投資者情緒與選擇權報酬

Abstract

本研究檢驗是否投資者的情緒會去影響選擇權的報酬，並且在觀察所有選擇權之外，將選擇權分為買權與賣權以及分類為價外，價平和價內三群做分析。實證結果發現當投資者情緒低時，高設備費用和財務困難的公司，其下期選擇權報酬會比較高。我們亦發現當選擇權為價內和價平時，其結果與Baker and Wurgler (2006)觀察之股票報酬相反。然而，價外選擇權之結果與股票報酬相似。

This study examines if and how investor sentiment affects the option returns. We further investigate the effect according to option types and moneyness study. Our empirical results show that when sentiment is low, high PPE/A and distress firms have higher subsequent returns. We find the results of in-the-money and near-the-money option returns are different those of stock returns of Baker and Wurgler (2006). However, the results of out-the-money option returns are similar to Baker and Wurgler (2006).