主讲人介绍：朱英姿,清华大学经济管理学院副教授、美国纽约大学金融学博士。朱教授2003年加入清华大学经济管理学院，任金融学副教授至今。加入清华之前，朱教授曾在美国花旗集团（纽约）工作六年，历任风险管理和定量研究主管。朱教授的研究领域包括资产定价、金融衍生品、金融市场等。朱教授曾经在《Journal of Financial Economics》，《Journal of Financial and Quantitative Analysis》，《Journal of Futures Markets》， 《Financial Analysts Journal》，《International Journal of Theoretical and Applied Finance》，《Applied Mathematical Finance》等国际期刊，以及《金融研究》，《投资研究》等中文核心期刊发表十余篇论文，著有《创建竞争优势》（经济管理出版社），并任《投资研究》编委。
时间：2014年9月25日 星期四15:30-17:00
TOPIC: Chinese Warrant Bubble: Is it There?
Abstract:Based on a rational option pricing framework that incorporatesshort-selling and margin trading constraints in the underlying stock market, we present evidencethat the Chinese warrant prices, which are unanimously attributed as bubbles in previousliterature, can be explained by the new option pricing model.Based on the new model, we develop a warrant price deviation measure to quantify the unobserveddemand for short-selling or margin trading due to underlying stock market constraints.We then empirically show that the warrant price deviation is mainlydriven by the underlying stock valuation and trading volume, controllingfor variables determined by all other trading motivations proposed in the literature. We conclude thatthe Chinese warrant market is better characterized by derivatives helping to complete the market ratherthan a pure bubble detached from underlying asset.
Speaker:Yingzhi Zhu, Associate Professor at Tsinghua University, PhD in Finance, New York University. Professor Zhu’s research fields include asset pricing, financial derivatives, financial markets, among others. Professor is an influential economists. She has published papers at Jouranl of Financial Economics, Journal of Financial and Quantitative Analysis, Journal Futures Markets, among many others.
Time: September 25, 2014, Thursday, 15:30-17:00
Place: Room 604, Academic Hall
Organizer: The Chinese Academy of Finance and Development
