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中文摘要：
文章应用线性多因子模型研究了我国权证的定价能力，发现权证是非冗余的，故对风险资产的收益率有解释能力，且对小公司和价值股的解释能力强于大公司和成长股。文章还利用随机贴现因子的思想，用GMM方法做了稳健性检验。两种方法从不同角度得到同样的结论，权证价格中包含定价因素，金融衍生品的发展能提高市场定价效率，使市场趋于完全。
英文摘要：
This paper analyzes the pricing capacity of warrants by using the multiple factor linear model. We find that the warrant is nonredundant and useful for explaining risky asset returns. Moreover, this model fits small firms and value stocks better than big firms and growth stocks. We also use the idea of the stochastic discount factor （SDF） and GMM method to conduct a solid test. The two approaches have the same following conclusion from different angles： pricing factors are included in the warrants price, and developing financial derivatives can improve the efficiency of pricing.
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