摘要
本文研究了影响我国权证价格偏离的主要因素。以往文献的重售动机理论和便利收益理论不能诠释权证定价偏差的不对称性。我们的研究提出理性避险动机是权证价格偏离的主导因素,即我国投资者并不是非理性的进行重售投机,也并没有忽视权证的避险性能。本文避免了以往文献的Black-Scholes模型依赖,在平价准则的基础上构造了非模型的误差度量方法,从而剔除了模型假设导致的价格偏差,保证了研究结果的有效性和准确性。
This paper investigates the underlying reasons leading to the well known price deviation(bubble or undervaluation) of Chinese warrants.The previous studies proposed're-sale theory'and'convenience yield theory',which however could not successfully explain the asymmetry of price deviation of put warrants and call warrants.We propose that the warrant price deviation could be resulted by investors' hedging motivation.We avoid the Black-Scholes model and apply a model-free measure of pricing errors,which helps to get rid of the model risk and guarantees the accuracy of measurement.
出处
《金融研究》
CSSCI
北大核心
2012年第1期194-206,共13页
Journal of Financial Research
基金
国家自然科学基金的支持
项目号:71101080和71071086
关键词
权证泡沫
避险动机
平价准则
Warrant bubbles
Hedging motivation
Put-call parity
