The Information Content of Stock Repurchase Announcements: A New Perspective from Warrants Trades

由認購權證交易觀察股票購回之資訊內涵

謝佩芳(Pei-Fang Hsieh) ； 林姵彣(Pei-Wen Lin)

《證券市場發展季刊》 28卷1期 (2016/03) Pp. 103-121

https://doi.org/10.6529/RSFM.2016.28(1).3

摘要

本文檢視權證相對於其標的股票之交易量是否隱含股票購回宣告之資訊。由於股票購回對於公司報酬之影響為正向，有助於觀察資訊交易者是否透過權證交易而獲利。本文採用446個股票購回之宣告事件，結果並未觀察到權證之交易量相對於標的股票之交易量有隱含較多的股票購回正向資訊。然而，我們使用權證的隱含波動率相對於股票報酬率計算而得之已實現波動率指標，卻發現權證之隱含波動率相對於股票價格變動之已實現波動率隱含更多股票購回資訊。

關鍵字

股票購回 ； 認購權證 ； 資訊內涵 ； 交易量 ； 隱含波動率

並列摘要

We investigate the informational efficiency of trading in warranted/optioned stocks in the context of stock repurchase announcements. We choose the stock repurchase announcements that are usually associated with positive abnormal returns. Our event study and cross-sectional analysis result show that there are no significant differences between the abnormal returns from warranted/optioned and non-warranted/optioned stocks for our 446 stock repurchase events. Nevertheless, we introduce a new information variable estimated by warrant implied realized volatility versus stock realized volatility for overall investigation of the relative information between underlying and derivative market. Our study demonstrates the significant predictive power of that information variable.

並列關鍵字

Stock Repurchase ； Warrants ； Information Content ； Trading Volume ； Implied Volatility

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