关于认股权定价的研究及其启示.doc

关于认股权证市场定价的分析及其启示 ——基于四川长虹认股权证(580027)的实证研究 摘要 本文通过实证研究发现认股权证市场价格高于理论价格的现象并未随着2005年权证市场重新开放而消失。因此不能再完全归结于一些如市场运作不规范等传统理论。本文认为目前通用的Black-Scholes定价模型本身存在缺陷。首先表现为其理论基础即有效的资本市场和理性的投资者在中国很难得到证实；其次因为市场是非有效的，故而存在行权价格定位不准确的可能；最后Black-Scholes模型和二项式期权定价一样，建立在消除套利机会原理之上，然而上市公司未来的发展前景以及市场对于其股票未来表现的预期都能影响到相关认股权证的市场价格，仅仅局限在消除套利机会上是远远不够的。本文同时还发现如果认股权证价格在短期内趋于稳定，那么将此期间内的平均价格代入Black-Scholes模型可以估算出此时市场默认的股票价格，即隐含价格。如果该价格和当前股票现价不相吻合，则短期内对于投资者而言存在相应的套利机会。 关键词：认股权证 Black-Scholes模型 市场定价 套利 Abstract Through empirical research the paper finds that the phenomenon, which the market price of call warrant is higher than the theoretical price, does not diminish after the re-open of warrant market in 2005. This cannot be completely explained by the traditional theory that the market does not function well. The paper intends that Black-Scholes Model which is widely used has some faults. Firstly, the foundation of efficient capital market and rational investors can hardly be improved in China. Secondly, as a consequence the exercise price can be possibly misrpriced. Thirdly, just as the binomial method of valuing options, Black-Scholes Model focuses on the elimination of arbitrage opportunity. Yet this is far from enough. Both prospects of company and expectations of its stock performance can affect the market price of related call warrant. On the other hand, if the price of call warrant becomes less volatile in short run, by calculating the average warrant price over the period and putting it back to Black-Scholes Model, an implied stock price can be concluded. If there is a difference between the implied price and current market price, then there exists an arbitrage opportunity in short term for investors. Key words: Call warrant Black-Scholes Model Market price Arbitrage 前言 随着金融市场的不断发展，金融衍生产品近些年来在全球发展迅速。权证是基础性的金融衍生产品之一，指能够按照特定的价格在特定的时间内购买一定数量标的股票的选择权凭证。 自从2005年6月中旬，上交所和深交所公布了《权证业务管理暂行办法》后，我国权证交易规模得以迅速扩张，截止至2006年年底，我国内地已经成为了全球最大的权证交易市场。 然而早在1992年6月我国沪市就推出了第一支权证，即大飞乐股票的配股权证。可惜的是到1996年6月因