财务与会计学术论坛第六十九期

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题目: Why Are Derivative Warrants More Expensive Than Options? An Empirical Study 演讲者:Chu Zhang, Associate Professor, Hong Kong University of Science and Technology 时间: 2008年4月18日(星期五)3:00—4:30 PM 地点: 嘉庚二513 参加者: 对财务研究有兴趣的广大师生 主持人: 强欣荣老师 论文摘要: Derivative warrants typically have prices higher than those otherwise identical options. Using data from the Hong Kong market during 2002-2006, we show that this di_erence reects the liquidity premium of derivative warrants over options. Newly issued derivative warrants are much more liquid than options of similar terms. As a result, longer-term derivative warrants are preferred by traders who trade frequently. In spite of higher prices, short-term returns on longer-term derivative warrants are, in fact, slightly higher than the hypothetical short-term returns on options. On the other hand, derivative warrants near expiration are less liquid, more thinly traded, and no more expensive than options of similar terms. 论文作者简介: Dr. Chu Zhang obtained his MBA and PhD degrees in finance from the University of Chicago. His PhD thesis is on the term structure of interest rates. Dr. Zhang taught investments and corporate finance at undergraduate, MBA and PhD levels at the University of Alberta in Canada for six years before joining HKUST. At HKUST, he has been teaching undergraduate and master-of-science courses on fixed-income securities. He also engaged in executive teaching in the past years. Dr. Zhang has a wide range of research interest in financial markets and corporate decisions. He has published in various finance journals such as the Journal of Finance, the Journal of Financial Economics and Journal of Business.