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https://ah.lib.nccu.edu.tw/handle/140.119/114744
題名: | 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 |
作者: | 徐守德 Shyu, David So-De |
日期: | Sep-1994 | 上傳時間: | 15-Nov-2017 | 摘要: | 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. |
關聯: | 會計評論, 28, 187-216 | 資料類型: | article | DOI: | http://dx.doi.org/10.6552%2fJOAR.1994.28.8 |
Appears in Collections: | 期刊論文 |
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