臺灣博碩士論文加值系統

Bali, Cakici, and Chabi-Yo(2011)研究證實：在1996年1月至2008年9月期間，選擇權隱含風險值與未來風險調整溢酬具有顯著負向關係。本文延伸Bali et al.的研究期間，以Fama and MacBeth(1973)的模型探討2008年9月後選擇權隱含風險值是否也能有效預期風險調整溢酬的變化，此外，本研究採取具有投資組合概念的股指作為取樣對象。實證結果顯示股指隱含風險值在2008年9月前對未來調整溢酬有顯著預期力且呈反向變動，然而2008年9月後僅30天到期選擇權隱含風險值能顯著負向預期未來風險調整溢酬；長天期選擇權隱含風險值甚至對未來風險調整溢酬具有正向關係

Bali, Cakici, and Chabi-Yo(2011) introduced the generalized options'' implied measure of riskiness and shew that option implied riskiness successfully predict the risk-adjusted returns of individual stocks return distribution. This paper extends their empirical results to U.S. stock indexes and also investigates whether the relationship holds during the financial crisis of 2007-08. The empirical results of this study show that a significant negative relationship holds between the option implied riskiness and future risk-adjusted returns of stock indexes before September 2008. But the results exist no more during the financial crisis of 2007-08, indicating strong structural changes occurred.

口試委員審定書 i
誌謝 ii
摘要 iii
Abstract iv
目錄 v
圖表目錄 vi
第一章、概述 1
第二章、研究假說 4
第三章、研究樣本與研究方法 6
3.1資料來源與篩選 6
3.1.1解釋變數 7
3.1.2被解釋變數 8
3.2敘述統計 9
3.3研究方法 11
第四章、研究結果 13
第五章、結果分析與解釋 15
第六章、結論 17
參考文獻 18

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