泡沫时期中国权证产品收益率的可预测性研究  

Research of China document product income rate's predicative research in bubble time

作　　者：张麒[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《特区经济》2006年第9期135-136,共2页Special Zone Economy

摘　　要：本文运用Black-Scholes公式计算权证的理论价格并和权证实际价格比较,发现权证的实际价格严重偏离理论价格,权证产品处于泡沫时期。通过Campbell和Yogo(2005)提出的Bonferroni检验方法,我们发现两个新的预测变量———权证与标的股票的交易金额比值和换手率比值,对于权证产品的收益率具有预测能力。We calculate the China warrants price in theory by Black - Scholes formula, and compare it with the actual price, and find that the actual price departs from the price in theory, and China warrants are in the bubble period. With the Bonferroni method of Campbell and Yogo（2005）, we find that two new variables trade value ratio and turnover ratio of warrants to underlying stock have the predictive power for the return of warrants.

关 键 词：资产泡沫 收益率的可预测性 权证 

分 类 号：F832.51[经济管理—金融学]