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Title: 反應在摩頓選擇權訂價模式之預期股利宣告效果
Anticipated Dividend Announcements Reflected in Merton's Option Pricing Model
Authors: 徐守德
Shyu, David So-De
Date: 1994-09
Issue Date: 2017-11-15 14:54:37 (UTC+8)
Abstract: 理論上已證明公司股利宣告會改變公司的風險。本文只在利用隱含在選擇權訂價模式中的標準差,探索公司之風險是否再股利宣告前後發生變化。實證結果發現有利股利宣告群與不利股利宣告群之公司風險,的確在股利宣告前後發生變化。
A theory has proved that a firm's risk changes around dividend announcement dates. This paper attempts to empirically examine a firm's risk by looking at the implied standard deviation derived from call option prices on dates surrounding the dividend announcement for a "clean" sample of dividend announcements. The result shows that a firm's risk does change for favorable information group and unfavorable information group.
Relation: 會計評論, 28, 187-216
Data Type: article
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Appears in Collections:[會計評論] 期刊論文

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