Why Are Derivative Warrants More Expensive Than Options? An Empirical Study
利用香港市场2002-2007年数据，发现衍生权证比同类期权更贵是因为其流动性溢价，频繁交易的投资者偏好流动性更高的长期权证，且短期回报更高。
Abstract Derivative warrants typically have higher prices than do otherwise identical options. Using data from the Hong Kong market during 2002–2007, we show that the price difference reflects the liquidity premium of derivative warrants over options. Newly issued derivative warrants are much more liquid than options with similar terms. As a result, long-term derivative warrants are preferred by traders who trade frequently. In spite of their higher prices, short-term returns on long-term derivative warrants are, in fact, higher than the hypothetical short-term returns on options. The differences in price and liquidity measures decline as the contracts get closer to maturity.