标题：Is warrant really a derivative? Evidence from the Chinese warrant market

汇报人：Jin E. Zhang(TheUniversityofHong Kong)

功夫：10月20日（周二）10:00-11:30am

地址：拉斯维加斯9888新楼217教室

提要：This paper first studies the Chinese warrant market that has been developed since August 2005. Empirical evidence shows that the market prices of warrants are systematically much higher than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying do not support the monotonicity, perfect correlation and option redundancy properties. The cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by volatility risk, and trading value of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying.

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