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標題: 由投資人情緒、損失趨避、不確定性來探討賣權報酬的迷惑
Why Are Put Options Puzzling? Explanations of Investor Sentiment, Loss Aversion, and Uncertainty
作者: 葉宗穎
關鍵字: Investor sentiment;基礎研究;經濟學;Loss aversion;Investor uncertainty;Put option returns;Pricing kernel;Dynamic factor model;賣權報酬異常;投資人情緒;損失趨避;投資人的不確定性;Empirical Pricing Kernel;動態因子模型
過去文獻指出市場上的賣權多存在錯誤定價的現象。歷史資料顯示,賣權均顯著地有較大的平均報酬、CAPM的alpha值,以及較高的Sharpe ratio。本計畫嘗試研究資料顯示的賣權報酬現象能否由投資人情緒(investor sentiment)、損失趨避(loss aversion)、與投資人的不確定性(investor uncertainty)來解釋。方法上,本文利用長期水準(level)、斜率(slope)、以及曲度變化(curvature)三種動態因子建構Empirical Pricing Kernel模型,其中這三個動態因子是投資人敏感度、損失迴避、與投資人不確定性之代理變數(proxy)的函數。本計畫以S&P 500指數選擇權價格與S&P 500指數作為實證研究之資料,資料期間為1996年1月至2008年12月之月資料。本計畫將檢驗包含此三種行為捷思(heuristics)的Empirical Pricing Kernel模型是否能夠解釋賣權報酬的異常現象。

It has been advocated by the existing literature that put options are mispriced. Put option returns have large and significant average option returns, large CAPM alphas, and high Sharpe ratios. In this project, I investigate whether put option returns can be explained by investor sentiment, loss aversion, and investor uncertainty in beliefs. To this end, I devise an empirical pricing kernel that is driven by three dynamic factors associated with level, slope, and curvature. These factors are assumed to be the function of the proxies for investor sentiment, loss aversion, and investor uncertainty. I estimate the empirical pricing kernel on a monthly basis from January 1996 to December 2008, using the S&P 500 index option prices and the S&P 500 index price data. I am going to examine whether the empirical pricing kernel that incorporating three behavioral heuristics can explain the put option return anomaly.
其他識別: NSC99-2410-H005-065
Appears in Collections:財務金融學系所

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