Option-Implied CAPM Beta and Expected Stock Returns
博士 === 國立臺灣大學 === 財務金融學研究所 === 99 === This study investigates whether high option-implied beta is associated with higher future stock return. Empirical results show that a zero-investment portfolio that consists of long positions in high option-implied beta stocks and short positions in low option-i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/72680133431632979415 |