Implied Volatility and Firm Valuation

• Main Authors: Yu-chia Tseng, 曾郁嘉
• Other Authors: Jun-biao Lin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/78458367455975703606

碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 101 === In the call option, it has a higher option prices and the implied volatility get higher. The firm value gets better or not. Also in the put option, it has a higher put option prices and the implied volatility get higher. The firm value gets worse or not. In this study, we focus on the relation between the implied volatility and firm valuation. The implied volatility is divided into Vega implied volatility and Elasticity weighted implied volatility. A simple approximation of Tobin’s q displaces the firm value. We study call and put implied volatility relate to the firm value by cross-sectional regression and panel regression. Finally, we use the lag implied volatility to further discussion with firm value. The results are whether call or put implied volatility are positive to firm value and lag implied volatility to firm value has not relationship.