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政大機構典藏 > 學術期刊 > 會計評論 > 期刊論文 > Item 140.119/114744

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/114744

Title:	反應在摩頓選擇權訂價模式之預期股利宣告效果 Anticipated Dividend Announcements Reflected in Merton`s Option Pricing Model
Authors:	徐守德 Shyu, David So-De
Date:	1994-09
Issue Date:	2017-11-15 14:54:37 (UTC+8)
Abstract:	理論上已證明公司股利宣告會改變公司的風險。本文只在利用隱含在選擇權訂價模式中的標準差，探索公司之風險是否再股利宣告前後發生變化。實證結果發現有利股利宣告群與不利股利宣告群之公司風險，的確在股利宣告前後發生變化。 A theory has proved that a firm`s risk changes around dividend announcement dates. This paper attempts to empirically examine a firm`s risk by looking at the implied standard deviation derived from call option prices on dates surrounding the dividend announcement for a ＂clean＂ sample of dividend announcements. The result shows that a firm`s risk does change for favorable information group and unfavorable information group.
Relation:	會計評論, 28, 187-216
Data Type:	article
DOI 連結:	http://dx.doi.org/10.6552%2fJOAR.1994.28.8
DOI:	10.6552/JOAR.1994.28.8
Appears in Collections:	[會計評論] 期刊論文

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