臺灣博碩士論文加值系統

本文主要以台灣集中市場商品中的單一型認購權證來實證二項式模式；並因考慮到除了標的物本身信用風險外，存在發行者本身之信用風險，由於標的物財務風險價值不容易被交易與觀察，而發行者之風險評估是否存在，顯然其已隱含在權証價格中；尤其在面臨衰退的金融環境時，應審慎考慮發行者券商之信用風險，並衡量與探討發行權証之券商其信用風險價格的變化與合理區間，期望能得到實際的隱含風險值權證之計價模型。

研究資料以證券暨期貨管理委員會所公布由第三者發行（券商或銀行），以單一股票為標的物之單一型認購權證作為研究對象（包含期限一年之已屆期或未到期之權證）。本研究所選取樣本包括 大華、中信、元大、元富、日盛、京華、金鼎、建弘、國際、統一、富邦、群益及寶來等13家發行機構所發行之權證共76支，研究資料期間涵蓋1999年4月至2001年9月，資料數據來源取自教育部WAREMOS資料庫、台灣經濟新報資料庫及證期會網站。本研究範圍僅限於利用估計買權選擇權模式（考慮信用風險之計價），以實證應用二項式模式對台灣認購權證價格之解釋與推論能力。

本文主要由風險管理觀點切入，因為權證除了股價波動率、距到期時間長短及利率風險外，仍有到期無法履約的風險，即發行者券商倒帳的風險；雖然發行人申請發行認購權證相關法規規定，發行人申請核准時應取得證期會核准之信用評等一定評級之信用評等，及於認購權證公開說明書應記載保證人保證契約或擔保物之詳細資料；但是發行人仍存在某程度的信用風險及作業風險，而權證市場存在市場風險及流動性風險。本研究發現價內程度與倒帳率成正比，但市價高估比率則與價內程度成反比；表示權證在價內時才有無法履約的風險，故價內程度愈高倒帳率愈高；但因價內程度愈高其隱含股價波動率已高故反而價差較小，表示權證風險愈高價差愈小。另外本研究發現券商的信用風險經調整後，仍可從券商發行權證的市佔率或發行值佔其資本額高低來判斷解釋價差；發行人發行權證市佔率高者或發行值佔其資本額高表示發行人承擔較高的或有負債風險，實證上價差較小。

This paper value the Taiwan Covered Warrants using the Binominal European options pricing model. There are two kinds of credit risk, one is the underlying stock risk, the other is the default risk of issuing financial instruments. We always ignore the last, especially in the downturn financial markets. So, it's very important to measure the credit spread in the warrants market.

We investigate the close market covered warrants price from Apr. 1999 to Sep. 2001, include 13 issuing financial instruments, 76 simple covered warrants and 20255 transactions data. We estimate the stock return volatility and simulate the credit risk from 5% to 20% depends on the issuers attributes that separate 3 levels in capital ratio or market share. We finds the credit risk is negative, and the over price difference is about 4%. Meanwhile, higher in the money, higher the default risk. And the maket share and capital ratio are the explanation factors to evaluate the price difference. That is to say, high capital ratio or high market share issuers always are the low price difference, and then their pricing model is near the thesis.

第壹章、緒論................................................... 1
第一節、研究動機 ........................................... 1
第二節、研究目的　........................................... 2
第三節、研究範圍與限制 ...................................... 3
第四節、研究流程及架構 ...................................... 4

第貳章、文獻探討............................................... 7
第一節、認購權證及選擇權之定價模式與實證文獻 ................ 7
第二節、二項式模式之文獻..................................... 8
第三節、選擇權信用風險或倒帳風險評價之文獻 .................. 9

第參章、研究方法............................................... 12
第一節、日報酬率之計算與除權除息調整 ........................ 12
第二節、股價波動性之估計 .................................... 13
第三節、Cox-Rox-Rubinstein 二項式模式 ....................... 14
第四節、信用風險選擇 權評價模式 ............................. 16
第五節、影響選擇權價格的敏感因子 ............................ 18

第肆章、實證研究 .............................................. 21
第一節、市價高估（價差比例）分析 ............................ 21
第二節、歷史波動率與隱含波動率 .............................. 22
第三節、分類比較 ............................................ 23
第四節、模擬分析............................................. 24
第五節、迴歸分析............................................. 25

第伍章、結論與建議 ............................................ 28
第一節、結論 ................................................ 28
第二節、研究限制與建議　..................................... 29

附表 ......................................................... 31
表1-1、 發行單一型權證券商基本資料 .......................... 31
表1-2、 權證基本資料彙整(單一型權證) ....................... 32
表4-1-1 發行者券商倒帳率分析（價格面與時間面）............... 34
表4-1-2 權證市價高估比例分析（價格面與時間面）............... 34
表4-2、 歷史波動率與隱含波動率比較表 ........................ 35
表4-3、 發行者券商倒帳率分類統計資料 ........................ 36
表4-3-1 權證市價高估比例分類統計資料 ........................ 37
表4-3-2 權證市價高估比例分類統計資料（隱含值大於零）......... 38
表4-3-3 權證市價高估比例分類統計資料（隱含值小於零）......... 39
表4-4、 模擬券商信用風險後價差比例分析 ...................... 40
表4-5-1 單元迴歸模型彙整表 .................................. 41
表4-5-2 單元迴歸模型彙整表(續1) ............................. 42
表4-5-3 單元迴歸模型彙整表(續2) ............................. 43
表4-5-4 多元迴歸模型彙整表 .................................. 44

圖次
圖1-1 論文架構 .............................................. 6

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