我国股改中权证的价格泡沫及影响因素

本文针对我国股改中的百慕大权证提出了新的“模拟树-市场情绪”定价模型。该模型的实证研究结果表明中国权证市场价格存在严重高估;加入市场情绪指标后,通过建立多元回归模型得到了对于实际价格的显著的拟合结果,有力地解释了超出权证理论价格的实际价格所包含的情绪因素。本文最后对权证价格高估的原因及权证未来的走势进行了分析。

Bubble of Warrants and the Influential Factors under Reform of the Shareholder Structure

This paper puts forward a pricing model based on Simulation Tree and market sentiment for Bermudan warrants under Equity Division Reform.Results show that warrants are overpriced seriously.Then the paper develops a multiple linear regression model,which includes market sentiment factors,and the fitness is significant.Then the paper analyzes the reasons of overpricing and affection for enterprise from the warrants.