Under the background of Chinese split share structure reform, the introduction and expiration of warrants are explained and some variables are selected to measure the effects. Some hypotheses are put forward and the market model of event study analysis is established. It is shown that underlying stock associated with warrants have positive abnormal return prior to the introduction of warrants, which is attributed to the hedging effect, price manipulation and information effect. The introduction of warrants leads to a significant negative price effect. A slightly negative price effect of the underlying stock associated with call warrants is found after introduction and just the reverse with respect to put warrants. No effect is found on the expiration day.
鲁炜, 卢宝. 权证发行上市与到期效应实证研究[J]. J4, 2009, 6(7): 978-.
LU Wei, LU Bao. An Empirical Analysis of the Impact of Warrants Introduction and Expiration. J4, 2009, 6(7): 978-.