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    题名: 是否個股選擇權隱含波動率包含公司財務與違約風險的資訊內涵？
    作者: 劉靜芬
    Liou, Jing Fen
    贡献者: 杜化宇
    劉靜芬
    Liou, Jing Fen
    关键词: 隱含波動率
    財務風險
    違約風險
    Implied volatility
    Financial risk
    Default risk
    日期: 2007
    上传时间: 2009-09-14 09:02:34 (UTC+8)
    摘要: 本文主要探討股票選擇權的隱含波動率是否能夠有效反應公司的財務風險與違約風險，並使用Merton (1974)與Black and Scholes (1973)的選擇權評價模型推導出每日的負債權益比率，作為公司財務風險的代理變數；違約風險的代理變數則是使用Bandyopadhyay (2007)的風險中立違約機率與真實世界違約機率。首先，本文觀察到隱含波動率和股票報酬率之間的確存在負向關係，除此之外，也發現非系統隱含波動率與股票報酬率之間也有負向關係。進一步研究非系統隱含波動率是否能夠反應公司風險，結果顯示當公司的財務風險與違約風險增加時，非系統隱含波動率會上升。最後，本文比較非系統隱含波動率與GARCH模型的波動率對公司財務風險與違約風險的資訊內涵，並執行包圍檢定、工具變數兩階段迴歸分析與非包覆模型的檢定，發現非系統隱含波動率的資訊內涵無法包圍GARCH模型的波動率，但兩者的資訊內涵互相交集。
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    描述: 碩士
    國立政治大學
    財務管理研究所
    95357009
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095357009
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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