Host: Mr. Zhang

Guest: Wang Weigang, Manager of Dacheng Innovation and Growth Fund

Yang Guoping, Senior Derivatives Analyst of Shenyin Wanguo Research Institute

Mr. Zhang: Recently, many warrant increases are lower than the increase of the stock, and even the stock increases while the warrant decreases. How should we view this phenomenon?

Wang Weigang: The difference between the actual performance and the theory of warrants and equity is that the theory is always based on certain assumptions, and there is a big difference between the reality and the theory itself, which also leads to the fact that the law of warrant price changes in China is more complex than that in mature markets.

Yang Guoping: Since China's warrant market has not yet established a market maker system, when the valuation level of the warrant is overvalued, it seems normal that the increase of the warrant is lower than that of the regular stock, or even falls against the trend of the regular stock. Because when warrants cannot be short sold and the market maker system has not been established, the rise of positive shares can not only promote the rise of warrants, but also just eliminate the bubble of warrant valuation, which is the same reason as the rise of performance of listed companies does not necessarily lead to the rise of share prices.

Mr. Zhang: At present, most of the warrants are in discount trading, Wuliang YGC1 The premium rate of Maanshan Steel CWB1 is even as low as - 13%; At the same time, almost ten percent of the waste paper put warrants have been delayed in returning to zero. How to treat this "market anomaly" of the valuation level of call warrants and put warrants?

Yang Guoping: The discount transaction of call warrants is mainly related to three factors: (1) The lack of short selling mechanism for regular shares. If the positive shares can be short sold, in the case of a large discount of the warrant, the risk free arbitrage can be carried out by short selling the positive shares to buy the warrant, and the large discount of the warrant will disappear. (2) Lack of market maker system. A mature warrant market needs to establish a strong market maker system to ensure that the warrant price is traded at a reasonable value. (3) The pricing efficiency of warrants is relatively low. In the case of a large discount of the warrant, investors who hold positive shares and continue to be bullish on positive shares can carry out risk-free arbitrage by selling the positive share purchase warrant. However, at present, most of the regular stocks of warrants are heavily held by funds, and Cemetery Fund is limited to invest in warrants separated from separable convertible bonds, which greatly reduces the arbitrage power and leads to lower pricing efficiency of warrants.

Wang Weigang: To a certain extent, the discount trading of warrants indicates that warrant investors are relatively cautious about the future market of positive shares. For example, when the premium rate of Wuliang YGC1 reached a new low in the early stage, it was also the time when the positive shares reached their peak periodically. However, this rule is not valid for all warrants. Even for the same warrant, it is not always valid. For example, when the positive shares of OCT HQC1 rose significantly in the early stage, the premium rate of OCT HQC1 was always in deep negative value.

From the perspective of value, the theoretical value of put warrants is really basically 0. However, due to the limited amount of warrant creation, especially the fact that Shenzhen Stock Exchange has not implemented the warrant creation system so far, the warrant is the only security type that implements T+0 trading at present, and the warrant trading does not collect stamp tax, and the put warrant price is relatively low, which is relatively vulnerable to the "pursuit" of speculative funds.

Mr. Zhang: How should institutional investors use warrants to improve returns, avoid risks and increase new profit models?

Yang Guoping: Institutional investors can use warrants to build other profit models in addition to directional investment using the leverage characteristics of warrants. For example, under the condition of risk control, we can improve investment returns, arbitrage cash, lock in profits, lock in the cost of buying positive shares, and insure against the risk of falling positive shares. In the case of positive shares, if investors can flexibly replace warrants and positive shares, they can obtain higher returns than pure investment warrants and positive shares.

Wang Weigang: At present, the fund investment warrants are subject to serious restrictions, and put warrants are not considered. We (the fund) are only allowed to invest in five warrants, namely, Wuliang YGC1, Qiaocheng HQC1, Shenfa SFC1, Shenfa SFC2 and Yili CWB1. Among them, Qiaocheng HQC1, Shenfa SFC1 and Yili CWB1 will expire in November and December this year. Therefore, we hope that the regulators will launch covered warrants as soon as possible and relax the restrictions on fund investment warrants to improve the performance of portfolio management.

Mr. Zhang: What kind of investment strategy will you adopt when the warrants are discounted?

Yang Guoping: In the case of substantial discount of warrants, it means that warrants are no longer a high-risk investment product. The risk of warrant investment is far lower than that of regular shares, but the income is far higher than that of regular shares. It is better to buy warrants than to buy regular shares. Therefore, when investing in warrants in the domestic market, first of all, we should base our judgment on the medium and long-term trend of positive stocks, and select positive stocks that are expected to continue to rise in the remaining period. If the final judgment is correct, investors can obtain dual investment returns; Even if the judgment is wrong, the risk of warrant investment is far lower than that of equity investment due to the existence of discount. Taking the data sample on August 31, the price of Wuliang YGC1 was 36.03 yuan, the leverage ratio was 1.39 times, the remaining period was six months, and the premium rate was -14.18%. Provided by Shenwan Research Institute Wuliangye The target price is 40 yuan, and the corresponding internal value of Wuliang YGC1 is 49.22 yuan. Compared with the positive shares, the investment risk of Wuliang YGC1 is far lower than that of the positive shares: Wuliang YGC1 will enter the exercise period on March 27, 2008. If the exercise period comes, the positive shares will fall by more than 14.18% from the current price, and the investment in Wuliang YGC1 will generate losses; If the stock price falls by more than 50.8% from the current price, the loss of investment in Wuliang YGC1 will exceed the stock price; If the stock price does not rise or fall when the option is exercised, Wuliang YGC1 will rise by 20%.