Essays in Finance
博士 === 國立臺灣大學 === 國際企業學研究所 === 100 === This dissertation is composed of two essays. I empirically examine rational expectation equilibrium in options/futures markets from behavioral and traditionally rational perspectives. The first essay, titled “Behavioral Heterogeneity, Investor Sentiment and Der...
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ndltd-TW-100NTU053200012015-10-16T04:02:49Z http://ndltd.ncl.edu.tw/handle/53281926192884155747 Essays in Finance 財務金融研究 Ya-Wen Lai 賴雅雯 博士 國立臺灣大學 國際企業學研究所 100 This dissertation is composed of two essays. I empirically examine rational expectation equilibrium in options/futures markets from behavioral and traditionally rational perspectives. The first essay, titled “Behavioral Heterogeneity, Investor Sentiment and Derivatives Trading: Evidence in Stock Index Futures,” examines whether the futures position is redundant in the sense that the futures position does not contain useful information for the underlying asset. I visit this topic in a behavioral perspective and examine the causal relationship between the underlying return and futures position. I find that hedge trading and index returns have predictive power for each other, and that time-varying investor sentiment is an indispensable ingredient to explain the predictive power of hedge trading for index returns. The second essay, titled “Macro factors in Index Option Returns,” is a test of ICAPM in index option market. Specifically, I investigate whether macro factors can explain the cross-section of index option returns in an asset pricing framework. Macro factors are particularly extracted from a large panel of 132 economic activity indicators using dynamic factor analysis. The results support that macro factors have a decisive influence on index option returns, irrespective of whether the risk premia are estimated from option or stock portfolios. 洪茂蔚 2011 學位論文 ; thesis 94 en_US |
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博士 === 國立臺灣大學 === 國際企業學研究所 === 100 === This dissertation is composed of two essays. I empirically examine rational expectation equilibrium in options/futures markets from behavioral and traditionally rational perspectives. The first essay, titled “Behavioral Heterogeneity, Investor Sentiment and Derivatives Trading: Evidence in Stock Index Futures,” examines whether the futures position is redundant in the sense that the futures position does not contain useful information for the underlying asset. I visit this topic in a behavioral perspective and examine the causal relationship between the underlying return and futures position. I find that hedge trading and index returns have predictive power for each other, and that time-varying investor sentiment is an indispensable ingredient to explain the predictive power of hedge trading for index returns. The second essay, titled “Macro factors in Index Option Returns,” is a test of ICAPM in index option market. Specifically, I investigate whether macro factors can explain the cross-section of index option returns in an asset pricing framework. Macro factors are particularly extracted from a large panel of 132 economic activity indicators using dynamic factor analysis. The results support that macro factors have a decisive influence on index option returns, irrespective of whether the risk premia are estimated from option or stock portfolios.
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洪茂蔚 |
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洪茂蔚 Ya-Wen Lai 賴雅雯 |
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Ya-Wen Lai 賴雅雯 |
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Ya-Wen Lai 賴雅雯 Essays in Finance |
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Ya-Wen Lai |
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Essays in Finance |
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Essays in Finance |
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Essays in Finance |
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Essays in Finance |
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Essays in Finance |
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essays in finance |
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2011 |
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http://ndltd.ncl.edu.tw/handle/53281926192884155747 |
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