认沽权证系统性高估机理:投机还是创设机制?

Systematic overvaluation mechanism of put warrants: Speculation or issuing mechanism?

对中国大陆认沽权证定价误差进行实证分析,发现在认沽权证交易中存在系统性价格高估.采用高频数据,基于行为金融学的前景理论及再售期权理论对认沽权证市场价格系统性高估的原因进行了理论与实证分析.结果表明,权证市场做空机制的缺失与投资者的异质信念导致的投机行为是认沽权证价格高估的重要原因,但并非唯一原因.中国大陆权证创设机制的缺陷是另一个非常重要的原因.它使得作为权证发行(创设)方参照价格的发行(创设)成本对权证的市场价格产生了很大的影响,无论对于认沽权证的定价误差水平,还是定价误差的波动,都有很强的解释作用.只允许少数满足特殊资质要求的券商进行创设,以及对新创设权证的行权价格不进行适时地调整的创设机制缺陷,使得认沽权证最终沦为投机的工具.中国大陆认沽权证价格的持续高估,是由于创设机制的缺陷与投资者的投机行为共同作用的结果.

This paper empirically examines the pricing errors of Chinese put warrants, and finds that put warrants are systematically overvalued. Using high frequency data, the paper in vestigates the reasons of systematic over valuation according to prospect theory and resell option theory. The results show that the speculation behavior of individual investors caused by short selling constrain and heterogeneous belief is one of the most important reasons 1 issuing mechanism cost, which can be eading to the overvaluation of put warrants. However, the weakness of Chinese warrants＇ also plays a very important role in explaining the overvaluation of put warrants. The issue regarded as the reference price of issuers, has significant effects on the market price of put warrants, and can well explain both the levels and variations of the pricing errors of put warrants. The mechanism that only a few qualified security companies are permitted to create warrants and the fact that the exercise prices of newly issued warrants cannot be adjusted according to underlying stock prices make put warrants an instrument of speculation. In sum, the synergism of speculation behaviors and the weakness of the issuing mechanism lead to persistent systematic over valuation of put warrants.