| dc.contributor | 財管系 | |
| dc.creator (作者) | 湛可南 | |
| dc.date (日期) | 2022-01 | |
| dc.date.accessioned | 11-Jun-2026 13:43:46 (UTC+8) | - |
| dc.date.available | 11-Jun-2026 13:43:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jun-2026 13:43:46 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182918 | - |
| dc.description.abstract (摘要) | 許多研究發現，股票選擇權的交易對於標的股票含有重要的資訊，資訊交易者因選擇權市場的高槓桿和交易的效率性，加上股票市場的賣空限制，促使資訊交易者傾向在選擇權市場進行交易，選擇權的交易因而具有資訊意涵。文獻顯示選擇權交易的相關變數可以預測股票報酬，代表資訊交易者以資訊優勢在選擇權市場進行交易並從中獲利。但部分研究質疑選擇權的交易並沒有提供股票市場以外的其他訊息，因而挑戰選擇權交易具有股票資訊的概念。
本計畫旨在檢驗選擇權交易的資訊意涵，有別於過去文獻直接觀察股票報酬的方法，本計畫將檢視共同基金報酬和新股發行後公司績效表現這兩者與選擇權交易的關係。文獻對於主動型基金是否替投資人帶來額外報酬上多有爭執，本計畫將選擇權交易連結到共同基金的選股策略以檢視基金經理人的技能。另外，新股發行前，禁止投資人對股票放空以期在發行後買進新股賺取價差，而股票市場放空的限制，使得資訊交易者只能在選擇權市場對負面訊息進行交易，所以，選擇權交易的資訊意涵在新股發行上會特別顯著。
基於以上背景，本研究將檢驗以下三個主題：一、基金經理人在選股上是否有用選擇權交易的資訊? 本研究檢測有使用選擇權交易資訊的共同基金，其基金報酬是否較佳；二、有使用選擇權交易資訊的共同基金，是否有讓基金更受青睞的其他表徵?本文將檢測基金選股能力和基金資本流入這兩者與選擇權交易的關係；三、選擇權交易的資訊是否有助於區別新股發行的公司品質? 本研究將檢驗選擇權交易是否在新股發行前確實具有資訊意涵。
本研究計畫對資產定價和公司理財的文獻有以下貢獻：一、使用新的研究方法檢測選擇權交易的資訊意涵，增進對選擇權交易的了解；二、本文乃少數連結選擇權交易與共同基金的研究，以觀察使用選擇權交易的資訊，是否有助於預測共同基金的報酬，進而使基金投資人獲益；三、選擇權交易的資訊是否有助於基金經理人的選股策略，進而增進其專業技巧；四、提出一個簡單指標來區分新股發行的公司品質，並對公司發行新股的動機在文獻上的爭議提出解答；五、了解新股發行前後，專業投資人的交易行為，是資訊交易抑或是價格操控。 | |
| dc.description.abstract (摘要) | There is a rich literature presenting evidence that options trading is informed and contains relevant information for the underlying stock. Informed traders may prefer the options market due to its higher leverage and more efficient trading and the short-sale constraint in the equity market. Prior research has proposed a battery of options trading measures that exhibit strong predictive power in stock returns. The empirical evidence is consistent with the notion that informed traders choose the options market to profit on their private information. However, some papers question whether options trading conveys information other than that in stock price and raise doubt about return predictability of options trading.
This project examines the information content of options trading. Unlike previous research, we take different approaches by examining the mutual fund returns and firm performance following seasoned equity offerings (SEOs). We focus on mutual funds because of an ongoing debate in the literature whether active fund management provides value to investors. We wonder if options information is helpful in improving fund value. Moreover, the pre-issue short-sale constraint makes SEOs a great venue to test informed options trading as informed traders have incentives to trade on private information in the options market.
We try to address three sets of questions. First, do mutual funds employ options trading information in their trades? We test whether funds that hold stocks with favorable options information outperform the benchmark. Second, do funds using options trading information exhibit other traits that help enhance fund performance? We examine whether options trading is related to fund selectivity and future fund flow. Third, can we distinguish SEO quality based on options trading information? We test whether the options trading around SEOs is indeed informed or not.
We offer several contributions to the finance literature. In particular, we examine options trading from a novel approach that is different from the extant literature in informed trading. Our results could shed light on the debate whether options trading is indeed informed. To the best of our knowledge, this project is one of the first few to link options trading to mutual fund returns. We are able to show whether trading strategies based on options information generate profits to actual investors. We also test whether options trading information improves fund managers’ skill in stock selection. Finally, we provide simple measures based on options trading in the pre-issue period to distinguish the high quality issuers from the low quality counterparts. We thus address the argument regarding the motivations behind SEOs. We also examine the informed vs. manipulative nature of trading around SEOs. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST107-2410-H004-027-MY3, 107.08-110.07 | |
| dc.subject (關鍵詞) | 資訊交易; 選擇權市場; 共同基金; 基金選股能力; 基金資本流入; 新股發行 | |
| dc.subject (關鍵詞) | informed trading; options market; mutual fund; fund selectivity; fund flow; seasoned equity offering (SEO) | |
| dc.title (題名) | 資訊交易，共同基金，與公司財務 | |
| dc.title (題名) | Informed Trading, Mutual Fund, and Corporate Finance | |
| dc.type (資料類型) | report | |
