69th Seminar on Finance and Accounting
November 17, 2016
Topic: Why Are Derivative Warrants More Expensive Than Options? An Empirical Study
Presenter:Chu Zhang, Associate Professor, Hong Kong University of Science and Technology |
Time: April 18, 2008(Friday)3:00—4:30 PM
Venue: Room 501, Jiageng Bld 2
Chair: Xinrong Qiang, associate professor in accounting, IFAS
Abstract:
Derivative warrants typically have prices higher than those otherwise identical options.
Using data from the
di_erence reects the liquidity premium of derivative warrants over options. Newly
issued derivative warrants are much more liquid than options of similar terms. As a
result, longer-term derivative warrants are preferred by traders who trade frequently.
In spite of higher prices, short-term returns on longer-term derivative warrants are, in
fact, slightly higher than the hypothetical short-term returns on options. On the other
hand, derivative warrants near expiration are less liquid, more thinly traded, and no
more expensive than options of similar terms.
Download: paper
Presenter Introduction:
Dr. Chu Zhang obtained his MBA and PhD degrees in finance from the