| Warrants attached to bonds in developed financial markets have already gone through, developed and thrived, declined in the course of history. From abroad, when the primary market is not perfect, as the WBs is able to reduce the financing costs, investors also enjoy a premium to obtain warrants over the proceeds; in the mature financial markets, WBs exposed their lack of warrants, they were gradually replaced by other financial products. Our market belongs to the emerging financial markets, financial products are not rich enough, and WBs is still in the initial stage of development, so we will encourage qualified listed companies to issue WBs.In May 2006, the Chinese Securities Regulatory Commission permitted refinancing as WBs. By the end of June 2008, 19 listed companies have issued WBs, financing a total of about 84 billion RMB, which has shown a supply and demand in the booming market. But the prosperity built on the main stage of the market warrants irrational speculation; market prices do not reflect the value of the WBs and the warrants. If things continue as this way, the healthy and stable capital market development will not be conducive.On June 19, 2008, the Baoshan Iron & Steel CO., LTD. issued a notice 10 billion RMB warrants bonds.In October 2007, on Chinese stock markets, most of the index fell into bear market substantial; all investors lost much, which could enhance the awareness of the risks of such background. This article will be carried out on the WBs of the Baoshan, with a view to seeking in the new market environment.This paper is composition of five parts. The first chapter is part of the introduction. First of all, we define some related subjects, and then review the WBs in overseas markets, and analyze the current situation in China, explain the significance of the research in this article, is the last summary of foreign literature.The second chapter is the theoretical part of the article. First we outline the pricing theories and methods, and then focus on the option pricing model. This article mainly due to the pricing method is based on consideration of the dilution effect, and the option pricing model is based on the Black-Scholes option pricing model, so it made some fairly detailed, and deduced the sensitivity of the analysis of the number of parameters. Other pricing models are introduced too.The third chapter is the core of the article. First is a brief analysis of the main provisions of Banshan's WBs, and then research the pure of the bonds. Selecting an exact discount rate is the key. This article has been selected the yield to maturity in the Shanghai Stock Exchange with the same credit rating of bonds. The emphasis and difficulty lie in the price of the warrants, this chapter sets out selected to consider the dilution effect of option pricing model B-S reasons discussed two important parameters of the model in (volatility and risk-free rate) to determine the final price of the warrants and to make a sensitivity analysis.The forth chapter of this article is the part of the empirical analysis. The WBs of Baoshan on the July 4, 2008 began listing on the Shanghai Stock Exchange. The chapter analyzes the theoretical value based on selected on July 4 to August 29, a total of 41 trading days in the light of market data, which is tested in bonds and warrants with the theoretical value of the difference to the market price. The results showed that the bond part is a very good price. At last, we analyze the possible causes.The fifth part is some conclusions based on this paper. The main conclusions are: the bond market price is very close to the theoretical value; this is rational market participants; warrants'market price is much higher than the theoretical value, speculation still exists. In order to strengthen the system, enrich financial products, standardize the investment, we give some advisories to enhance investor education. |
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