What Caused Chinese Warrant Price Deviations:Speculation or Creation Mechanism?

摘要：

　　By empirical studies of Chinese warrants pricing,we nd there are systematic devi- ations in warrants price that call warrants are under valued and put warrants are over valued.Using high frequency data,we do further researches about the reasons of sys- tematic deviations according to the prospect theory and resell option theory owing to heterogeneous beliefs.There are different story for Call Warrants and Put Warrants price deviations.For Call Warrants,the special creation mechanism cause reference prices play a important role in explaining the under valuation of Call warrants,and the turnover of Warrants do not.So the prospect theory dominate the resell option theory in Call Warrants case.For Put Warrants,the turnover of Warrants play a important role to ex- plain the over valuation of Put Warrants,the resell option theory dominate the prospect theory,which consistent with Xiong and Yu (2011).

关键词： warrant price deviations mental account resell option heterogeneous belief creation mechanism

作者: Wenjie Ma Lei Lu

作者单位: School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China Guanghua School of Managment,Peking University,5 Summer Palace Road,Beijing 100871,China

会议类型: 国际会议

会议名称: 2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)

会议地点: 上海

会议语种:英文

页码: 644-691

在线出版日期: 2013-07-08（万方平台首次上网日期，不代表论文的发表时间）