权证上市对标的证券收益的影响——基于投资者异质信念的解释  

The Effect of Warrant Listing on the price of the Underlying Stock

作　　者：周竟东[1] 谢赤[1] 欧辉生[1] 赵亦军[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《证券市场导报》2011年第5期67-71,共5页Securities Market Herald

基　　金：国家软科学研究计划项目(2010GXS5B141);教育部博士点专项科研基金资助项目(20070532091);教育部人文社会科学规划项目(09YJC630063)

摘　　要：本文从投资者异质信念的视角解释权证上市前后标的证券的超额收益率。研究结果发现,投资者异质作为一种风险性因素在权证上市前后显著影响标的证券的收益。面对权证上市的信息,投资者异质信念越强,投资风险越大,要求的风险补偿越高,标的证券的收益也越高。This paper analyzes the abnormal returns of underlying stock before and after warrant listing from the perspective of investors heterogeneity.The results show that investors heterogeneity as a risk factor carries explanatory power for cumulative abnormal returns of underlying stock before and after warrant listing.Facing the information of warrant listing,the stronger heterogeneity investors have,the higher risks investors confront,and the risk compensation required by investors along with the returns of underlying stock is higher.

关 键 词：投资者异质 权证上市 标的证券 

分 类 号：F830.9[经济管理—金融学]