility skew? Journal of Futures Markets: Futures, Options, and Other Derivative Products, 27(10), 921–959. [12] Doran, J. S., Krieger, K. (2010). Implications for asset returns in the implied volatility skew. Financial Analysts Journal, 66(1), 65–76. [13] Easley, D., O’hara, M., Srinivas, P. S. (1998).Option volume and stock prices: Evidence on where informed traders trade. The Journal of Finance, 53(2), 431–465. [14] Fama, E.F., and K.R. French. (1993). “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, vol. 33, no. 1:3–56. [15] Fama, E.F., and J.D. MacBeth. (1973). “Risk, Return, and Equilib-rium: Empirical Tests.” Journal of Political Economy, vol. 81, no. 3 (May/June):223–237. [16] Giot. (2005). Relationships between implied volatility indexes and stock index returns. Journal of Portfolio Management, 31, pp. 92-100 [17] Guo, Biao Han, Qian Zhao, Bin. (2014). The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components. Journal of Futures Markets. 34. 10.1002/fut.21653. [18] Nelson, C. R., Siegel, A. F. (1987). Parsimonious modeling of yield curve. Journal of Business, 60, 473–489. [19] Ofek, E., Richardson, M., Whitelaw, R. F. (2004). Limited arbitrage and short sales restrictions: Evidence options markets. Journal of Financial Economics,74(2), 305– 342. [20] Stephan, J. A., Whaley, R. E. (1990). Intraday price change and trading volume relations in the stock and stock option markets. The Journal of Finance,45(1), 191–220. [21] Xing, Yuhang Zhang, Xiaoyan Zhao, Rui. (2010). What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?. Journal of Financial and Quantitative Analysis. 45. 641-662. 10.2139/ssrn.1107464. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58539 | - |
| dc.description.abstract | 過去不少文獻的結果顯示隱含波動度曲線的偏離程度以及買賣權的波動度差值對於股價走勢有良好的解釋能力。本研究試圖改善過去僅使用特定執行價與現貨價比值的資料來建構因子，我們先為波動度資料建立平滑的曲線，再依此建立修正的指標，並與過去文獻的偏離指標一同比較。研究結果顯示負偏向的波動度曲線與標的資產的報酬有正面的相關性，而此特性隨著不同的時間區間而有變化。此外，曲線的模型參數也有額外的解釋力，顯示此模型具有一定的貢獻力。 | zh_TW |
| dc.description.abstract | Many prior studies have shown that the skewness and spread of implied volatility curve contains the information of predicting future asset returns. This thesis aims to improve the construction of the option-based measures which traditionally utilize only implied volatilities pertaining to specific moneyness levels. A parsimonious model is proposed to fit implied volatility curves, and next we construct the tradition measures with the parsimonious model. Our empirical results indicate that higher asset returns are positively correlated to the more negatively skewed implied volatility curves and those relationships are robust in different examined in periods. Besides, the best-fitted parameter values of our parsimonious model can provide the extra predictive power, which implies our model captures the useful forward-looking features from option markets. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:19:04Z (GMT). No. of bitstreams: 1 U0001-1207202022283800.pdf: 1874235 bytes, checksum: 33adf8ab4fb05ba44e666d9d39f7e3f3 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 口試委員會審定書 i 誌謝 ii 摘要 iii ABSTRACT iv CONTENTS v LIST OF FIGURES vi LIST OF TABLES vii Chapter 1 Introduction 1 Chapter 2 Literature Review 3 Chapter 3 Data and Methodology 6 3.1 Data 6 3.2 Methdology 7 3.2.1 Construction of Implied Volatility Measures 7 3.2.2 Application of Nelson-Siegel Model 8 3.2.3 Testing Effectiveness of Each Option-Based Measure 12 Chapter 4 Empirical results 14 4.1 Descriptive Results 14 4.2 Single-Sorted Results 23 4.3 Characteristic Controls 28 Chapter 5 Conclusion 34 REFERENCE 36 | |
| dc.language.iso | en | |
| dc.subject | 標普500 | zh_TW |
| dc.subject | 波動度曲線 | zh_TW |
| dc.subject | 買賣權差異 | zh_TW |
| dc.subject | 波動度曲線偏移 | zh_TW |
| dc.subject | 波動度曲線非對稱性 | zh_TW |
| dc.subject | Asymmetric Volatility | en |
| dc.subject | Volatility Curve | en |
| dc.subject | Implied Volatility Spread | en |
| dc.subject | S P 500 | en |
| dc.subject | Volatility Skew | en |
| dc.title | 利用平滑化隱含波動度曲線預測資產報酬 | zh_TW |
| dc.title | Prediction on Assets Returns with Smoothed Implied Volatility Curve | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王之彥(Jr-Yan Wang) | |
| dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),繆維中(Wei-Zhong Miao) | |
| dc.subject.keyword | 標普500,波動度曲線,買賣權差異,波動度曲線偏移,波動度曲線非對稱性, | zh_TW |
| dc.subject.keyword | S P 500,Volatility Curve,Implied Volatility Spread,Volatility Skew,Asymmetric Volatility, | en |
| dc.relation.page | 49 | |
| dc.identifier.doi | 10.6342/NTU202001458 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-07-15 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| U0001-1207202022283800.pdf 未授權公開取用 | 1.83 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。