Volatility Spreads and Patent Announcement Returns

Journal article

Zih-Ying Lin, Guan-Ying Huang and 佩芳謝

財務金融學刊Journal of Financial Studies, Vol.26(3), pp.1-25

09/2018

Abstract

Call-put implied volatility spread;stock returns;patent announcement;買賣權隱含波動度差;股票報酬;專利宣告

文獻發現，公司專利權宣告日隱含影響股票市場之資訊。本文探討個股選擇權市場交易隱含有專利宣告後報酬之資訊。實證分析發現，買賣權隱含波動度差可預測公司取得專利宣告後兩天之報酬，而且當選擇權流動性越高時，波動度差對於公司宣告後報酬預測越準確。

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Title: Volatility Spreads and Patent Announcement Returns
Translated title: 波動度差與公司專利宣告報酬
Creators - without role: Zih-Ying Lin
Guan-Ying Huang
佩芳謝
Publication Details: 財務金融學刊Journal of Financial Studies, Vol.26(3), pp.1-25
Identifiers: 9957771035206774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Journal article