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研究生:李秀巖
研究生(外文):Xiu-Yan-Li
論文名稱:選擇權基礎下的夏普比率
論文名稱(外文):Option-Based Sharpe ratio
指導教授:呂進瑞呂進瑞引用關係
指導教授(外文):Jin-Rui Lu
口試委員:蕭義龍吳韻玲
口試委員(外文):Yi-Long XiaoYun-Ling Wu
口試日期:2020-06-14
學位類別:碩士
校院名稱:國立東華大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:44
中文關鍵詞:廠商價值模型夏普比率公司財務決策
外文關鍵詞:firm value modelSharpe ratiocorporate financial policy
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本文解出選擇權基礎下的夏普比率封閉解,以及探討夏普比率與公司財務決策之間的關係。在選擇權評價的基礎上,我們發現夏普比率的決定因子可為公司資產價值、公司成長率、公司波動率、無風險利率、負債期間、和負債面值。若公司投資於高成長資產投資計劃,公司股票的投資績效,即夏普比率較佳;但擴張資產規模及高波動性的投資計劃,則造成較低的夏普比率。在公司融資政策方面,大量舉債的公司能在夏普比率上有突出的表現。另外,高股東權益價值的股票,其績效評估結果是較差的。
This study gives closed form solution of the option-based Sharpe ratio and explores how the Sharpe ratio varies with company’s financial decisions. Framing in the valuations of options, the fair value of the Sharpe ratio is determined by the firm value of assets, growth rate, return volatility, risk-free rate, maturity, and face value of debt contract. Regarding the company's investment policy, we conclude that firm investing in a project with higher growth rate can promote stock’s Sharpe ratios, while companies expanding scale of assets and investing in a project with higher volatility tend to have lower Sharpe ratios. In terms of corporate financing policies, we support that firm is encourage to borrowing more to generate more level in the Sharpe ratio. Specifically, It is not true that a positive relationship between the Sharpe's ratio and shareholders' values of equity.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究貢獻 5
第四節 研究架構 5
第二章 文獻探討 7
第一節 夏普比率 7
第二節 公司財務決策 8
第二節 選擇權評價 9
第三章 選擇權評價基礎的夏普比率 11
第一節 基本假設 11
第二節 夏普比率理論價值 12
第三節 討論的議題 14
第四章 數值範例 17
第一節 夏普比率與公司投資政策 17
第二節 夏普比率與融資政策及資金成本 18
第三節 夏普比率與權益價值 19
第五章 結論 23
參考文獻 24
附錄 33
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Nagy, Balint Z. and Botond Bernedek, (2020), Higher co-moments and adjusted Sharpe ratos for cryptocurrencies, Financial Research Letters, Forthcoming.
Opdyke, D. (2007), Comparing Sharpe ratios: so where are the p-values? Journal of Asset Management 8(5), 308-336.
Ross Maller , Steven Roberts, Rabee Tourky, (2016),“The large-sample distribution of the maximum Sharpe ratio with and without short sales” Journal of Econometrics 194(1), 138-152.
Scholz, Hendrik, (2007), Refinements to the Sharpe ratio: comparing alternatives for bear markets, journal of Asset Management 7, 347-357.
Sharpe W. F. (1964) Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19(3), 425-442.
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Sharpe, W. F., (1996), Mutual fund performance. Journal of Business 39(1), 119-138.
Zakamouline, V., and Koekebakker, S., (2009), Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking and Finance 33(7), 1242-1254.
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