是否股票市場對公司營收或盈餘宣告能夠有效且快速地回應，這是長期研究股票市場效率上相當重要的議題，因此本研究嘗試檢驗台灣股市中投資交易策略如何影響股票市場對營收（盈餘）宣告的反應，特別考慮是否訊息宣告前公司股票選擇權的交易資訊對宣告後股票報酬率的影響。實證結果指出當公司有發行選擇權時會顯著提高公司營收宣告後累積報酬率，且選擇權隱含波動價差愈大時，會顯著增加公司營收宣告後累積報酬率。此外，公司規模愈大會降低公司營收宣告後累積報酬率，但是營收宣告前的最佳股價報酬率且營收宣告前的平均股價報酬率愈高時，會顯著提升公司營收宣告後累積報酬率。再者，當公司未預期營收宣告驚奇(SUE)愈高時，會顯著提升公司營收宣告後累積報酬率；同時，未預期營收宣告驚奇(SUE)且選擇權隱含波動價差都愈高時，會顯著擴大公司營收宣告後累積報酬率。最後，當選擇權隱含波動價差且選擇權交易量愈大時，會顯著地提升公司營收宣告後累積報酬率；同時未預期營收成長(SUE)且選擇權交易量都高的時候，也會顯著地提升公司營收宣告後累積報酬率；此外，當未預期營收宣告驚奇(SUE)、選擇權隱含波動價差、選擇權交易量同時升高時，也會顯著地擴大公司營收宣告後累積報酬率。 Although these studies have substantially increased the economic impact of analyzing options trading, they have been affected by several important shortcomings. The use of option trading states yields a rather simple dichotomy, that is, there are two types of issuance options and those of companies that do not have the option to issue, and there is heterogeneity in the degree of alternative trading activity. In addition, the focus is on the high degree of connectivity between option trading volume and informed trading; on the other hand, the trading volume of the HF option trading and quoting data options (or the professional data based on the forecast variables constructed on the trading volume) It is noteworthy that few studies have examined the effects of option pricing and related issues, especially important business-critical announcements. In this light, the study attempted to consider option pricing Effect on past research; more specifically, this study intends to use the implied volatility of options to empirically analyze the impact of the trading volume of options on the revenue (surplus) response of the stock market to the business, this new The research perspective not only tests the usability of the data, but also takes a closer look at the changes in the stock market response to options trading messages.
