反應在摩頓選擇權訂價模式之預期股利宣告效果

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.