The Realtion between Individual Stock Option and Underlying Firm Value

[[abstract]]過去文獻顯示相較其標的個股市場，個股選擇權市場包含較多訊息，而這樣 的訊息效率性也會直接反應在個股的公司評價上。Roll, Schwartz and Subrahmanyam(2009)等學者就指出個股選擇權的總交易量與公司價值存在一正 向關係。然而由過去的研究得知，買權與賣權二者所傳遞的市場訊息是不同的， 這意謂著分別去探討個股選擇權市場中的買權與賣權交易行為與標的公司價值 之間的關係顯然較以買權加上賣權的總交易量來探討公司價值能獲取更多的資 訊內涵，故本研究的第一目的即在區分個股選擇權的買權與賣權下嘗試找到更多 個股選擇權與公司價值的關係。而除了買賣權交易行為外，由選擇權價格所得到 的隱函波動率則是另一個可以用來探討個股選擇權與公司價值關係的因子。這主 要是因為當買權的隱函波動率出現波動叢聚現象時，這代表大幅度的波動伴隨大 幅度的波動。當買權發生大幅度波動叢聚現象發生時，再配合選擇權訂價理論可 以推論此時有較多的投資人對買權持續偏好，而若選擇權市場有較佳的訊息傳遞 功能，則投資人持續性的買權偏好應可視為預期公司價值將上揚的一個訊息。 為了得到一完整的比較分析，本研究預計採用多種的隱函波動率計算方式。 此外亦將考慮規模效果、產業效果等以進一步釐清個股選擇權與公司價值之間的 關聯。[[abstract]]Literature have shown that stock options contain more information than their underlying stocks. This information efficiency may reflect on firm value. For example, Roll, Schwartz and Subrahmanyam (2009) argued that there is a positive relation between option trading activities and firm value. However, since from past studies we know that call and put options should convey different market information, so one of our purposes is to test whether trading activities of call options and put options present different implications to firm value. In addition, implied volatilities obtained from option prices are also used to figure out the connection between option markets and firm values. For robustness, several methods will be used. For the implied volatilities issue, three volatility measures include model-free implied volatility, the Black-Scholes implied volatility and the historical volatility will be calculated for discussion. In addition, some factors that might affect information efficiency will also used. For example, firm size and industrial factors. By doing so, we want to have a more completed examination of the relationship between option markets and firm value.[[note]]NSC101-2410-H327-02