This study analyzes the pricing of warrants written on the Swiss Market Index (SMI) during the financial crisis. Of particular interest is how changes in warrant pricing errors, i.e. the difference in the pricing between bank-issued options and their exchange-traded counterparts, may be related to an increased awareness of issuer risk, as well as to a general sell-off of risk assets, predominantly by retail investors in the warrants market with speculative motives vs. larger, institutional investors in the traditional options market, in the wake of the market turbulences in fall 2008. We extend prior literature by studying how warrant pricing errors change over time and by analyzing a comprehensive set of factors that drive warrant overpricing to determine whether there is evidence for a decrease due to a credit risk effect. Using an event study approach, we investigate how the pricing of warrants has changed in the event window compared to the estimation period. We find that the pricing errors have in fact decreased significantly during the period of interest suggesting that warrant prices have not properly accounted for the inherent credit risk. Specifically, average abnormal pricing errors and cumulative average abnormal pricing errors across issuers and different strikes are statistically and economically significant in the event window which strongly supports the thesis of a repricing of credit risk. To validate these implications we perform regression analyses that account both for a structural break and the unit root properties of the variables and conclude that there has been a significant change in the relationship of pricing errors and credit risk post September. Also, we find that part of the decrease can be related to a sell-off of warrants by predominantly individual investors with speculative motives, while larger, institutional and more hedging-oriented clients in the options market show less activity, as evidenced by a strong increase in traded warrant contracts and a positive relationship of pricing errors to the broader Swiss equity market. Our cointegration analysis allows for a consistent estimation of the long-run relationship of pricing errors and a number of factors by properly accounting for the short-run dynamics. Overall, our results suggest that going forward pricing errors should react stronger to changes in credit risk while warrants will remain more volatile than options in general due to institutional differences and differing clientele of the two markets.