選擇權價格及交易資訊內涵與標的資產未來報酬率

A Comparison on the Information Content of Option Prices and Trading Activity for Future Returns of the Underlying Asset

翁尚伯(Shang-Bo Wong)

指導教授 ： 王耀輝

國立臺灣大學/管理學院/財務金融學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.00095

摘要

選擇權市場中的偏離交易資訊具有顯著預測標的資產報酬率的能力，而選擇權交易資訊偏離程度越高的個股，其未來的表現則將越差，而這項預測能力至少可以維持 6 個月，並在具有執行權力的 2 至 8 週具有最強的預測能力，此結果也與擁有私有資訊的投資人，會傾向使用價外賣權交易以反映負面資訊的想法一致。

關鍵字

偏離交易資訊 ； 個股報酬率預測能力 ； 選擇權交易資訊 ； 跨市場資產定價 ； 交易資訊內涵

並列摘要

The trading activity skew in option market has significant cross-sectional negative predictive power for future equity returns. This predictability persists for at least six months, and correlated with whether stock options could be exercised. The results are also consistent with the notion that informed traders with negative news prefer to trade out-of-the-money put options to benefit from their information.

並列關鍵字

skew ； stock return predictability ； option trading activity ； cross-sectional asset pricing ； informational content

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