The Relationship between Firm Performance and Option Market

[[abstract]]本文主要探討1996年至2013年選擇權交易活動與公司價值之間的關係。Roll, Schwartz, and Subrahmanyam 三位學者在2010利用個股選擇權交易量及現貨交易量來衡量個股選擇權與公司價值的關係並提出選擇權相對現貨比率(Options/Stocks)的概念。根據Johnson and So (2012)，選擇權相對現貨比率在放空成本偏高或槓桿比率偏低時是一個強而有力的指標。兩位學者也利用選擇權相對現貨比率可以反應私部門資訊的特性來進一步預測公司未來的盈餘表現。因此，本文將探討選擇權相對現貨比率在解釋公司價值上是否為一個有意義的指標。除此之外，我們也將樣本資料整理為金融海嘯前及金融海嘯後兩部份來檢驗證重大金融危機是否會影響實證研究的結果。實證研究顯示，選擇權相對現貨比率在經過各種穩健性測試後對於公司價值有顯著的正向關係。[[abstract]]This study investigates the relationship between options trading activities and firm performance during 1996-2013. Roll, Schwartz, and Subrahmanyam (2010) addressed the concept of relative trading volume in options and stocks as measured by the options to stocks ratio of total option trading volume divided by concurrent stocks trading volume (O/S). Johnson and So (2012) indicated that the O/S ratio is a stronger signal when short-sale costs are high or option leverage is low. Johnson and So (2012) also asserted that the O/S ratio predicts future firm-specific earnings news, consistent with the O/S ratio reflecting private information. Thus, this paper uses the O/S ratio to measure if the ratio is a meaningful explanatory variable in explaining firm value. We also separate the sample into two parts: the period before the financial crisis and the period after the financial crisis to examine if the financial crisis would affect our results. Empirical results indicate that the O/S ratio is positively and significantly associated with Tobin’s q. Our results are valid after go through several robustness checks