本文运用Black-Scholes公式计算权证的理论价格并和权证实际价格比较,发现权证的实际价格严重偏离理论价格,权证产品处于泡沫时期。通过Campbell和Yogo(2005)提出的Bonferroni检验方法,我们发现两个新的预测变量———权证与标的股票的交易金额比值和换手率比值,对于权证产品的收益率具有预测能力。 This paper uses the Black-Scholes formula to calculate the theoretical warrant price and warrants the actual price comparison and found that the actual warrant price seriously deviate from the theoretical price, warrants products in a bubble period. According to the Bonferroni test proposed by Campbell and Yogo (2005), we find that two new predictors, the ratio of transaction amount to warrant and the ratio of turnover, are predictive of the yield of warrants.