台灣認購權證所隱含標的股票貝塔係數與股票期望報酬之實證研究

An Empirical Study of Warrant-Implied CAPM Beta and the Expected Return in the Taiwan Stock Market

先前學者在選擇權隱含貝塔係數的研究中主要是針對美國的選擇權市場，在本研 究中，我們將針對台灣的市場進行研究，然而，由於台灣的個股選擇權的交易量非常小，因此我們以權證市場代替之，並調整先前學者所使用計算選擇權隱含貝塔係數的方法以合乎權證市場的特性。一檔權證的存續期間約半年左右，我們篩選出連續兩年〈2011 年 3 月至 2013 年 2 月〉皆有被券商發權證的股票，將這些 股票依權證隱含貝塔係數之大小分成三組，分別觀察三組以及以買高貝塔賣低貝塔投資組合策略在未來一週至未來四週之報酬的表現。此外，我們研究未來第一 週至未來第四週的報酬與權證隱含貝塔和其他控制變數的關係，發現權證隱含貝塔係數可以為未來兩週的股票報酬提供資訊。

Previous studies of option-implied beta focused on the US options market. Given the small trading volume of stock options in Taiwan,s options market, we instead apply adjusted warrant data to compute warrant-implied betas to generate four warrant-implied betas in a weekly period rather than a single implied-beta. Firms which issued continuous two-year warrants were sorted into three groups based on implied beta. Long-short strategies were used to examine the performance of stock returns in different periods with different implied-beta values. In addition, we investigated the relationship between future stock returns for different periods and control variables to verify the effects of warrantimplied beta to future stock return.