Category: Money tips Release Date: 2006-05-14
Hai Tong Securities ------ does not appear too much speculation, G Baosteel Friday's close at 4.62 yuan, according to the corresponding parameters of our approach, using B - S model estimates a Baosteel Warrants current theoretical value of 0.713 yuan, taking into account fluctuations in the rate of Baoshan Iron and Steel shares, risk-free interest rates and other parameters to take value range, the theoretical value of warrants should be between 0.69 to 0.74 yuan.
Estimates found that Baosteel warrants D elta value of 0.621, that is a dime Change Baosteel Baosteel Warrants Change is about 6 points; Baosteel Warrants elastic coefficient of 4.027, that is, 1% Change Baosteel Baosteel Warrants Change about 4%. Can be seen that the volatility of the stock warrants than the corresponding larger number, is a high-risk investment products.
Judging from the current situation, Baosteel Warrants the purpose of market participants are likely to mainly based on speculation, because the current market does not allow short selling, hedging and arbitrage function warrants be greatly limited. Baosteel Warrants whether there will be the situation of excessive speculation? We believe that will not be too much speculation.
Shanghai Stock Exchange has made it clear that the deal would warrant strict supervision of Baosteel. "Warrants Interim Measures," also stipulates that, once the secondary market trading price of warrants abnormal fluctuations, SSE suspended its trading right at any time. We can be so understanding, regulators will not allow today's warrants market wild speculation, especially at the forefront of Baosteel warrants.
We forecast that in the initial warrant listed Baosteel Warrants will appear Xianyanghouyi of the stock market, after which its price will fluctuate around the theoretical value.
Is worth mentioning that the simple application of B-S model, and market factors are not well characterized, if you do not have the expertise, it is difficult to grasp the various parameters. Fluctuations in the rate of the stock warrants several times, high risk, therefore, it is recommended do not have the expertise and risk-bearing capacity is relatively small investors cautiously Baosteel warrants speculation.
Shenyin ------ participants to the main investor risk appetite Baosteel Warrants is an implementation of the adjustable value and its stock price by specific information on the subject of the impact of European covered warrants (Baoshan Iron and Steel Group is committed to holdings within a certain period of time Baosteel A shares). B - S model of Baoshan Iron and Steel Group, the promise can not be considered, so the result is significantly lower price, we believe that Monte Carlo simulation method is a more appropriate pricing model.
According to our studies suggest that iron and steel industry, researchers, stocks, stock prices generally change after the end of Baoshan Iron and Steel in the 4.4 - 5.2 yuan. Estimation results show that 30% of the volatility level, corresponding to 4.4 - 5.2 yuan price Baosteel Baosteel Warrants valued at 0.63 - 1.06 per hour, 4.62 Yuan Baoshan Iron and Steel shares, warrants worth 0.73 yuan, or actual leverage ratio of 3.2 times (up 1% of the shares, warrants rose about 3.2%), premium rate was 13.2% (holding warrants expire, the stock rose more than 13.2%, investors will not lose money); shares rose 0.10 yuan, Warrants value increased by 0.05 yuan; fluctuations in the rate of rise of 1 percentage point rise in the value 0.02 Warrants; existence less time a week, reduced the value of warrants 0.01 yuan.
In addition to the actual transaction price of warrant price movements associated with the subject, but also closely related with the market participants. Warrants market size is currently very small, and there is no sustained release mechanism, coupled with short there is no mechanism for arbitrage can not be effectively carried out in the market prices deviate from the theoretical value of the circumstances, the market lacks auto-correction mechanism. Warrants market as a high-risk high-yield market, we believe that its participants mainly dominated investor risk appetite, such as investment companies, QFII, insurance companies, fund companies and other large-scale intervention is unlikely.
Trading in the warrants the implementation of T +0, the daily volatility is much higher than the case of the underlying securities to investment companies mainly institutional investors is likely to warrant listing in Baosteel over-hype. Comprehensive consideration the market situation, we believe that the actual first day of listing of Baosteel Warrants will be priced at 0.8 - 1 per hour, or even higher. We recommend that investors who already have warrants may be the subject of stock prices based on their judgments choose the right time to sell the warrants. For investors who are not currently have a warrant, if the warrant price is lower than 0.7 per can consider buying, if the firm bought less than 0.60, higher than 1 yuan thrown.
China Galaxy Securities ------ must pay attention to speculative funds into Baoshan Iron and Steel from the August 19 trading situation, share prices closed 4.62 yuan. According to theoretical calculations, Baoshan Iron and Steel in today's warrants traded at a price around about the theoretical value of 0.6956 yuan. (The main parameters are: volatility rate of 30.3%, risk-free rate of return 3.3%, duration 378 days)
As the Baoshan Iron and Steel Group is committed to, stocks within eight months after the implementation of reform, if the share price at 4.53 yuan the following will be spent on a total of no more than 40 billion yuan of funds overweight stocks. Therefore, we can be seen as 4.53 yuan at the bottom of the next eight months, stock, and this price corresponds to warrant the current price is 0.639 yuan, relatively speaking, with less risk. As long as the market below the price that investors can actively buying.
If by the above theory to calculate the price of 0.6956 yuan, 387.7 million copies of all of the value of Baosteel Warrants 2.70 billion, the market can be said that very small, and these warrants is entirely on the price of all outstanding shareholders, after the harvest. So the market of the following possibilities:
1, if less than the theoretical value, the circulation of shareholders for reluctant sellers, psychological, changing hands low;
2, if higher than the theoretical value, rational and institutions may choose the cash;
3, if there is speculative funds want to stock fluctuations are leveraging warrants, due to operation of Baosteel costly returns control to its warrants more harm than good.
4, the most likely scenario is that speculative capital into the pulled up by bargain-hunting after the C of E, and then use the market linkage that Baosteel will follow up the psychological, is bargain-hunting pulled its shares to boost the market to follow suit to be distributed rallies warrants profit purposes. On the one hand the use of speculative funds can be T +0 trading system and the warrants are leveraged to achieve the same day warrants the excess spread benefits; the other hand, low to buy shares of Baoshan Iron and Steel from the point of view but also has a long-term investment value, long-term holders of it anyway. In short, we must note that the trend of speculative funds.
Jinxin Securities ------ first day of the pricing is expected to exceed the theoretical price Today, the official listing of Baosteel Warrants. In accordance with Baosteel Friday closing price of 4.62 yuan terms, its theoretical warrant price of 0.6341 yuan, which includes the intrinsic value of 0.13 yuan, the time value of 0.5041 yuan. We believe that, as the "Securities Act" only after the introduction of the first warrants, warrants on the first day of Baosteel is expected to be priced beyond the theoretical price.
We have chosen one with the Hong Kong market with similar terms, Maanshan Iron and Steel Baosteel warrants to subscribe for certificate (code 3416), the subscription expiration date 401 days from the card, but the time value of only 0.1 yuan. This also indicates that the pricing and the target company warrant the texture associated with a higher degree.
After calculations, the actual leverage ratio Baosteel Warrants will be around 4.27, which also means that if shares of Baoshan Iron and Steel rose 1%, the warrants should be up about 4.27%. However, the actual leverage ratio is a dynamic process of change, investors should adjust their own judgments.
As Baosteel is the largest shareholder warrants issued covered warrants, and now implemented in a dealer system, simply to safeguard the liquidity of warrants trading, now widely used in mature markets overseas, requiring a reasonable price to maintain a warrant market maker system There are a certain distance. This has increased speculation Baosteel may warrant.
As Baosteel shares changed within 6 months after the Group of 40 billion financial stability is more than the share price 4.53 yuan, so Baosteel Warrants that may be the next six months has been in a price within the state. The initial listing price should be slightly inside the (real leverage was slightly higher), but with the market improves and prices Baosteel, which warrants will also be within a moderate price (the actual leverage is slightly lower).
Statistics show that the size of Baosteel Warrants issued 387.7 million copies. According to our statistics, the Baoshan Iron and Steel warrants for institutions to hold a higher degree of concentration, the fund holds shares of Baoshan Iron and Steel warrants of more than 40% of the total. If we consider QFII institutions such as the ownership situation, all agencies should go beyond the warrant holders of Baosteel Warrants 50% of the total shares. It also determines the initial listing of Baosteel Warrants will be an agency game market.
Baoshan Iron and Steel shareholders will receive warrants warrants there is no risk, but there are potential gains to obtain the power, so after the listing of Baosteel Warrants investors may choose to sell more limited. Investors will receive warrants for the time being we recommend holding. However, if the pricing of up to 1 yuan, investors can consider departure. For investors who do not hold any warrants, we suggest that if priced less than 0.50 yuan, dare to intervene.
It is noteworthy that, with a daily close to the due date, the time value will gradually shrink, the price of warrants will be slowly evaporate, so be sure to pay attention to warrant investment in the remaining period of warrants. We recommend that the initial listing of Baosteel Warrants should make full use T +0 trading rules to Duanchao mainly continued holding is not recommended. Short-term stop-loss points should be established, it is recommended to 20% less. Warrants the investment proportion of funds in total control of 10% to 20% or less, and do not do cover their short positions to consider.
