证券设计和股票与衍生品间的领先-滞后关系  

SECURITY DESIGN AND THE LEAD-LAG RELATION BETWEEN STOCKS AND DERIVATIVES

作　　者：保罗·布鲁克曼[1] 秦跃红（译） 陈晓（译） 

机构地区：[1]香港理工大学会计学系,香港九龙 [2]不详

出　　处：《中国会计与财务研究》2001年第1期52-110,共59页China Accounting and Finance Review

摘　　要：消息灵通的交易者的证券设计偏好受若干因素的影响，如流动性、交易成本和杠杆效应。本研究利用两种衍生证券——PRIME和SCORE——的独特属性来扩展我们对证券设计偏好的理解。我们的经验分析结果表明，消息灵通的交易者更喜欢交易股票而非交易PRIME和SCORE，从而在标的资产与其衍生品之间产生了一个领先一滞后的关系。这些结果倾向支持Stephan和Whaley（1990）关于股票领先于期权的发现。本研究还显示出衍生证券的买卖价差和逆向选择成分在相当程度上高于标的股票。总体而言，这些发现表明在低的股权交易成本（即流动性）和高的衍生品杠杆效应之间，消息灵通的交易者偏好前者。Informed traders＇ preference for one security design over another is influenced by several factors including liquidity, transaction costs, and leverage effects. This study uses the unique characteristics of derivative securities known as PRIMEs and SCOREs to expand our understanding of security design preference. The empirical results show that informed traders prefer to trade stocks rather than PRIMEs or SCOREs, thereby producing a lead-lag relation from the underlying asset to its derivatives. These results generally support the findings of Stephan and Whaley （1990） that stocks lead options. I also show that bid-ask spreads and adverse selection components are considerably larger for derivatives than for underlying stocks. Overall, the findings show that informed traders prefer the lower transaction costs of equities （i.e. liquidity） to the higher leverage effects of derivatives.

关 键 词：PRIME SCORE 领先-滞后关系 买卖价差分解 

分 类 号：F830.91[经济管理—金融学]