本文探討買賣權隱含波動度對合併收購事件報酬的預測能力。我們將買賣權平價的偏離使用買賣權隱含波動度來衡量，將變數買賣權隱含波動度價差與價外賣權與價平買權的偏差作為我們研究的主要解釋變數，對併購事件的累積異常報酬(CARs)進行解釋。本文實證結果發現在合併收購事件中，當隱含波動度水平作為主要解釋變數時，對於併購事件的累積異常報酬具有顯著性的正相關，與Cremers and Weinbaum (2010)結果相同。當隱含波動度變化作為主要解釋變數時，對於未來報酬預測與文獻結果方向相同，也具有統計上顯著性。賣買權比率作為市場情緒的代表變數，對隱含波動度價差水平有正向關係，這符合Jun and Poteshman (2006)之理論：選擇權交易量含有對未來股價資訊，也符合Cremers and Weinbaum (2010)中實證結果，兩者有正向關係。價外賣權與價平買權的偏差為另一種衡量市場供需變數，對累積異常報酬有正向關係。最後，我們的研究顯示與過去文獻不完全相同，選擇權市場的隱含波動度資訊在後期樣本期間對併購事件的累積異常報酬沒有顯著預測能力變化。

We explore implied volatilities of put call options and stock return predictability in mergers and acquisitions. We use the implied volatilities of options to measure the deviation of put-call parity, and use the difference between the implied volatilities of put call options and the deviation of out-of-money puts and at-the-money call options as the main explanatory variables of return predictability. The results of this paper find that in mergers and acquisitions, when the level of implied volatility is the main explanatory variable, the cumulative abnormal returns of mergers and acquisitions have a significantly positive correlation, which is consistent with Cremers and Weinbaum (2010). When the implied volatility change is used as the main explanatory variable, the prediction of future returns is in the same direction as predicted by prior literature. As a proxy variable for market sentiment, the put/call ratio has a positive relationship with the level of implied volatility spread. This is consistent with the theory of Jun and Poteshman (2006): Option trading volume contains information on future stock prices, which supports Cremers and Weinbaum (2010). The deviation between out-of-money put options and at-the-money call options which measures market demand and supply has a positive relationship with cumulative abnormal returns. Finally, our research shows that results are similar to the previous literature:the implied volatility information of the option market has a weaker ability to predict the cumulative abnormal returns of M&A events during the later sample period.

論文審定書.......................................................... i
摘要............................................................... ii
Abstract ........................................................... iii
1. 導論............................................................. 1
1.1研究背景與動機 ......................................................................................... 1
1.2研究目的與貢獻 ......................................................................................... 2
2. 文獻探討與研究假說............................................... 3
2.1選擇權與股票 ............................................................................................. 3
2.2買賣權隱含波動度價差 ............................................................................. 5
2.3研究假說..................................................................................................... 7
3. 研究方法與實證模型............................................... 8
3.1樣本選取..................................................................................................... 8
3.2 買賣權隱含波動度之計算 ......................................................................... 9
3.3控制變數................................................................................................... 10
3.4 事件研究法 .............................................................................................. 11
4. 實證分析........................................................ 12
4.1敘述統計................................................................................................... 12
表4依據隱含波動度過去七天偏差平均大小分組之敘述統計 ..................... 17
4.2 買賣權隱含波動度價差的高低水平與變化程度 .................................... 17
4.3 買賣權隱含波動度價差和賣買權比率 ................................................... 20
4.4 隱含波動度價差和價外賣權與價平買權的隱含波動度偏差 ................. 22
4.5 時間對買賣權隱含波動度解釋力影響 ................................................... 26
5.結論............................................................. 30
參考文獻........................................................... 31

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