Why Are Derivative Warrants More Expensive Than Options? An Empirical Study

摘要：

Derivative warrants typically have prices that are higher than the prices of otherwise identical options. Using data from the Hong Kong market during 2002-2006, we show that the price difference reects the liquidity premium of derivative warrants over options. Newly issued derivative warrants are much more liquid than are options with similar terms. As a result, long-term derivative warrants are preferred by traders who trade frequently. In spite of their higher prices, short-term returns on long-term derivative warrants are, in fact, slightly higher than the hypothetical short-term returns on options. On the other hand, derivative warrants near their expiration are less liquid, more thinly traded, and no more expensive than options with similar terms.

作者: Gary Li Chu Zhang

作者单位: Department of Finance,The Hong Kong University of Science and Technology (HKUST),Clear Water Bay,Kowloon,Hong Kong

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-43

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）