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標題: 連結選擇權資訊與總體經濟政策與公司事件之股市波動反應
How to Trade on Market Movements and Economic or Firm Events Using Options
作者: 林月能
關鍵字: 經濟衍生性金融商品;經濟學;波動度指數;波動度指數衍生性金融商品;債券評等;高階管理者股票選擇權;隱含波動度;應用研究
本計劃旨在建立一個法則來連結宏觀經濟政策或公司事件對財務金融市場價格不確定性的影響,其中所使用之連結工具即為選擇權或隱含波動度。第一年子計畫運用經濟衍生性金融商品的價格或二元選擇權的價格來計算當總體經濟政策消息釋放時,該衍生性商品之隱含波動度對財務金融市場波動度指數選擇權的隱含波動度之影響程度。第二年子計畫計算當債券評等的消息釋放時,由個股選擇權價格計算的波動度指數作為預期現金流量不確定性的代理變數,是否能反應出債券降評反應在股市的現象:財務狀況惡化或預期現金流量不確定性增加。這個子計畫係用來檢測Merton(1973)和Galai與Masuli (1976)的公司股東權益視為買權之理論:當債券被降低評等的原因為未來預期現金流量不確定性增加時,預期財富會從債權人轉到股東,所以該評等調降有利於股東。第三年子計畫涉及高階管理者股票選擇權因有不對等報酬特性,故管理者可能會進行高風險的公司投資方案。因此該子計畫驗證當高階管理者股票選擇權被授與股票選擇權時,該股票隱含波動度與股票報酬是否同時異常地增加。此計畫並同時調查高階管理者股票選擇權發放事件對股票市場與債券市場的影響,該結果可獲悉階發放管理者股票選擇權是否能導致財富從債權人轉到股東。

This project establishes an empirical link between the ex-ante uncertainty about either macroeconomic fundamentals or firm events and the ex-post resolution of this uncertainty in financial markets. The first subproject measures the macroeconomic uncertainty using either the prices of economic derivatives or the prices of binary options and relates this measure to changes in implied volatilities of VIX options when the economic data is released. The second subproject measures the uncertainty of future cash flows using VIX calculated from individual equity options and relate this measure to responses in the stock market when the bond rating news is released. This subproject tests the theory of Merton (1973) and Galai and Masuli (1976) for share value when downgrades is due to an anticipated move to transfer wealth from bondholders to stockholders, downgrades should be good news for stockholders. Finally, as evinced by the idea of executive stock option plans having asymmetric payoffs that could induce managers to take on ore risk, the third subproject examines whether implied volatility and stock return variance increase after the approval of an executive stock option plan. This project also tries to investigate whether the event is accompanied by a significant positive stock and a negative bond market reaction. This evidence is consistent with the notion that executive stock options may induce a wealth transfer from bondholders to stockholders.
其他識別: NSC96-2416-H005-012-MY2
Appears in Collections:財務金融學系所

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