The Comparison Study On The Theory-price And The Market-price Of The Warrant Under The Existing Shareholding Structure In China

Warrants of China's stock market is the emergence of split share structure reform, as well as the product of financial innovation. Share reform gave birth to a wide range of innovative securities markets, including the price paid, share repurchases, stock holdings of management incentives and so on,but the most dramatic that the warrants tools, actually it is an options. warrants appeared in China, the most obvious implication of innovation lies in the fact that the subject of warrants and stock to the investment portfolio of assets to provide stop-loss function.As early as 1900, warrants had ever been issued by companies in European continent.In April ,1970, the first piece of warrant appeared on New York stock market in America, and then, it developed dramatically. Now, warrant as one of the financial innovation tools is, day by day, playing an important part on the international capital market.Relatively speaking, the development of our country warrants much later in Chinese stock market. In the latter year of 2005, warrant was just introduced to our stock market during the dividing stock structure reform. But, because of the market speculation behavior, warrant price was once seriously deviate form its actual value. Therefore, how to price warrant reasonably in China and how to direct investors to evaluate warrant correctly, is becoming competing theoretical study. However, due to the introduction of warrants is not a long time in China, the pricing system of warrants is not much.And there are only a few systematic studies on warrant pricing, so primary researches on warrant are still focused on qualitative analysis and the relevant pricing theory remains lacking.This paper was just based on China's stock market, the reality of this situation,with the logistics industry in China's five warrants ( ShenGao 580014, GanYue 580017, ZhongYuan 580018, ShangGang 580,020, Rizhao 580015) as examples, taking into account China's specific equity structure, will be internationally Black-Scholes option pricing model applied to explore the pricing of our warrants. The article compared pricing theory and market prices results with the market price and exhaustively analyzed the difference, then, conclusion is that our national warrants were all high- evaluated. And the conclusion has some valuable meanings for the investment decision of investors and for the pricing decision of issuers.This paper divides into six parts, the main structure is as below: The first part is introduction,in which introduced research background and significance, methods of thinking, as well as literature review both at home and abroad, as well as the novelty of this article.The second part is the basic knowledge of the warrants for a more systematic and comprehensive overview, including the concepts and basic elements of warrant, characteristics of the classification and development at home and abroad.The third part mainly discusses the pricing theory of warrants. In this part, the article elaborate on the development of the pricing theory and the warrant pricing formula based on B-S model.The forth part discusses the specialties of Chinese stock structure and their influences on our capital stock warrant pricing process; meanwhile, the part also briefly introduces the dividing stock structure reform . In this part, the article also carry out amendments to the exploratory of China's ownership structure and the special type of equity warrants .The fifth part is the key part of this article. This part tries to the use of this section with a revised pricing formula of China's logistics industry, the warrant 5 ( ShenGao 580014, GanYue 580017, ZhongYuan 580018, ShangGang 580,020, Rizhao 580015) for the Empirical Study , First of all option pricing model in accordance with good samples collected theoretical price of the warrants, and then proceed to the market price and theoretical price. Make difference between the analysis and regression analysis, fitting, and warrants of China's stock market price and the market price difference between the theoretical causes for further analysis.At last,we reviewed the full text.