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1我国证券市场发展权证产品的现实意义课题协调人：陈支左嘉实基金公司课题组：王永宏董鹏飞张汉飞（内容摘要）在现代金融市场中，价格和风险是同意语，价格是指风险的价格，风险是可以定价的，风险定价是通过衍生产品实现的，所谓资产定价机制就是对风险进行分割、组合和定价。衍生产品可帮助各种资产实现准确定价，从而成为人类迄今为止昀有效的资源配置工具。开发研究金融衍生产品对进一步发挥我国证券市场的资源配置功能起着至关重要的作用。权证作为一种初级金融衍生产品，适宜作为发展衍生品市场的敲门砖，它对于我国证券市场发展其它金融衍生产品有着积极而深远的意义。首先，本文对我国发展权证产品的可行性进行了论证分析，提出了股票市场的快速发展为开发权证产品奠定了基础，交易所的软硬件设施为权证产品的上市交易提供了保障，法制化管理以及证券市场监管水平的日益提高为发展权证产品提供了良好环境，境内外的经验教训为发展权证产品提供了良好的借鉴，而我国证券市场也已形成有利于权证推出的市场架构。此外，我国证券公司业务能力和业务素质的日益提高为推出权证产品创新服务提供了必要的组织准备和人才准备，而投资者不断增强的风险意识，不断升温的产品创新需求也使得推出权证的市场条件日益成熟。其次，本文对发展权证产品对投资者和发行人的影响和意义进行了论述，提出发展权证产品将有利于调动普通投资者参与证券市场投资的积极性，有利于提升国内投资机构和投资者的风险管理水平，可以为基金等机构投资者提供风险管理工具，为对冲系统风险提供有效渠道；对于发行人，发展权证有利于改善上市公司治理结构，推动市场并购行为，为发行公司债券探索道路，尤其是这些产品在海外市场所取得的巨大成功，为我国证券市场发展权证产品可提供良好的借鉴。在权证产品对证券市场功能和结构的影响和意义方面，本文进行了较为详细的理论和实证分析，提出权证的推出有利于完善证券市场结构，可有效改善市场微观结构，化解金融风险。具体地讲：权证产品的推出有利于提高标的股票的流动性，有利于降低标的股票波动性，对标的股票的价格也可起到一定的支撑作用。而发展权证产品还可以提高增发、配股和可转债发行的融资效率，有利于拓宽证券公司、基金管理公司等机构的业务范围等。2昀后，本文对发展权证产品对解决股权分置的影响和意义也展开部分论述，提出：通过“权证”备选方案来解决股权分置，可以建立更好的“动力机制”；“权证”备选方案可以实现参与者的“多次博弈”，避免对市场形成较大冲击；“权证”备选方案将有利于解决上市公司“内部人控制”的问题。1目录一、权证的简单介绍····················································································································41.1权证的定义······················································································································41.2权证的分类······················································································································41.3权证发展历史··················································································································61.4权证在海外市场的发展简介···························································································61.4.1欧美、亚太市场-------------------------------------------------61.4.2香港权证市场---------------------------------------------------71.4.3台湾权证市场---------------------------------------------------8二、我国推出权证产品的可行性分析·························································································82.1市场发展日趋完善·········································································································82.2市场主体日趋成熟·······································································································102.3监管体系完善，监管水平提高····················································································112.4交易场所、技术条件为权证交易提供保障。·····························································122.5国外的成熟经验、国内早期的试点和部分券商的探索·············································13三、权证对投资者的影响和意义·······························································································143.1中国投资者的困境·······································································································143.2为投资者提供了新的避险工具和投资工具·································································153.2.1权证产品使投资者规避风险、锁定盈利----------------------------153.2.2权证产品的推出有利于提升我国机构和投资者的风险管理水平--------153.2.3权证产品的投资杠杆功能使投资者可达到“以小博大”的目的--------163.2.3.1权证产品的杠杆投资原理····································································163.2.3.2权证产品的杠杆报酬率函数·································································163.2.4增加了新的盈利模式--------------------------------------------17四、权证对发行者的影响和意义·······························································································184.1中国发行市场的困境····································································································184.2权证发行对于上市公司的意义····················································································194.2.1权证产品的推出给上市公司增加了一个新的融资渠道----------------194.2.2权证产品可推动市场并购，促进上市公司规范运作------------------204.2.3权证筹资的融资成本低于债券融资方式----------------------------204.2.4认股权证可为上市公司发行公司债券探索道路----------------------214.2.5权证产品的引入可有效改善公司治理结构--------------------------214.2.5.1认股权证激励的信息经济学解释························································224.2.5.2认股权证的激励逻辑···········································································234.2.5.3权证产品有助于激励机制的建立························································244.3权证有助于缓解国内证券公司的经营困境·································································254.4权证发行对证券公司经营的意义················································································264.4.1权证产品的推出将形成券商创新的先发优势------------------------264.4.2扩大证券公司的业务范围和盈利空间，开拓新的盈利模式------------274.4.3改变证券公司高度依赖于市场单边走强的局面，提高其盈利的灵活性--274.4.4为机构投资者提供风险管理工具，为对冲系统风险提供有效渠道------284.4.4.1用认沽权证对冲风险···········································································284.4.4.2用认购权证对冲风险和控制基金池调整成本····································292五、权证对完善证券市场的功能和结构的影响和意义····························································305.1权证对中国证券市场的微观意义················································································305.1.1中国证券市场在市场微观结构上存在的问题------------------------305.1.2权证对中国证券市场微观结构的影响------------------------------315.1.2.1权证推出对标的股票的总体波动有稳定作用·······································315.1.2.2权证支撑标的股票价格的理论分析·······················································325.1.2.3权证支撑标的股票价格的实证分析·······················································325.1.2