Volatility Spreads and Patent Announcement Returns

波動度差與公司專利宣告報酬

林姿瑩(Zih-Ying Lin) ； 黃冠瑛(Guan-Ying Huang) ； 謝佩芳(Pei-Fang Hsieh)

《財務金融學刊》 26卷3期 (2018/09) Pp. 1-25

https://doi.org/10.6545/JFS.201809_26(3).0001

摘要

Prior studies investigating the stock market have documented that the day when a firm is granted a patent contains information that affects the market. This study examines the roles of informed traders who reveal information in the options market by examining the informational content of options trading on patent announcement returns. The empirical results show that call-put implied volatility spreads contain information about a firm being granted a patent and positively significantly predict two-day patent announcement returns. The degree of announcement return predictability is also stronger when the volatility spread is measured under high option liquidity.

關鍵字

Call-put implied volatility spread ； stock returns ； patent announcement

並列摘要

文獻發現，公司專利權宣告日隱含影響股票市場之資訊。本文探討個股選擇權市場交易隱含有專利宣告後報酬之資訊。實證分析發現，買賣權隱含波動度差可預測公司取得專利宣告後兩天之報酬，而且當選擇權流動性越高時，波動度差對於公司宣告後報酬預測越準確。

並列關鍵字

買賣權隱含波動度差 ； 股票報酬 ； 專利宣告

參考文獻

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