金融商品替代性與美式認售權證錯價之關係

Financial Substitutes and Mispricing of American Put Warrants

陳嫈惠(Ying-Huei Chen)

指導教授 ： 郭文忠

國立臺北大學/社會科學學院/經濟學系/碩士(2010年)

摘要

本文研究目的為想要探討認售權證市場價格與理論定價模型間之價格差異，評估各個理論模型對我國認售權證之預測能力，本文用了Black-Scholes (B-S)模型、Square-Root Constant Elasticity Volatility (SRCEV) 模型、Barone-Adesi and Whaley 模型(BAW)，以及二元樹美式、歐式模型這五個模型，針對民國92年7月9日至民國98年10月13日止，在台灣發行之已到期認售權證來進行研究，且將分成全體樣本、依價內程度分組及權證類型分別做討論。
本文發現B-S及二元樹模型有低估之現象，而SRCEV與BAW模型則有高估的情況產生，整體而言BAW模型的預測值相對其他模型而言較不準確。對於B-S模型、SRCEV模型以及BAW模型而言，在價內時的預測能力較佳，而二元樹模型，則是在價外組的預測能力較佳。SRCEV模型以及BAW模型對於美式認售權證有較佳的預測能力，B-S模型、二元樹模型則對於歐式權證有較佳之預測能力。二元樹模型的理論價格在美式或歐式權證下差異並不大，本文推論可能是因為資料大部分處於價外之原因所造成。
接著本文還探討了價格偏差受到哪些因素之影響，除了幾個較常在文獻中被討論的影響因素外，本文還探討了投資人購買認售權證是否與其標的證券之投資報酬率有關，以及商品間彼是否存在替代性。
就全體樣本而言，歷史波動與價格差異呈負向關係，波動愈大，價格差異就愈小。價內程度在B-S與二元樹模型為正向關係，在SRCEV與BAW模型下則為負向關係。剩餘期間除了SRCEV模型為負向關係外，均與價格差異呈現正向關係，剩餘期間愈長，價格差異愈大。標的證券投資報酬率在各模型中呈顯著的正向關係，表示投資人偏好標的投資報酬率高之權證。週轉率與價格差異呈顯著的正向關係。替代性方面，本文發現權證間具有替代性，有助於減少理論價格與市場價格間之差異。至於價內外分組與美、歐式分組結果則視狀況而定。

關鍵字

錯價 ； 美式認售權證 ； 金融商品替代性 ； 價內程度

並列摘要

The purpose of this study is to explore mispricing of American put warrants in Taiwan. In this thesis I use several theoretical pricing models including the Black-Scholes (B-S) model, square-root constant elasticity volatility (SRCEV) model, Barone-Adesi and Whaley model (BAW), and both American and European binomial tree models. The sample covers expired covered put warrants from July 9th, 2003 to October 13, 2009 issued in Taiwan.
Our main finds are follows. First, I find that the B-S model and binomial tree model are underestimated. Relatively, the SRCEV and BAW model values are overestimated. Overall, the BAW model predictions are less accurate than other models. In the in-the-moneyness subsample, the B-S model, SRCEV model and BAW model have better predictive ability than other models, while the binomial tree model in the out-of-the-money subsample has better predictive ability. The SRCEV model and BAW model for American put warrants have better predictive power, and the B-S model and binomial tree model for European put warrants has better predictive ability. In our sample the theoretical price of the binomial tree model under American put warrants is not significantly different from the European put warrant, because most sample are out-of-the-money.
Second, this thesis explores the determinants of mispricing of put warrants. In addition to several factors discussed in the literature, the influences of the returns of underlying securities and substitute for financial goods are presented. In the total sample, a negative relationship between historical volatility and mispricing is observed. Moneyness is positively associated with mispricing for the B-S model and the binomial tree model, but is negatively associated with mispricing for the SRCEV model and the BAW model. The relationship between time to expiration and mispricing is positive except the SRCEV model. The returns of underlying securities is found to be positively associated with mispricing for all models which suggests that investors prefer warrants with underlying securities of higher returns. The relationship between turnover rate and mispricing is significantly positive, which reflects that investors prefer warrants of active trading securities. Furthermore, this thesis finds a negative relationship between the numbers of the financial substitutes and mispricing, consistent with the hypothesis of financial substitutes.

並列關鍵字

Mispricing ； American put warrants ； financial substitutes ； moneyness

參考文獻

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