Warrant Pricing Bias in Chinas Stock Market and Its Causes
In this paper we study the characteristics of warrant prices and their formation in Chinas stock market. We use Hull-White option pricing model (H-W model) to investigate the characteristics of warrant prices, and then adopt the behavior finance theories to study the formation of these characteristics. Our study results show that: all sample warrants have great pricing biases;out-of-the-money warrants are overpriced while in-the-money warrants are underpriced;overpricing of the out-of-the-money call warrant becomes more serious along with the underlying stock price falling;the investors overconfidence and their overrating of the probabilities of low-probability events are two main causes of these phenomena.
warrant H-W model overconfidence prospect theory EGARCH
Yue Li Xiangning Wang
Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China
国际会议
北京
英文
321-324
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）