权证价格影响因素及其定价分析
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摘要
2005年下半年,我国证券市场开始进行股权分置改革,为配合股改的顺利进行,阔别证券市场九年之久的权证又出现在我们的视野之内。2005年8月22日,伴随宝钢股改方案诞生的宝钢认购权证正式上市流通,至今已有26只权证活跃在我国证券市场之中。权证是一种类似于期权的金融衍生产品,权证对于解决股权分置改革、活跃证券市场、完善证券市场的价格发现等功能有重要的意义,而且也有希望成为独立于股改的真正的金融衍生产品在我国证券市场上交易流通,为广大投资者提供一种新的投资工具。通过一年多的运行来看,我国权证市场还存在很多问题,权证上市初期,由于其稀缺性,引来市场资金的疯狂追捧,权证上市当日都是以涨停开盘,炒新现象十分严重;市场上经常出现认购、认沽权证齐涨齐跌的反常规现象,市场定价很不理性。权证价格异常波动有其深刻的市场原因,但其中一个重要原因是投资者对权证没有正确、深入的认识,特别是对权证的定价没有充分的认识,没有一个统一的价值衡量标准来指导投资行为。所以本文主要针对权证定价及影响权证价格的因素进行深入分析,以期找到一个衡量权证价值的方法,从而能够对投资者的决策起到正确的指导作用。
本文首先介绍了权证的基础知识,然后概述了权证的发展历史及其在我国发展的历史和现状,在此基础之上,以Black-Scholes定价模型为主要理论工具,选取宝钢、万科权证及其正股的数据作样本,对市场定价的合理性和理论定价有效性进行了实证研究。本文应用历史波动率和隐含波动率分别计算了权证的理论价格;通过格兰因因果检验和偏离度分析,检验了市场定价的合理性;再将理论价格与实际价格相比较,分析市场价格和理论价格的差异;最后,分析价格差异和波动的原因,并提出相应的政策建议。结果表明,万科权证的市场价格走势基本符合理论意义,而宝钢认购权证走势与宝钢股份价格走势相背离,且不受正股价格的影响,两者不存在因果关系,说明宝钢权证的市场定位很不合理;利用历史波动率估计的理论价格与市场价格存在巨大的偏差,利用隐含波动率估计的权证理论价格与相应权证的市场价格偏差较小,这主要是因为隐含波动率充分反应了当前市场的信息及供求状况,是对市场信息的较充分的反应,所以对未来的价格有一个相对正确的估计,对投资者有一定的指导意义。
在我国衍生产品市场还不成熟的条件下,尝试着对权证产品定价进行研究对我国权证及其它衍生品市场的发展有一定的实用价值。针对在定价研究过程中发现的问题,我们认为,我国应该发展真正的期权市场,通过有实力的中介机构推出真正的期权产品,从而更有效地发展衍生产品市场,或者尽可能的扩大市场规模,提高市场操纵的成本,并且应尽快在市场上引入卖空机制,创造套利机制发挥作用所需的条件,才能使金融衍生产品的价格回归到其合理价格上。
本文共分四章,文章结构安排如下:第一章为导论部分,主要阐述了本文的选题背景、研究目的,并对权证的基础知识做了简要概述;第二章从三个方面分析了影响权证价格的因素,在综述前人对权证定价研究成果的基础上,选取了Black-Scholes模型作为本文的主要理论工具,提出以隐含波动率对模型进行修正来估计权证的理论价格;第三章选取宝钢JBT1和万科HRP1相关数据作为样本,分析了这两只权证市场价格走势的合理性,并对模型估计价格与实际市场价格做了差异性分析;第四章为文章总结。
本文主要内容如下:
第1章导论简要叙述了权证的基本概念、分类、发展历史。权证就是一项权利的证券化,投资人在支付权利金后有权于约定的期间或到期日,以约定的价格认购或沽出权证的标的资产。一份权证主要由五大要素构成:标的资产、各相关主体、权证的价格及价值、权证的行使、权证的特别条款。按不同的分类标准权证可分为:美式权证、欧式权证和百慕大式权证、认购权证和认沽权证、认股权证和备兑权证、特种认股证等。权证产品可以活跃市场交易,促进证券市场功能的发挥;可为投资者提供全新的投资和避险工具;也可为境内的券商开拓新的盈利模式,提高竞争力。我国在股权分置改革的过程中推出的权证,为保证股改的顺利进行提供了一种有效的金融工具。
第2章权证定价理论研究权证价格的影响因素及定价理论研究,权证价格的影响因素是研究权证定价的基础,本章从影响权证标的证券价格的变动因素、权证的自身因素、市场因素三个方面详细分析了影响权证价格的因素。早在1900年,法国数学家路易斯巴舍利耶就运用布郎(Brown)运动数学理论推导出了权证的定价公式,在其后的半个多世纪里,权证定价理论上的多数发展集中于特定的经济计量模型。直到1973,Black和Scholes发表了他们关于期权定价的开拓性论文《期权和公司债务的定价》,在文中提出了无套利的均衡期权定价模型——Black-Scholes模型,从最简单的股票期权即欧式看涨期权入手,得出了欧式看涨期权的B-S公式,然后Black在B-S公式的基础上推导出权证的定价公式。此后的理论研究大部分都是在Black-Scholes模型基础上的一些修正。所以本文选取Black-Scholes模型作为研究的理论基础。
第3章权证定价实证研究,本章在上述理论研究的基础上,选取宝钢JBT1和万科HRP1相关数据为样本,对权证定价进行了实证研究。通过格兰因因果检验和偏离度法分析了权证市场定价的合理性和模型定价的效果。得出结论认为万科权证在市场中的价格走势基本符合理论意义,而宝钢权证走势与宝钢股份价格走势相背离,且不受正股价格的影响,说明其市场定位很不合理。通过模型定价效果分析我们得出本文的主要结论,利用隐含波动率计算的权证价格反应了当前市场对权证产品的供求状况,对市场价格有较好预测效果。
第4章是本文的一个总结
本文的主要贡献及创新之处:借鉴前人的研究成果,提出应用隐含波动率估计权证的价格,因为隐含波动率反应了当前市场的信息,是对当前市场状况的一个真实反应,所以应用隐含波动率得出的理论价格对当前投资有一定的指导意义,可以作为权证投资的一个参考。
In the second half year of 2005, a reform to separate equity and warrant was launched in the security market of China, during which the warrant came again in front of us after 9-year reclusion. This reform was launched to facilitate equity reform. On August 22, 2005, Baogang warrant, following Baogang Steel Corporation’s equity reform plan, came into circulation. Up until now, there have already been 26 warrant existing in Chinese security market. Similar to the option, warrant is a type of financial derivative that is of great significance to the equitywarrantseparation reform, activating stock market and improving stock market price system. Thus warrantwas likely to become an real financial independent from equity reform. China’s warrantmarket is problematic through reviewing its running over an period of more than one year. In the initial period, as a result of its scarcity, great amount of capital chased warrant in an insensible manner. Abnormality like that the prices of warrant rise and fall at the same time appears with great frequency, leading to irrational marketing prices. The unstable prices of warranthas its profound market reason, but an important reason is that warrant,particularly the pricing of warranthas not been fully understood by investors and no unified benchmark is used to guide their investment. Therefore this article made an in-depth analysis on warrant pricing and the factors affecting the pricing, for the purpose of finding a way to evaluate warrant,thus investors can make reasonable decision.
This article first introduced elementary knowledge on warrant, then has outlined the history of warrant and the its history and the present development in China, based on which empirical research was conducted into the rationality of market pricing and effectiveness of theory pricing with the Black-Scholes pricing model as theory tool and selected sample data from Baogang Steel Corporation and Wanke warrant。Historical undulation and invisible undulation were applied to calculate theory price of warrant;rationality of market pricing was tested through Granger consequence test and analysis of departure; then theory pricing was compared with market pricing to analyze the difference between theory price and real marketing value. Finally, suggestions are put forward based upon the analysis of price difference and the reason of undulation. The result demonstrated that the market price of Wanke’swarrant basically conformed to the theory pricing, whereas Baogang Steel Corporation’s warrant subscribing went away from its share price trend and independent from the influence of The stock. There was no causal relation between Baogang Steel Corporation’s warrantsubscription and share price which indicated the mistakes in Baogang’s market position; theory price worked out by using the historical undulation rate deviated greatly from the existing market price, while the theory price calculated by using connotativeundulation rate was much closer to the corresponding market price. This is mainly because the connotative undulation has fully mirrored the current market information and the supply and demand condition, therefore it has a relatively correct estimate of the future price, from which certain guidelines could be drew for the investors.
The financial derivative market in China has not grown to maturity in China. Under such circumstances, make a tentative research into the pricing of warrantproducts would have some practical value for the development of warrantand other financial derivative market in China. As to the problems detected in the research, we hold that real option market should be developed in China and thus derivative market could be developed more effectively either through real option products introduced by powerful agencies, or through market expansion and rise in market operation cost. We should also bring the mechanism of oversell to the market to establish necessary conditions for arbitrage. Only so can the price of the financial derivative return to rationality.
本文首先介绍了权证的基础知识,然后概述了权证的发展历史及其在我国发展的历史和现状,在此基础之上,以Black-Scholes定价模型为主要理论工具,选取宝钢、万科权证及其正股的数据作样本,对市场定价的合理性和理论定价有效性进行了实证研究。本文应用历史波动率和隐含波动率分别计算了权证的理论价格;通过格兰因因果检验和偏离度分析,检验了市场定价的合理性;再将理论价格与实际价格相比较,分析市场价格和理论价格的差异;最后,分析价格差异和波动的原因,并提出相应的政策建议。结果表明,万科权证的市场价格走势基本符合理论意义,而宝钢认购权证走势与宝钢股份价格走势相背离,且不受正股价格的影响,两者不存在因果关系,说明宝钢权证的市场定位很不合理;利用历史波动率估计的理论价格与市场价格存在巨大的偏差,利用隐含波动率估计的权证理论价格与相应权证的市场价格偏差较小,这主要是因为隐含波动率充分反应了当前市场的信息及供求状况,是对市场信息的较充分的反应,所以对未来的价格有一个相对正确的估计,对投资者有一定的指导意义。
在我国衍生产品市场还不成熟的条件下,尝试着对权证产品定价进行研究对我国权证及其它衍生品市场的发展有一定的实用价值。针对在定价研究过程中发现的问题,我们认为,我国应该发展真正的期权市场,通过有实力的中介机构推出真正的期权产品,从而更有效地发展衍生产品市场,或者尽可能的扩大市场规模,提高市场操纵的成本,并且应尽快在市场上引入卖空机制,创造套利机制发挥作用所需的条件,才能使金融衍生产品的价格回归到其合理价格上。
本文共分四章,文章结构安排如下:第一章为导论部分,主要阐述了本文的选题背景、研究目的,并对权证的基础知识做了简要概述;第二章从三个方面分析了影响权证价格的因素,在综述前人对权证定价研究成果的基础上,选取了Black-Scholes模型作为本文的主要理论工具,提出以隐含波动率对模型进行修正来估计权证的理论价格;第三章选取宝钢JBT1和万科HRP1相关数据作为样本,分析了这两只权证市场价格走势的合理性,并对模型估计价格与实际市场价格做了差异性分析;第四章为文章总结。
本文主要内容如下:
第1章导论简要叙述了权证的基本概念、分类、发展历史。权证就是一项权利的证券化,投资人在支付权利金后有权于约定的期间或到期日,以约定的价格认购或沽出权证的标的资产。一份权证主要由五大要素构成:标的资产、各相关主体、权证的价格及价值、权证的行使、权证的特别条款。按不同的分类标准权证可分为:美式权证、欧式权证和百慕大式权证、认购权证和认沽权证、认股权证和备兑权证、特种认股证等。权证产品可以活跃市场交易,促进证券市场功能的发挥;可为投资者提供全新的投资和避险工具;也可为境内的券商开拓新的盈利模式,提高竞争力。我国在股权分置改革的过程中推出的权证,为保证股改的顺利进行提供了一种有效的金融工具。
第2章权证定价理论研究权证价格的影响因素及定价理论研究,权证价格的影响因素是研究权证定价的基础,本章从影响权证标的证券价格的变动因素、权证的自身因素、市场因素三个方面详细分析了影响权证价格的因素。早在1900年,法国数学家路易斯巴舍利耶就运用布郎(Brown)运动数学理论推导出了权证的定价公式,在其后的半个多世纪里,权证定价理论上的多数发展集中于特定的经济计量模型。直到1973,Black和Scholes发表了他们关于期权定价的开拓性论文《期权和公司债务的定价》,在文中提出了无套利的均衡期权定价模型——Black-Scholes模型,从最简单的股票期权即欧式看涨期权入手,得出了欧式看涨期权的B-S公式,然后Black在B-S公式的基础上推导出权证的定价公式。此后的理论研究大部分都是在Black-Scholes模型基础上的一些修正。所以本文选取Black-Scholes模型作为研究的理论基础。
第3章权证定价实证研究,本章在上述理论研究的基础上,选取宝钢JBT1和万科HRP1相关数据为样本,对权证定价进行了实证研究。通过格兰因因果检验和偏离度法分析了权证市场定价的合理性和模型定价的效果。得出结论认为万科权证在市场中的价格走势基本符合理论意义,而宝钢权证走势与宝钢股份价格走势相背离,且不受正股价格的影响,说明其市场定位很不合理。通过模型定价效果分析我们得出本文的主要结论,利用隐含波动率计算的权证价格反应了当前市场对权证产品的供求状况,对市场价格有较好预测效果。
第4章是本文的一个总结
本文的主要贡献及创新之处:借鉴前人的研究成果,提出应用隐含波动率估计权证的价格,因为隐含波动率反应了当前市场的信息,是对当前市场状况的一个真实反应,所以应用隐含波动率得出的理论价格对当前投资有一定的指导意义,可以作为权证投资的一个参考。
In the second half year of 2005, a reform to separate equity and warrant was launched in the security market of China, during which the warrant came again in front of us after 9-year reclusion. This reform was launched to facilitate equity reform. On August 22, 2005, Baogang warrant, following Baogang Steel Corporation’s equity reform plan, came into circulation. Up until now, there have already been 26 warrant existing in Chinese security market. Similar to the option, warrant is a type of financial derivative that is of great significance to the equitywarrantseparation reform, activating stock market and improving stock market price system. Thus warrantwas likely to become an real financial independent from equity reform. China’s warrantmarket is problematic through reviewing its running over an period of more than one year. In the initial period, as a result of its scarcity, great amount of capital chased warrant in an insensible manner. Abnormality like that the prices of warrant rise and fall at the same time appears with great frequency, leading to irrational marketing prices. The unstable prices of warranthas its profound market reason, but an important reason is that warrant,particularly the pricing of warranthas not been fully understood by investors and no unified benchmark is used to guide their investment. Therefore this article made an in-depth analysis on warrant pricing and the factors affecting the pricing, for the purpose of finding a way to evaluate warrant,thus investors can make reasonable decision.
This article first introduced elementary knowledge on warrant, then has outlined the history of warrant and the its history and the present development in China, based on which empirical research was conducted into the rationality of market pricing and effectiveness of theory pricing with the Black-Scholes pricing model as theory tool and selected sample data from Baogang Steel Corporation and Wanke warrant。Historical undulation and invisible undulation were applied to calculate theory price of warrant;rationality of market pricing was tested through Granger consequence test and analysis of departure; then theory pricing was compared with market pricing to analyze the difference between theory price and real marketing value. Finally, suggestions are put forward based upon the analysis of price difference and the reason of undulation. The result demonstrated that the market price of Wanke’swarrant basically conformed to the theory pricing, whereas Baogang Steel Corporation’s warrant subscribing went away from its share price trend and independent from the influence of The stock. There was no causal relation between Baogang Steel Corporation’s warrantsubscription and share price which indicated the mistakes in Baogang’s market position; theory price worked out by using the historical undulation rate deviated greatly from the existing market price, while the theory price calculated by using connotativeundulation rate was much closer to the corresponding market price. This is mainly because the connotative undulation has fully mirrored the current market information and the supply and demand condition, therefore it has a relatively correct estimate of the future price, from which certain guidelines could be drew for the investors.
The financial derivative market in China has not grown to maturity in China. Under such circumstances, make a tentative research into the pricing of warrantproducts would have some practical value for the development of warrantand other financial derivative market in China. As to the problems detected in the research, we hold that real option market should be developed in China and thus derivative market could be developed more effectively either through real option products introduced by powerful agencies, or through market expansion and rise in market operation cost. We should also bring the mechanism of oversell to the market to establish necessary conditions for arbitrage. Only so can the price of the financial derivative return to rationality.
引文
1盛希泰,《权证全攻略》, 广东经济出版社,2005。
2本文的权证如无特别说明皆指以股票为标的的权证。
3杨正洪,认股权证及其在国内证券市场的应用(上),证券市场导报,2003. 03。
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【15】 黄宇宏,张宗成,我国权证定价过高的原因分析,技术经济与管理研究,2007.1
【16】 陈明亮,修正 Black-Scholes 权证定价理论假设条件的数值方法研究,统计与决策,2006.1
【17】 杨盨华,李国正,规范建立和发展我国的权证市场,金融理论与实践,2006.1
【18】 李 励,权证产品及其投资运用探析,南方经济,2005.11
【19】 黄 盛,认购权证的定价及其在股改中的应用研究,特区经济,2005.11
【20】 王志诚,何树红,权证的定价因素,华东经济管理,2002.6
【21】 张贞智,韩 莉,权证及其应用探析,金融理论与实践,2004.7
【22】 冯守仑,我国上市公司权证的理论价值探讨,内蒙古农业大学学报,2005.3
【23】 陈明亮,修正 Black-Scholes 权证定价理论-假设条件的数值方法研究,统计与决策,2006.1
【24】 周 延,认股权证的定价模型及其应用,预测,1998.5
【25】 HIROTO KUWAHARA AND TERRY A.MARSH , Why Doesn't the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds?,International Review of Finance,2000.3
【26】 ANDREW H . Y. CHEN,A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET,The Journal of Finance
【27】 CHRIS VELD AND ADRI VERBOVEN,AN EMPIRICAL ANALYSIS OF WARRANT PRICES VERSUS LONG-TERM CALL OPTION PRICES,1995.12
【28】 CHRIS VELD,Warrant pricing: a review of empirical research,The European Journal of Finance,2003.9
【29】 DICK A.LEABO AND RICHARD J.ROGALSKI , WARRANT PRICE MOVEMENTS AND THE EFFICIENT MARKET MODEL , THE JOURNAL OF FINANCE,1975.3
【30】 Andrey D. Ukhov , WARRANT PRICING USING OBSERVABLE VARIABLES,The Journal of Financial Research,2004
2本文的权证如无特别说明皆指以股票为标的的权证。
3杨正洪,认股权证及其在国内证券市场的应用(上),证券市场导报,2003. 03。
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【10】 李颂慈,窝轮大时代:解读认股权证,上海交通大学出版社,2005
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【12】 汪中秋,朱雪松,王都发, 权证知识与实践,经济管理出版社,2006
【13】 沈媛媛,颜小军,权证定价理论探讨,财经界,2006.10 下半月刊
【14】 吴建环,赵君丽,谈权证分类及定价问题,财会月刊,2006.12
【15】 黄宇宏,张宗成,我国权证定价过高的原因分析,技术经济与管理研究,2007.1
【16】 陈明亮,修正 Black-Scholes 权证定价理论假设条件的数值方法研究,统计与决策,2006.1
【17】 杨盨华,李国正,规范建立和发展我国的权证市场,金融理论与实践,2006.1
【18】 李 励,权证产品及其投资运用探析,南方经济,2005.11
【19】 黄 盛,认购权证的定价及其在股改中的应用研究,特区经济,2005.11
【20】 王志诚,何树红,权证的定价因素,华东经济管理,2002.6
【21】 张贞智,韩 莉,权证及其应用探析,金融理论与实践,2004.7
【22】 冯守仑,我国上市公司权证的理论价值探讨,内蒙古农业大学学报,2005.3
【23】 陈明亮,修正 Black-Scholes 权证定价理论-假设条件的数值方法研究,统计与决策,2006.1
【24】 周 延,认股权证的定价模型及其应用,预测,1998.5
【25】 HIROTO KUWAHARA AND TERRY A.MARSH , Why Doesn't the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds?,International Review of Finance,2000.3
【26】 ANDREW H . Y. CHEN,A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET,The Journal of Finance
【27】 CHRIS VELD AND ADRI VERBOVEN,AN EMPIRICAL ANALYSIS OF WARRANT PRICES VERSUS LONG-TERM CALL OPTION PRICES,1995.12
【28】 CHRIS VELD,Warrant pricing: a review of empirical research,The European Journal of Finance,2003.9
【29】 DICK A.LEABO AND RICHARD J.ROGALSKI , WARRANT PRICE MOVEMENTS AND THE EFFICIENT MARKET MODEL , THE JOURNAL OF FINANCE,1975.3
【30】 Andrey D. Ukhov , WARRANT PRICING USING OBSERVABLE VARIABLES,The Journal of Financial Research,2004