Category: Money tips Release Date: 2007-02-06
โ?warrant listing as an expedient measure to split share structure reform program ๎?๎?right price may be short-lived ๎?from China's securities market to create (creating) a risk management mechanism ๎?provides an effective means of risk management and tools will be a landmark event.
โ?Warrants (subscription) price reflects only the expiration of the right line of the cost of holding the stock price, this price the cost of survival in the warrants during the period is always changing, it is not the embodiment of value, just under the condition of asymmetric information game, more Rather, it is a risk transactions.
โ?The value of warrants from the surface to reflect the intrinsic value and time value, in essence, by the stock's long-term pricing decisions, long-term prices will fully reflect the fundamentals of listed companies and the macro-economic sustainable development.
โ?with the Black - Scholes option pricing model (referred to as "BS" model) of the warrants pricing, should pay attention to the historical volatility reflects only the warrants are exercised at maturity the cost of stock price, implied volatility was a true reflection of the C of E intrinsic value and time value, intrinsic value of warrants not only by long-term stock price determination, but also by the exercise price of the replacement cost of the decision.
โ?From the advent of option theory to the present day, as the derivative warrants (options), the main function in the market is not to generate revenue (and associated risk), but in order to avoid risk (for risk-free return).
Shanghai Far East Securities chief financial engineering experts, Ma Zuo
Baosteel Warrants Listing 10 days straight in order to report high income, with the market set the price falls far short of most analysts, as a nine-year resumption of the warrants after the first market trading warrants, on the one hand allow the market to large or glasses, on the other hand has to be listed for follow-up warrants product and warrants a speculative market, expected to open room for imagination. Most organizations currently on the market Baosteel Warrants Market analysts generally agreed that the high prices, most investors wait to wait and see in the next period of time Baosteel shares (votes) of the price trend and the price of Baosteel's warrant implied a great deal of non - certainty. Warrants listed as split share structure reform of the expediency ๎?right price may be short-lived program ๎?๎?๎?from the creation of China's securities market to create a risk management mechanism ๎?๎?provides an effective means of risk management and tools will be a landmark event. The stock and warrants (derivatives) of the price or value of the valuation, from two kinds of investment (also called the short-term speculative) model. The first, called game mode, its meaning is the relationship between supply and demand and information asymmetry, is a non-rational expectations models, the market price from investors willing to pay the cost of the decision, it is a traditional "castle in the air" theory; The second is called assets (resources) allocation model, its connotation is equilibrium asset pricing and price information under the symmetry (ie, the model described in EMH prices reflect all information), is a rational expectations model, when the market the price implied by foam or risk, assets (resources) by low-risk (the price of undervalued) configuration.
Baosteel shares (votes), and Baoshan Iron and Steel warrants pricing analysis, rational investors (institutions and funds) to take the second model, based on the intrinsic value of stock and warrants and the asset allocation of the risk profile rather than the market price. The face of Baosteel shares (votes), and Baoshan Iron and Steel warrants price uncertainty, rational investors, depending on whether the valuation of shares and warrants has been reflected in the current price, the future value of stocks and warrants that the forward price and the intrinsic value by what factors to determine the face of the uncertainty of price movements, with traditional investment analysis approach is ineffective and effective method is uncertainty of investment theory and methods.
Baosteel Basic Value Analysis Baosteel warrants the value of the surface by the intrinsic value and time value reflects the nature of the stock by the forward price of Baosteel's decision, the forward price must fully reflect the fundamentals of listed companies and the macro-economic sustainable development. The traditional investment analysis methods (including the net present value, price-earnings ratio, book value, commercially available rate) analysis of long-term stock price of Baosteel's uncertainty, and only with the uncertainty of investment theory and models to be effective for long-term Baosteel shares value for evaluation. In recent years, I have independently developed the basic value model - listed company's financial data and information entropy model, the value of shares of listed companies from the long-term interests of the future to reset (ie, long-term assessment of the net asset) value and uncertainty factor decisions, in which the uncertainty factor is a power function, for the financial data base is calculated rates of change, power of financial data, statistics of information entropy:
= Long-term interests of long-term value of the stock replacement value ร change in the rate of information entropy
Ie Vt = Vo ร RI
Baosteel Warrants Listed ago (August 18, 2005), I Baosteel valuation of the replacement value of long-term interests of 5.2 million (per share), through the model calculation, R = 1.2916, I = 0.653, R value 1.1819, Baosteel stake in the coming year, valuation of long-term value: Vt = 5.2 Yuan ร 1.1819 = 6.145 Yuan
The listing of the company's financial data and information entropy model analysis shows that Baosteel in 2006, long-term value (the maximum estimated) to 6.145 yuan, Baoshan Iron and Steel from 2004 to 2005 the secondary market stock price volatility (price re-power) was 28%, the equilibrium price 4.8 billion or 4.8 ร (1 ยฑ 28%) = 6.14 Yuan -3.45 yuan,
From now until 2006, Baosteel shares may fluctuate between 6.14 yuan -3.45 yuan.
With the Black - Scholes pricing model (BS model for short) on Baosteel's financial cash flow and financial structure of the option value option value assessment in 2004, Baosteel 5.43 per share, operating cash flow yuan, out of 4.09 yuan, the financial fluctuations in the data rate of 13.72%, 5% cost of capital, the time for one-year period. 2004 Baosteel equity value per share was 3.36 yuan per share, debt worth 1.78 yuan, the volatility of financial data rate of 8.56%, the cost of capital and time period of the same results:
Financial cash flow value of 1.56 yuan options
Financial structure of the option value of 1.67 yuan
From 2004 to 2005, Baosteel of financial cash flow option value is 1.56 yuan, the financial structure of Baosteel option value of 1.67 yuan, two results averaged to 1.615 yuan. In accordance with Baosteel in mid-2005 financial statements show net assets per share (equity) was 3.93 yuan, Baoshan Iron and Steel in 2006 cash flow per share equity value of 3.93 yuan +1.615 million = 5.5 million (the international community generally felt that blue chip companies small fluctuations in the value option). With the previous long-term interests of difference between the replacement value of 5.2 yuan error of 2.8%. In my many years of evidence, the error is 1% -2% note the symmetry of good financial data, the error is less than 5% of financial data shows the existence of information asymmetry, the error described above is greater than 5% of a larger distortion of financial data and information.
Baosteel shares (votes) Martingale Valuation Analysis Martingale valuation model with the analysis of the secondary market, Baoshan Iron and Steel stock price equilibrium and volatility analysis, if not the right to resume Baosteel price calculation, the largest since the listing of Baosteel martingale value of 6.37 yuan and 5.69 yuan, a record price of 8.06 yuan, the model predicted Show Baosteel shares that may arise in the future lower prices as follows:
2 ร 6.37 = 4.68 yuan RMB Yuan -8.06
2 ร (6.37 Yuan +5.69 Yuan) รท 2-8.06 yuan = 4 yuan
2 ร 5.69 = 3.32 yuan RMB Yuan -8.06
Average = 4 yuan
Shares of Baoshan Iron and Steel to resume if the right calculation, Baoshan Iron and Steel shares hit the market, the largest value of martingale 4.84 yuan, a record price of 6.13 yuan, model projections indicate possible future Baosteel shares lower prices as follows:
2 ร 4.84 = 3.55 yuan RMB Yuan -6.13
Average = (4.68 yuan yuan +4 + +3.32 Yuan
3.55 yuan) / 4 = 3.89 yuan
Baosteel has been listed on the stock value of the minimum terms of martingale 4.99 yuan, the lowest price since listing (no longer right) was 3.62 yuan, model projections indicate possible future Baosteel's shares higher prices as follows:
2 ร 4.99 = 6.36 yuan RMB Yuan -3.62
Martingale valuation model analysis shows that the future of Baoshan Iron and Steel stock price equilibrium and the fluctuations in the secondary market may be from 6.36 to 3.89 yuan, compared with the information entropy model predictions from 6.14 to 3.45 yuan less errors.
Analysis of Baosteel Warrants valuation Baosteel Warrants valuation methods include: option pricing model and Monte Carlo simulation, the valuation of the warrants has two purposes, first, with the current Baosteel stock price, exercise price, historical volatility, risk-free return to the period of time to estimate the current warrant price (premium), reflecting the cost of the current level of warrants.
Second, with the forward price (Baoshan Iron and Steel stock), line the right price, implied volatility, risk-free return, maturity time to estimate the intrinsic value of warrants and the time value. Warrants the price reflects only the expiration of the right line of the cost of holding the stock (exercise price plus premium), this cost has been in existence during the period of change.
August 22, 2005, Baosteel warrants opening, corresponding to the highest price of Baosteel shares or 4.74 yuan, if the volatility value of 25%, integrated inter-bank lending market, the Stock Exchange bonds and repo market and the banking deposit rates value of 3.827%, the time one-year period, the price of Baosteel warrants theoretical value of 0.685 yuan (with SSE valuation similar). Baosteel price of share-trading reform program for sending 2.2 share plus 10 shares of a 4.5 per-line of the right of the warrants shows that warrants prior to listing, Baosteel has been ex-dividend stock price 1.22 times, then 4.5 per row of the right price should be 1.22 times the ex-dividend , that is the real exercisable at a price of 4.5 yuan / 1.22 = 3.688 yuan, the other parameters unchanged, an exercise price by 3.688 yuan, calculate the price of Baosteel Warrants shall be 1.253 yuan, August 22 daily limit to close at Baosteel Warrants for 1.263 yuan, Warrant price for investors who already hold shares of Baosteel not overvalued, but investors do not hold shares of Baosteel, warrant prices were seen as overvalued, so Baosteel share-trading reform program implementation ago, do not hold Baosteel shares 10 shares because they were unable to send investors 2.2 shares for prices, if price purchase warrants, exercisable at a price of 4.5 yuan, rather than (that is, 4.5 yuan / 1.22) 3.688 yuan, the purchase price is 4.48 million (as of September 5, 2005 closing price) Baoshan Iron and Steel shares, or purchase warrants price of 1.42 yuan (equivalent to the cost of the stock right line 5.9 million), the key depending on the intrinsic value of warrants and time value, intrinsic value of warrants and Baosteel shares forward price-related, according to Baosteel in front of the long-term stock price forecasting, calculate a value of 5.2 yuan ร 1.1819 = 6.14 Yuan. Martingale pricing model calculation of Baosteel's high stock price may be 6.36 yuan, to the right of the implied forward price volatility recovery was 29%, and the forward price is no longer the right of the implied volatility of 17%, assuming no other parameters change, when the volatility of the higher value, the warrant price of 2.11 yuan, while volatility for lower value, the warrant price of 2.05 yuan, average: ๎?2.11 Yuan +2.05 yuan ๎?รท 2 = 2.08 Yuan ๎?August 25, 2005 the maximum price of Baosteel Warrants 2.088 yuan. Therefore, the value of Baosteel Warrants have been overdrawn in advance.
September 5, 2005 deadline, the Baoshan Iron and Steel warrant closing price was 1.42 yuan, Baoshan Iron and Steel warrant prices are still high, if the above calculation, in 2006 Baosteel net assets per share reached 5.2 Yuan, at present warrant a reasonable price for Baosteel 0.7 yuan (5.2 yuan minus 4.5 per row of the right price), investors adopting a rational investment strategy should be based on purchase price of Baosteel's stock is now more secure, you may receive about 40% return rate, in order to buy at current prices into the minimal rate of return on investment warrants, therefore, warrants the price Baosteel adjusted to 0.7 yuan to buy again when it is not too late, considering the downside risks to the stock, the investment is expected to end result can only be a loss. From the advent of option theory to the present day, as the derivative warrants (options), the main function in the market is not to generate revenue (and associated risk), but in order to avoid risk (for risk-free return). Lasted fifteen years China's securities markets, investors and the market should have a more rational, it should not happen warrants that have taken place some years ago, speculation and bubbles.
