選擇權與股票交易量之比例的資訊 隱含量:以股票回購為例

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姓名

陳宇軒(Yu-Hsuan Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

選擇權與股票交易量之比例的資訊隱含量:以股票回購為例
(Informational Content of the Relative Trading Activity in Options and Stock on Repurchase Announcement Return)

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摘要(中)

本論文從SDC取得美國上市公司在1996-2014年之股票回購資料，並且與CRSP股價資料及OptionMetrics選擇權資料進行合併，本研究主要探究股票回購前的選擇權市場異常交易行為。更進一步研究選擇權交易量與股票現貨交易量之比值與宣告日累積異常報酬之關係並且發現兩者之間存在一種正向關係，此結果與選擇權具有資訊隱含量假說相謀合。此外為了探討宣告前報酬與選擇權交易成本是否對於此假說有影響，本論文進一步檢查宣告後累積異常報酬與選擇權交易變數與宣告前累積異常報酬之交乘項是否有影響，以及宣告後累積異常報酬與選擇權交易變數與宣告前平均選擇權買賣價差之交乘項之關係。結果顯示兩種因素皆影響持有私有資訊投資人的選擇權市場投資活動。最後本論文比較選擇權交易變數在宣告日前之預測力相較於常規日是否為較強的預測變數，結果顯示相較於常規日，宣告日前之預測力明顯較強。

摘要(英)

By using share repurchase announcement data from Thomson Financial Securities Company’s database merged with CRSP database and OptionMetrics database during 1996-2014, this thesis examines abnormal trading activities with repurchase announcement date and then investigates the relationships between cumulative abnormal returns and option to stock volume ratio around share repurchase day. The results correspond to informed option trading hypothesis. In addition, we also investigate whether pre-event returns and option trading cost affect the informed option trading activities or not. This thesis goes further to examine the relationship between the cumulative abnormal return and the interaction of options to stock volume ratio and pre-announcement cumulative abnormal return as well as the relationship between the cumulative abnormal return and interaction of option to stock volume ratio and average option bid-ask spread. The results show that both pre-event returns and option trading cost affect predictability of option trading measure. A test comparing the option trading activity on the announcement date to the regular day is also conducted. The final results show that the option trading measure apparently has a stronger predictability comparing to the regular days.

關鍵字(中)

★ 股票回購宣告日
★ 選擇權交易量與現貨交易量之比值
★ 私有資訊洩漏假說

關鍵字(英)

★ share repurchase announcement
★ option to stock volume ratio
★ information leakage hypothesis

論文目次

1 Introduction .. .1
2 Literature Review and Main Hypotheses 5
2.1 Informed trading in option markets -----------------------------------------------5
2.2 Option to stock volume ratio -------------------------------------------------------6
2.3 Information leakage -----------------------------------------------------------------7
2.4 Hypotheses ----------------------------------------------------------------------------8
3 Sample Selection and Variable Construction . 10
3.1 Sample selection --------------------------------------------------------------------10
3.2 Variable construction --------------------------------------------------------------.12
4 Results . . 13
4.1 Abnormal activity around share repurchase announcement day--------------13
4.2 Event panel regression -------------------------------------------------------------15
4.3 Cross-sectional regression ---------------------------------------------------------16
4.4 The impact of pre-announcement returns and of liquidity---------------------19
4.5 Comparing announcement day and non-event day -----------------------------21
5 Conclusion .22

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指導教授

張傳章(Chuang-Chang Chang)

審核日期

2017-7-11

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