隨著台灣權證市場逐漸擴大，1999年640億台幣的交易規模，至今6400億台幣的交易規模，不管對券商還是投資人，權證評價已成為重要的課題。本研究採用2001年1月至2016年1月上市的認購(售)權證為研究對象，使用Fama and French(1993)的三因子模型，擴增成五因子模型，以外資買賣強度、高低波動度和五日乖離率分成27個投資組合，進行評價。實證結果發現，外資買賣強度與認購權證為負向不顯著，與認售權證為顯著正向。高低波動度與認購售權證皆為顯著正向。五日乖離率與認購售權證皆為負向而不顯著。
當控制高低波動度和五日乖離率時，外資買賣強度與標的股票、認購權證的異常報酬為同向變動關係，與認售權證為反向變動關係。當控制外資買賣強度和五日乖離率時，標的股票的異常報酬與高低波動度部分正向變動、部分反向變動、部分V型變動關係，而與認購售權證為同向變動關係。當控制外資買賣強度和高低波動度時，五日乖離率與標的股票、認購權證的異常報酬為同向變動關係，與認售權證為反向變動關係。另外，低外資買賣強度、低高低波動度、低乖離率，認售權證的報酬為顯著正向，而高外資買賣強度、高高低波動度、高乖離率，認購權證的報酬為顯著正向。

As there was 640 billion TWD in 2016 from 64 billion TWD in 1990 in the trading size in the Taiwan warrant market, warrant valuation is an important issue for investment bank and investors. This paper employs five-factor model extended from Fama and French three-factor model to discuss performance of call and put warrants during January 1, 2001 to January 1, 2016. Additionally, we divide warrants and underlying stocks into 27 groups according to ranking net buying-selling imbalance flows for foreign institutional trading (FT), high-low range (HLV), and bias ratio during five days (BIAS), respectively. Our findings show foreign institutional net buying/selling with call warrants is non-significant negative with put warrants is significant positive. High/Low range with call warrants is significant positive. Bias ratio during five days with put warrants is significant negative.
When we control high-low range and bias ratio during five days, abnormal returns for both the underlying stock and call warrants are positive related with foreign institutional net buying/selling, but negative related with put warrants. When controlling foreign institutional net buying/selling and bias ratio during five days, V-shaped relationships are shown between high-low range and the underlying stock abnormal returns, but on a reverse relation between high-low range and put warrants abnormal returns. Additionally, the underlying stock and call warrants abnormal returns increase with bias ratio, but bias ratio decrease with put warrants. Finally, when comparing Jensen alpha of in extreme cases, we find that in the case of low high-low range and low BIAS, put warrant return regressing on Fama and French 3-factor is significant and positive Jensen alpha. Similar results for call warrant in the case of high high-low range and high BIAS are found.

目錄
摘要 I
Abstract II
誌謝 IV
目錄 V
表目錄 VI
圖目錄 VI
第一章、緒論 1
第一節、研究動機與背景……………….…...………..…………..…….1
第二節、研究目的…………………………..………………..………….3
第二章、文獻回顧 5
第一節、外資買賣強度相關文獻…………………………………..……5
第二節、高低波動度相關文獻…………………………………………..6
第三節、技術分析五日乖離率相關文獻……………………………..…7
第三章、研究方法 8
第一節、資料來源與樣本選取……………………………….….………8
第二節、資料定義…………………………………………………..……8
第三節、權證評價……………………………………………………..…9
第四章、實證結果 12
第一節、敘述性統計………………………………....…….……......…12
第二節、權證評價…………………………………..…….……………18
第五章、結論 30
參考文獻 32

表目錄
表3-1對價性分類表……………………….…………………….....…..10
表4-1價值加權與均等加權之市場特性及相關係數………...……….13
表4-2認購(售)權證之特性敘述統計及相關係數…………....……….15
表4-3五因子模型的27個投資組合迴歸之α值……………………….22
表4-4認購(售)權證解釋因子迴歸……………………….……………27
表4-5認購(售)權證解釋因子在多空市場下迴歸結果…………….....29

圖目錄
圖1-1 研究流程圖………………………………………………………4

一、中文文獻
1.朱佳茹(2004)，「台股認購權證交易次數對標的股價波動度影響之探討」，國立政治大學財務管理研究所碩士論文。
2.李玉女(2008)，「認購權證及標的股票股價之關聯性研究－以外資買賣超為例」，南華大學財務管理研究所碩士論文。
3.劉邦杰(2003)，「台灣上市公司股票交易筆數與平均每筆交易量對股」，國立高雄第一科技大學金融營運系碩士論文。
4.劉文屏(2004) ，「以乖離率（Bias）檢測台灣指數選擇權市場投資策略之績效」，逢甲大學經營管理碩士在職專班碩士論文。
5.韓宏騰(2010) ，「技術分析於台指期貨操作績效之研究-移動平均線、收斂發散移動平均線及3-6乖離率指標」，義守大學管理學院碩士班碩士論文。
二、英文文獻
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