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我国权证品种重新推出以来,权证价格与标准资产定价理论严重不符的现象时有发生,其中之一是那些在最后一个交易日前已经确定没有行权价值的权证(以下称之为零值权证)仍有交易发生,其原因多被媒体归结为投资者的非理性。本文从行为博弈论的视角出发,用投资者之间缺乏理性共识(Common knowledge of rationality)来解释这一现象,并构造一种虚拟的标的资产,从而将零值权证的投机价看成一个美式看跌期权(我们称之为“非理性期权”),通过该期权的成交价格,利用二叉树模型倒算出隐含的到期时间,即投资者认为可能会有交易发生的时间,用以衡量权证市场的非理性程度。
Since the re-introduction of the warrants in China, there has been a serious discrepancy between the warrant price and the standard asset pricing theory. One of them is that those warrants (hereinafter referred to as zero-value warrants) that have been determined to have no exercise value before the last trading day are still There are transactions, the reason more than the media attributed to the irrational investors. From the perspective of behavioral game theory, this article explains the phenomenon by using the common knowledge of rationality between investors and constructs a hypothetical target asset so that the speculative value of zero-value warrants is regarded as an American The put option (which we’ll call “irrational options”) calculates the implied expiration time using the binary tree model from the transaction price of the option, which is the amount of time an investor thinks there may be a trade occurring to measure Irrational degree of warrants market.