認購權證於標的股票除權息前後之價格行為

每年的7月到9月為台股除權息的旺季，一般來說投資人會預期股票有填權填息的現象，所以常於除權息前買進認購權證參與除權息，故本研究探討認購權證於除權息日之收盤價是否有反應出投資人對其標的股票於未來填權填息之預期，透過t檢定的實證結果顯示，除權息日之認購權證收盤價確實能反應該預期，即持有認購權證之投資人可於除權息日獲得超額報酬，並且該超額報酬與標的股票之殖利率高低並無顯著的相關性，而是和除權息前一日股價與除權息參考價之差，即股價降幅，呈現顯著正相關，這可能與投資人撿便宜的心態有關，股價降幅越大的股票對投資人的吸引力也越大，使股票更有可能出現填權填息的現象。本研究並透過複迴歸分析發現在加入其他相關因子的影響後，該超額報酬仍與股價降幅呈現正相關、與殖利率無顯著相關，並且認購權證之隱含波動度越大其超額報酬越小，可能因為高隱含波動度之認購權證其於除權息前一日之價格常被高估，進而降低其超額報酬，而交易量越小其超額報酬越大，因投資人要求的流動性貼水(liquidity premium)越大。

關鍵字

認購權證；除權息；填權填息；股票降幅；超額報酬

並列摘要

The third quarter is the peak season for Taiwanese stocks going ex-dividend every year. Generally, investors usually expect the stock will exhibit price recovery pattern, encouraging them to buy call warrants before the underlying stock goes ex-dividend. Therefore, this study aims to investigate whether the closing price of call warrant on ex-dividend date is able to reflect the investor’s expectation towards the price recovery pattern of the underlying stock. By implementing t-test, the empirical result shows that the price of call warrant on ex-date does reflect the expectation, in other words, call warrant holders can get abnormal return on the ex-date. Moreover, the abnormal return is found to be uncorrelated with dividend yield and is positive correlated with “the difference between the price of underlying stock prior to ex-date and the ex-dividend price quote,” which may be induced by the bargain hunting, where investors favor stocks whose price drops more so that the stock has higher chance to show price recovery pattern. This study also conducts multiple regression analysis by adding in some other relevant factors. The result shows that the abnormal return is still positive correlated to price drop and is uncorrelated to dividend yield. Also, the higher the implied volatility of call warrant is, the lower the abnormal return is and the lower the trading volume of call warrant is the higher the abnormal return is. The possible explanation for the former result is that the price of call warrant with higher implied volatility is often overpriced before the ex-date which leads to lower abnormal return. On the other hand, in theory, investors are supposed to ask liquidity premium when the underlying asset is lack of liquidity which leads to higher abnormal return when the trading volume gets lower.