臺灣博碩士論文加值系統

在本篇文章中，我們研究股票的違約風險與是否有發行選擇權以及流動性的相關性，以及股票報酬是否出現財務困境風險異常。而我們是利用Bakshi et al. (2003)這篇的方法，算出風險中立機率的偏度。實證結果發現，股票違約風險在沒有選擇權交易的公司樣本下，其報酬並沒有財務困境風險異常現象；而在有選擇權交易的公司樣本下，出現了低風險高報酬的異常現象。在考量流動性因子下，實證結果顯示在沒有選擇權交易的公司樣本股票，其報酬在流動性低的時候並沒有財務困境風險異常出現而有選擇權交易的公司股票在流動性高時候，出現顯著的財務困境風險異常現象。

This study examines the relationship between risk neutral skewness, default risk, and liquidity, employing the method of Bakshi et al. (2003) to calculate the risk neutral skewness. We find that there is no low risk anomaly when we use all samples during our sample period. In contrast, firms with option trading exhibit the well-known distress anomaly. When considering stock liquidity, there is no distress anomaly for the sample firms without option trading, while significant low risk anomaly exists for the sample firms with option trading, especially when stock liquidity is high. Our empirical results show that the distress anomaly is stronger among stocks with high liquidity.

1. Introduction ............................... 1
2. Literature Review .......................... 2
2.1 Distress Puzzle ........................... 2
2.2 Risk Neutral Density Skewness ............. 3
3. Data and Methodology ....................... 4
3.1 Risk Neutral Moments ...................... 4
3.2 Risk Factors .............................. 6
3.3 Data Filters .............................. 6
4. Empirical Result ........................... 8
4.1 Single Portfolio Sorting .................. 8
4.2 Bivariate Independent Portfolio Sorting ... 16
4.3 Fama–MacBeth Regressions .................. 35
5. Robustness Check ........................... 40
6. Conclusion ................................. 58
7. References.................................. 59

Bakshi, G., C. Cao, and Z. Chen. “Empirical Performance of Alternative Option Pricing Models.” Journal of Finance, 52 (1997), 2003–2049.

Bakshi, G.,N. Kapadia, and D. Madan. “Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options.” Review of Financial Studies, 16 (2003), 101–143.

Bakshi, G., and D. Madan. “A Theory of Volatility Spreads.” Management Science, 52 (2006), 1–12.

Bali, T. G., and S. Murray. “Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?” Journal of Financial and Quantitative Analysis, forthcoming (2013).

Chiras, D. P., & Manaster, S. (1978). “The information content of option prices and a test of market efficiency”. Journal of Financial Economics, 6(2-3), 213-234.

Campbell J. Y., Hilscher J., Szilagyi J. “In Search of Distress Risk”, Journal of Finance, 2008

Canina, L., Figlewski, S. (1992) “The informational content of implied volatilities.” Rev. Finan.Stud. 5, 659–682.

Conrad J, Dittmar RF, Ghysels E (2013) “Ex ante skewness and expected stock returns. “J.Finance 68:85–124.

Hwang C. Y., Long Yi. “Is Market Necessarily More Efficient in Liquid Stocks? Evidence from the Distress Anomaly” (2017)

Da, Z., & Gao, P. (2010). Clientele change, liquidity shock, and the return on financially distressed stocks. Journal of Financial and Quantitative Analysis, 45(1), 27-48.

Dichev, I., 1998, “Is the risk of bankruptcy a systematic risk? ” Journal of Finance 53, 1131–1147.

Dennis, P., and D. Mayhew. “Risk-Neutral Skewness: Evidence from Stock Options.” Journal of Financial and Quantitative Analysis, 37 (2002), 471–492.

Duan, J. C., Sun, J., & Wang, T. (2012). “Multiperiod corporate default prediction—A forward intensity approach.” Journal of Econometrics, 170(1), 191-209.

J.M. Griffin, M. Lemmon. “Does book-to-market equity proxy for distress risk?” Journal of Finance, 57 (2002), pp. 2317-2336.

Haugen, R. A., & Heins, A. J. (1975). Risk and the rate of return on financial assets: Some old wine in new bottles. Journal of Financial and Quantitative Analysis, 10(5), 775-784.

Hansis, A., C. Schlag, and G. Vilkov. “The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options.” Working Paper, Goethe University, Frankfurt am Main (2010).

Harvey, C. R., and R. E. Whaley. “Market Volatility Prediction and the Efficiency of the S&;P 100 Index Option Market.” Journal of Financial Economics, 31 (1992), 43–73.

Jiang, G. J., and Y. S. Tian. “The Model-Free Implied Volatility and Its Information Content.” Review of Financial Studies, 18 (2005), 1305–1342.

Kang, B. J., T. S. Kim, and S.-J. Yoon. “Information Content of Volatility Spreads.” Journal of Futures Markets, 30 (2010), 533–558.

Konstantinidi, E., G. Skiadopoulos, and E. Tzagkaraki. “Can the Evolution of Implied Volatility Be Forecasted? Evidence from European and US Implied Volatility Indices.” Journal of Banking and Finance, 32 (2008), 2401–2411.

Neumann, M., & Skiadopoulos, G. (2013). Predictable dynamics in higher-order risk-neutral moments: Evidence from the S&P 500 options. Journal of Financial and Quantitative Analysis, 48(3), 947-977.

D. Moreno, R. Rodríguez “The value of coskewness in mutual fund performance evaluation” Journal of Banking & Finance, 33 (9) (2009), pp. 1664-1676.

Panigirtzoglou, N., and G. Skiadopoulos. “A New Approach to Modeling the Dynamics of Implied Distributions: Theory and Evidence from the S&;P 500 Options.” Journal of Banking and Finance,28 (2004), 1499–1520.

Stilger, P. S., A. Kostakis, and S.-H. Poon. 2017. “What does risk-neutral skewness tell us about future stock returns?” Management Science 63:1814–1834.

Schneider, P., Wagner, C., & Zechner, J. (2017). “Low risk anomalies?” Working paper.

Taylor, S. J., P. K. Yadav, and Y. Zhang. “Cross-Sectional Analysis of Risk-Neutral skewness.” Journal of Derivatives, 16 (2009), 38–52.

Xing, Y., X. Zhang, and R. Zhao. “What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?” Journal of Financial and Quantitative Analysis, 45 (2010), 641–662.

Zhang, J. E., & Xiang, Y. (2008). The implied volatility smirk. Quantitative Finance, 8(3), 263-284.