:::

詳目顯示

回上一頁
題名:Volatility Spreads and Patent Announcement Returns
書刊名:財務金融學刊
作者:林姿瑩 引用關係黃冠瑛謝佩芳 引用關係
作者(外文):Lin, Zih-yingHuang, Guan-yingHsieh, Pei-fang
出版日期:2018
卷期:26:3
頁次:頁1-25
主題關鍵詞:買賣權穩含波動度差股票報酬專利宣告Call-put implied volatility spreadStock returnsPatent announcement
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:191
期刊論文
1.Cremers, Martijn、Weinbaum, David(2010)。Deviations from Put-call Parity and Stock Return Predictability。Journal of Financial and Quantitative Analysis,45(2),335-367。  new window
2.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on bonds and stocks。Journal of Financial Economics,33(1),3-56。  new window
3.Campbell, John Y.、Lettau, Martin、Malkiel, Burton G.、Xu, Yexiao(2001)。Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk。Journal of Finance,56(1),1-43。  new window
4.An, Byeong-Je、Ang, Andrew、Bali, Turan G.、Cakici, Nusret(2014)。The Joint Cross Section of Stocks and Options。Journal of Finance,69,2279-2337。  new window
5.Atilgan, Yigit(2014)。Volatility spreads and earnings announcement returns。Journal of Banking Finance,38,205-215。  new window
6.Aboody, David、Lev, Baruch(2000)。Information asymmetry, R&D, and insider gains。Journal of Finance,55,2747-2766。  new window
7.Blanco, Iván、Wehrheim, David(2017)。The bright side of financial derivatives: Options trading and firm innovation。Journal of Financial Economics,125,99-119。  new window
8.Bali, Turan G.、Hovakimian, Armen(2009)。Volatility spreads and expected stock returns。Management Science,55(11),1797-1812。  new window
9.Back, Kerry(1993)。Asymmetric information and options。Review of Financial Studies,6(3),435-472。  new window
10.Cochrane, John H.(1996)。A cross-sectional test of an investment-based asset pricing model。Journal of Political Economy,104,572-621。  new window
11.Chan, Konan、Li, Ge、Lin, Tse-Chun(2015)。Informational content of option trading on acquirer announcement return。Journal of Financial and Quantitative Analysis,50,1057-1082。  new window
12.Cao, Henry(1999)。The effect of derivative assets on information acquisition and price behavior in a rational expectations equilibrium。Review of Financial Studies,12,131-163。  new window
13.Easley, David、O'Hara, Maureen、Srinivas, Subrahmanya P.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance,53,432-465。  new window
14.Drobetz, Wolfgang、Grüninger, Matthias C.、Hirschvogl, Simone(2010)。Information asymmetry and the value of cash。Journal of Banking and Finance,34(9),2168-2184。  new window
15.Doran, James S.、Krieger, Kevin(2010)。Implications for asset returns in the implied volatility skew。Financial Analysts Journal,66(1),65-76。  new window
16.Gharghori, Philip、Maberly, Edwin D.、Nguyen, Annette(2017)。Informed trading around stock split announcements: Evidence from the option market。Journal of Financial and Quantitative Analysis,52,705-735。  new window
17.Freeman, Robert(1987)。The association between accounting earnings and security returns for large and small firms。Journal of Accounting and Economics,9,195-228。  new window
18.Hsu, Po-Hsuan(2009)。Technological innovations and aggregate risk premiums。Journal of Financial Economics,94,264-279。  new window
19.Hao, Qing(2016)。Is there information leakage prior to share repurchase announcements? Evidence from daily options trading。Journal of Financial Markets,27,79-101。  new window
20.Lin, Tse-Chun、Lu, Xiaolong(2015)。Why do options prices predict stock returns? Evidence from analyst tipping。Journal of Banking and Finance,52,17-28。  new window
21.Liang, Woan-Lih(2012)。Information content of repurchase signals: Tangible or intangible information?。Journal of Banking and Finance,36,261-274。  new window
22.Kogan, Leonid、Papanikolaou, Dimitris、Seru, Amit、Stoffman, Noah(2017)。Technological innovation, resource allocation, and growth。Quarterly Journal of Economics,132(2),665-712。  new window
23.Newey, Whitney K.、West, Kenneth D.(1987)。A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix。Econometrica,55,703-708。  new window
24.Muravyev, Dmitriy(2016)。Order flow and expected option returns。Journal of Finance,71,673-708。  new window
25.Manaster, Steven、Rendleman, Richard J. Jr.(1982)。Option prices as predictors of equilibrium stock prices。Journal of Finance,37(4),1043-1057。  new window
26.Sheikh, Aamir M.、Ronn, Ehud I.(1994)。A characterization of the daily and intraday behavior of returns on options。Journal of Finance,49,557-579。  new window
27.Roll, Richard、Schwartz, Eduardo、Subrahmanyam, Avanidhar(2009)。Options trading activity and firm valuation。Journal of Financial Economics,94(3),345-360。  new window
28.Pandit, Shail、Wasley, Charles E.、Zach, Tzachi(2011)。The effect of R&D inputs and outputs on the relation between the uncertainty of future operating performance and R&D expenditures。Journal of Accounting, Auditing, and Finance,26,121-144。  new window
29.Zeghal, Daniel(1984)。Firm size and the information content of financial statements。Journal of Financial and Quantitative Analysis,19,299-310。  new window
30.Truong, Cameron、Corrado, Charles(2014)。Options trading volume and stock price response to earning announcements。Review of Accounting Studies,19,161-209。  new window
31.Masulis, Ronald W.、Wang, Cong、Xie, Fei(2007)。Corporate Governance and Acquirer Returns。The Journal of Finance,62(4),1851-1889。  new window
32.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
33.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。  new window
34.Pástor, Ľuboš、Stambaugh, Robert F.(2003)。Liquidity Risk and Expected Stock Returns。Journal of Political Economy,111(3),642-685。  new window
35.Hirshleifer, David、Hsu, Po-Hsuan、Li, Dongmei(2013)。Innovative efficiency and stock returns。Journal of Financial Economics,107(3),632-654。  new window
36.Cochrane, John H.(1991)。Production-based asset pricing and the link between stock returns and economic fluctuations。The Journal of Finance,46(1),209-237。  new window
37.Hall, Bronwyn H.、Jaffe, Adam、Trajtenberg, Manuel(2005)。Market value and patent citations。RAND Journal of Economics,36(1),16-38。  new window
38.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
39.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
40.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
研究報告
1.Blaug, Ricardo、Lekhi, Rohit(2009)。Accounting for Intangibles: Financial Reporting and Value Creation in the Knowledge Economy。London:Work Foundation。  new window
2.Hall, Bronwyn H.、Jaffe, Adam B.、Trajtenberg, Manuel(2001)。The NBER patent citation data file: Lessons, insights, and methodological tools。  new window
3.Hsu, Po-Hsuan、Huh, Sahn-Wook(2016)。Intellectual property news and informed trading: Evidence from patenting activities。  new window
4.Pástor, L'uboš、Veronesi, Pietro(2009)。Technological revolutions and stock prices。  new window
圖書
1.Mansfield, Edwin(1968)。Industrial Research and Technological Innovation。New York:Norton。  new window
2.Shiller, Robert J.(2000)。Irrational Exuberance。Princeton University Press。  new window
圖書論文
1.Arrow, Kenneth J.(1962)。Economic welfare and the allocation of resources for invention。The Rate and Direction of Inventive Activity。Chicago University Press。  new window
2.Hall, Bronwyn H.、Lerner, Josh(2010)。The financing of R&D and innovation。Handbook of the Economics of Innovation。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top