不同權證特性影響認購權證報酬之實證研究

Abstract

本篇論文之研究主體為台灣權證市場之認購權證，選取近五年交易金額前10大個股權證，以及加權指數之指數權證等共11檔標的證券進行研究，主要探討權證所具備之各種特性，參考過往文獻所得之相關結論與券商所推薦之相關因素，研究涵蓋隱含波動溢價比率、溢價比率、當日成交量、到期天數、有效槓桿、價內外程度、流通在外比例和造市商發行量規模等考量因素，分析是否能藉由選取特定券商屬性以及具備相關特性之權證，以此獲得相對較好之報酬，以及研究不同造市商推薦之共同篩選條件，是否也能提供投資人相對較好之報酬。實證結果顯示，透過選取特定的權證特性，確實能獲取相對較好之報酬，並針對原始的造市商推薦條件進行改良，以此提升投資人之認購權證報酬。

The paper empirically examines the impact of selecting different warrant characteristics for the return of call warrants. For a sample of firms whose call warrants listed on TWSE had a host of volume from 2016 to 2020, the empirical evidence indicates that considering several factors such as premium volatility, premium, volume, maturity, leverage, moneyness, outstanding ratio, and maker size, it’s possible to obtain relatively better return by selecting specific warrant’s characteristics. Also, the findings show that the mutual selection criteria recommended by different market makers couldn’t effectively provide better return for investors. Therefore, the paper provides the revised version for recommended criteria for the investors to enhance their call warrant’s return, and serve as a guide for further research in this field.