| dc.contributor | 金融系 | |
| dc.creator (作者) | 江彌修 | |
| dc.date (日期) | 2018-11 | |
| dc.date.accessioned | 7-Apr-2026 13:17:23 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:17:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:17:23 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181927 | - |
| dc.description.abstract (摘要) | 處置效果是行為財務學中廣泛於各個市場被發現的投資人行為偏誤，然而現有文獻之於此行為偏誤是否存在於衍生性商品市場的論述相當罕見，尤其在個股選擇權及可轉債市場中測試處置效果的研究更是明顯缺乏。因而本研究計畫首先延伸我們於Chiang, Chiu and Chou (2016)中所累積的研究經驗，探究如何設計適應於個別市場特性之損益衡量基準點(reference points) 未實現資本利得(unrealized capital gains)、及賣出傾向衡量(propensity to sell) 指標以測試此行為偏誤之於投資人在個股選擇權及可轉債的交易中所扮演的角色。我們進而實證橫斷面個股選擇權及可轉債報酬率與這些未實現損益指標是否存在正向關係以驗證處置效果的存在。我們藉由建構買入最大未實現損益指標部位並賣出最小未實現損益指標部位所形成之動能策略，檢驗此投資組合賺取超額報酬之可能性，並觀察delta 避險選擇權報酬率或可轉債報酬率是否與未實現損益指標有關。另外我們也將藉由觀察落後期選擇權或可轉債報酬率與交易量的關係是否如處置效果所預測為正向來提供更多處置效果存在的證據。同時我們將嘗試利用處置效果行為偏誤來解釋指數選擇權市場所存在的價外賣權價格高估難題(overpriced put puzzle)。 | |
| dc.description.abstract (摘要) | While the disposition effect has been widely documented under many financial settings, whether participants of the derivatives markets exhibit such disposition bias remains an open question that undergoes serious debates. The existing literature seems apparently lacking in providing evidence for the presence of such behavioral bias on either the individual stock option or the convertible-bond markets. In this research proposal, based on our prior research experience as in Chiang, Chiu and Chou (2016), we first explore how one devises the reference points for mental accounting, the unrealized capital gains, and the investors’ propensity to sell in order to quantify the resulting impacts of the disposition effect in the respective markets and to empirically justify its presence. Using a long/short strategy of buying all individual options (convertible bonds) in the highest decile and selling those in the lowest decile, we test for a positive relation between these measures and the decile portfolio returns and investigate whether the long/short strategy generates abnormal returns. Furthermore, we analyze the time-series relation of lagged returns of individual options (convertible bonds) and their trading volume to provide more evidence on the existence of the disposition effect. We also attempt to explain the overpriced put puzzle in the index option market with the disposition effect by a double sort on options’ strike prices and their disposition effect measures. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部,MOST106-2410-H004-058, 106.08-107.07 | |
| dc.subject (關鍵詞) | 個股選擇權市場; 可轉債市場; 處置效果; 價外賣權價格高估難題 | |
| dc.subject (關鍵詞) | individual option market; convertible bond market; disposition effect; overpriced put puzzle | |
| dc.title (題名) | 處置效果行為偏誤於衍生性商品市場之實證：以個股選擇權及可轉換債券為例 | |
| dc.title (題名) | Examining the Disposition Bias in Derivatives Markets: the Cases of Individual Options and Convertible Bonds | |
| dc.type (資料類型) | report | |
