認購權證市場之過度反應現象探討

Overreactions in the Warrants Market

郭文忠(Wen-Chung Guo) ； 許雅恩(Ya-En Sheu)

《風險管理學報》 5卷1期 (2003/03) Pp. 91-108

https://doi.org/10.30003/JRM.200303.0004

摘要

本文旨在檢視我國認購權證市場是否存在價格反轉之過度反應現象。為了區隔標的證券之過度反應效果，吾等藉由避險投資組合去除權證標的證券價格變動之影響，再分別採用贏家－輸家投資策略和變異數比例法檢定認購權證過度反應現象。實證結果均顯示我國之認購權證市場不具過度反應現象，且此結論權證性質及期間等屬性下仍具完整性，當考慮權證標的證券之產業別、風險屬性、權證價內外程度以及是否於金融風暴期間等情況下，均支持同樣結果，顯示投資人無法由標的證券變動外之權證價格波動獲得超額報酬。

關鍵字

過度反應 ； 贏家－輸家 ； 變異數比例檢定 ； 認購權證

並列摘要

This paper attempts to analyze overreactions with price revearsal in the Taiwan warrants market. To separate the effects of the underlyings, we develop excess returns of warrants by simple hedged portfolios. Then winner-loser hypothesis and variance ratio test are used to analyze overreactions. Our empirical results suggest that there does not exist overreaction in the warrant market. We also study the robustness of the result by considering different characteristics of warrants, including the industries and riskiness of the underlyings, the extent of in-the-moneyness, and whether or not warrrants are issued during the financial crises. Our results suggest that investors could not make any profit form excess changes of warrant prices related to the underlying asset prices.

並列關鍵字

Overreaction ； Winner-Loser ； Variance Ratio Test ； Warrants

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