以高低價、乖離率和外資交易強度標的權證報酬績效

The effects of high-low ranges, bias, and foreign institutional trading on warrants returns performance

林典蔚(Dian-Wei Lin)

指導教授 ： 李瑞琳 ； 張阜民

朝陽科技大學/管理學院/財務金融系/碩士(2016年)

摘要

隨著台灣權證市場逐漸擴大，1999年640億台幣的交易規模，至今6400億台幣的交易規模，不管對券商還是投資人，權證評價已成為重要的課題。本研究採用2001年1月至2016年1月上市的認購(售)權證為研究對象，使用Fama and French(1993)的三因子模型，擴增成五因子模型，以外資買賣強度、高低波動度和五日乖離率分成27個投資組合，進行評價。實證結果發現，外資買賣強度與認購權證為負向不顯著，與認售權證為顯著正向。高低波動度與認購售權證皆為顯著正向。五日乖離率與認購售權證皆為負向而不顯著。
當控制高低波動度和五日乖離率時，外資買賣強度與標的股票、認購權證的異常報酬為同向變動關係，與認售權證為反向變動關係。當控制外資買賣強度和五日乖離率時，標的股票的異常報酬與高低波動度部分正向變動、部分反向變動、部分V型變動關係，而與認購售權證為同向變動關係。當控制外資買賣強度和高低波動度時，五日乖離率與標的股票、認購權證的異常報酬為同向變動關係，與認售權證為反向變動關係。另外，低外資買賣強度、低高低波動度、低乖離率，認售權證的報酬為顯著正向，而高外資買賣強度、高高低波動度、高乖離率，認購權證的報酬為顯著正向。

關鍵字

外資買賣超 ； 高低波動度 ； 乖離率 ； 認購(售)權證

並列摘要

As there was 640 billion TWD in 2016 from 64 billion TWD in 1990 in the trading size in the Taiwan warrant market, warrant valuation is an important issue for investment bank and investors. This paper employs five-factor model extended from Fama and French three-factor model to discuss performance of call and put warrants during January 1, 2001 to January 1, 2016. Additionally, we divide warrants and underlying stocks into 27 groups according to ranking net buying-selling imbalance flows for foreign institutional trading (FT), high-low range (HLV), and bias ratio during five days (BIAS), respectively. Our findings show foreign institutional net buying/selling with call warrants is non-significant negative with put warrants is significant positive. High/Low range with call warrants is significant positive. Bias ratio during five days with put warrants is significant negative.
When we control high-low range and bias ratio during five days, abnormal returns for both the underlying stock and call warrants are positive related with foreign institutional net buying/selling, but negative related with put warrants. When controlling foreign institutional net buying/selling and bias ratio during five days, V-shaped relationships are shown between high-low range and the underlying stock abnormal returns, but on a reverse relation between high-low range and put warrants abnormal returns. Additionally, the underlying stock and call warrants abnormal returns increase with bias ratio, but bias ratio decrease with put warrants. Finally, when comparing Jensen alpha of in extreme cases, we find that in the case of low high-low range and low BIAS, put warrant return regressing on Fama and French 3-factor is significant and positive Jensen alpha. Similar results for call warrant in the case of high high-low range and high BIAS are found.

並列關鍵字

Institutional Investor ； High/Low range ； BIAS ； Call/Put warrants

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