The Chinese warrant bubble: A fundamental analysis
基于一个纳入卖空和融资融券约束的期权定价框架，研究了权证价格的信息含量，发现权证价格偏离主要由标的股票估值驱动，而非纯泡沫。
Abstract We investigate the information content in Chinese warrant prices based on an option pricing framework that incorporates short‐selling and margin‐trading constraints in the underlying stock market. We show that Chinese warrant prices can be explained under this pricing framework. On the basis of this new model, we develop a price deviation measure to quantify stock market investors' unobserved demand for short selling or margin trading due to market constraints. We find that warrant‐price deviations are driven by underlying stock valuation to a great extent. Chinese warrant prices, save for the time around expiration dates, are better characterized as derivatives than as pure bubbles.