This article investigates the predictive power of the put-call ratios(PCRs)implied by China’s 50ETF option on the 50ETF return and its variance.By using simple partitional regressions,the relationship between the PCR...This article investigates the predictive power of the put-call ratios(PCRs)implied by China’s 50ETF option on the 50ETF return and its variance.By using simple partitional regressions,the relationship between the PCR and the 50ETF return is tested.This study conducts tests on their robustness based on different horizons,market conditions,moneyness status and time to maturity.Empirical results indicate that the PCR is a strong forward-looking indicator of the variance of 50ETF returns.A robust and negative correlation is detected.A significant linear correlation between the PCR and the 50ETF return only exists during the market crash.This study shows evidence that the PCR as seen in common trading practices may be misused and indicates a potential way of using it.展开更多
为兼顾发行方与投资者的利益,确保融资效率,本文设计了含股权回售与赎回条款的或有可转债(share-putable&callable Co Cos,SPCCs).首先将其分解为普通或有可转债多头、下降-敲入看跌障碍期权多头以及上升-敲入看涨障碍期权空头的组...为兼顾发行方与投资者的利益,确保融资效率,本文设计了含股权回售与赎回条款的或有可转债(share-putable&callable Co Cos,SPCCs).首先将其分解为普通或有可转债多头、下降-敲入看跌障碍期权多头以及上升-敲入看涨障碍期权空头的组合;然后针对债券价值的"路径依赖"特征,引入Jarrow-Turnbull模型确定生存概率,继而推导出以股价为触发器的SPCCs定价公式;最后针对瑞信集团(credit suisse)2011年2月发行的或有可转债进行实证分析.结果表明:SPCCs价格与债转股触发强度增速显著负相关;同时发行方股价波动率会对SPCCs价格产生间接影响,且影响方向取决于"Co Cos价值随股价波动率的增加幅度"与"股权回售与赎回条款价值随股价波动率的减少幅度"孰大孰小.展开更多
基金This research is supported by the National Natural Science Foundation of China[Grant number 71503257].
文摘This article investigates the predictive power of the put-call ratios(PCRs)implied by China’s 50ETF option on the 50ETF return and its variance.By using simple partitional regressions,the relationship between the PCR and the 50ETF return is tested.This study conducts tests on their robustness based on different horizons,market conditions,moneyness status and time to maturity.Empirical results indicate that the PCR is a strong forward-looking indicator of the variance of 50ETF returns.A robust and negative correlation is detected.A significant linear correlation between the PCR and the 50ETF return only exists during the market crash.This study shows evidence that the PCR as seen in common trading practices may be misused and indicates a potential way of using it.
文摘为兼顾发行方与投资者的利益,确保融资效率,本文设计了含股权回售与赎回条款的或有可转债(share-putable&callable Co Cos,SPCCs).首先将其分解为普通或有可转债多头、下降-敲入看跌障碍期权多头以及上升-敲入看涨障碍期权空头的组合;然后针对债券价值的"路径依赖"特征,引入Jarrow-Turnbull模型确定生存概率,继而推导出以股价为触发器的SPCCs定价公式;最后针对瑞信集团(credit suisse)2011年2月发行的或有可转债进行实证分析.结果表明:SPCCs价格与债转股触发强度增速显著负相关;同时发行方股价波动率会对SPCCs价格产生间接影响,且影响方向取决于"Co Cos价值随股价波动率的增加幅度"与"股权回售与赎回条款价值随股价波动率的减少幅度"孰大孰小.
