The Relation between Liquidity of Individual Stock Options and Underlying Assets Returns

[[abstract]]由於流動性風險和特有風險在解釋股票報酬上皆有其重要性，而公司規模也會影響流動性，因此本研究主要探討流動性風險和公司特有風險間的關聯性，並納入公司規模因子；另外，由於選擇權市場較股票市場更有效率，因此本研究根據Roll Schwartz and Subrahmanyam (2009)利用個股選擇權交易量衡量流動性風險，並區分為總交易量、買權交易量及賣權交易量。實證結果發現：1 當流動性風險以總交易量及買權衡量時，則與股票報酬呈正相關，而賣權與股票報酬呈負向關係，此乃由於買權與賣權傳遞不同訊號所致。2 公司特有風險與股票報酬呈正向關聯性，此為高風險具有高報酬特性。3 公司規模與股票報酬呈負相關。[[abstract]]This study investigates whether liquidity and idiosyncratic volatility play an important role in determining stock returns by using Ordinary Least Squares method Several theories show that stock options may contain more information than underlying stocks Therefore this study uses stock options as a liquidity measure and also controls several variables such as idiosyncratic volatility and firm size The idiosyncratic volatility is estimated by the standard deviation of the residuals from the three factor model of Fama and French(1993) At last using monthly data this study shows that high idiosyncratic volatility firms produce higher returns and firm size is negatively correlated with stock returns because of the size effect However call options and put options imply different signals Stock returns are increasing with the level of call options and decreasing in put option