本研究以股票購回為例，研究被當作選擇權或權證標的之股票，在購回宣告時是否存在較高的資訊內涵。基於股票購回宣告常會伴隨著正的異常報酬，因此我們選擇股票購回做為主要的事件。我們的研究結果發現，不論是在事件研究法或者是考慮了公司特徵的橫斷面分析，都沒有顯著的證據可以證明作為選擇權/權證之標的股票其異常報酬是較低的。因此我們以權證的隱含實際波動率相對於其標的股的實際波動率所建構出來的資訊變數，去衡量標的股市場與衍生性市場相對資訊內涵之情況。本研究發現，此資訊變數確實隱含有關其標的股的資訊，並具有顯著的預測能力。

We investigate the informational efficiency of trading in warranted/optioned stocks in the context of stock repurchase announcements. We choose the stock repurchase announcements that are usually associated with positive abnormal returns. Our event study and cross-sectional analysis result show that there are no significant differences between the abnormal returns from warranted/optioned and non-warranted/optioned stocks for our 446 stock repurchase events. Nevertheless, we introduce a new information variable estimated by warrant implied realized volatility versus stock realized volatility for overall investigation of the relative information between underlying and derivative market. Our study provides the significant predictive power of that information variable.

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