我国分离交易的可转换公司债券估值研究

发布时间：2018-01-08 19:14

本文关键词：我国分离交易的可转换公司债券估值研究　出处：《北京交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：2006年5月7日出台的《上市公司证券发行管理办法》首次公布上市公司可以公开发行认股权和债券分离交易的可转换公司债券。2006年-2009年,我国一共有21家上市公司发行了分离交易可转债。但在2009年8月19日,我国市场上目前最后一只分离交易债——四川长虹分离交易可转债发行,自此我国证监会暂停审批新的分离交易可转债入市。分离交易可转债在国外资本市场上已经是运用较为成熟的金融衍生产品，，而在我国市场的却只出现短暂的繁荣,这是否与我国权证市场发展不完善有关,我国的分离交易可转债市场是否存在价值非理性高估的现象?本文将通过对分离交易可转债合理估值的角度,对这一问题展开研究。分离交易可转债是附送认股权证的公司债券,分为纯债部分和认股权证部分,难点就是认股权证的估值。国内外关于分离交易可转债的研究主要从与普通可转债比较的角度出发,而在估值方面则以认股权证的估值研究为主。国外应用最为广泛的认股权证估值模型为B-S模型,该模型是否同样适用于我国的资本市场,由于分离交易可转债上市时间较短,目前我国还缺乏相关的大样本实证研究。本文首先通过案例分析,选择分离交易可转债合适的估值模型,探讨具体的估值方法。对于权证部分的估值,以目前市场上所有分离交易可转债所附的认股权证作为样本,进行实证检验,分析B-S模型在我国资本市场的适用情况。本文研究发现：第一,分离交易可转债纯债部分的市场价格与理论估值偏差较小。第二,分离交易可转债所附认股权证的市场价格与理论估值偏差较大,并且市场价格普遍高于理论估值。第三,当权证处于价外时,市场容易高估权证的时间价值,此时估值偏差增大；当权证处于价内时,市场价格多表现为权证内在价值,此时估值偏差缩小。从本文的研究发现表明,我国的分离交易可转债所附认股权证市场存在非理性高估现象。目前我国已上市的分离交易可转债所附权证,其中大部分权证长期处于价外状态,但市场价格却居高不下,严重高估权证的时间价值,说明存在市场非理性炒作的现象。这是导致运用B-S模型对权证进行估值产生较大偏差的主要原因。我国权证市场的发展处于起步阶段,对这种新型金融产品多进行合理价值分析,少一些投资技巧传导,对于引导投资者进行理性投资至关重要。
[Abstract]:Issued on May 7th 2006, "the management of securities issuance of listed companies" for the first time announced that listed companies can publicly issue shares and bonds can be traded separately convertible corporate bonds. 2006-2009. . A total of 21 listed companies issued convertible bonds, but in August 19th 2009, the last separate transaction bond in the Chinese market-Sichuan Changhong transaction convertible bonds. Since then, China Securities Regulatory Commission has suspended the approval of new transactions convertible bonds into the market. Separation transactions convertible bonds in the foreign capital market has been the use of more mature financial derivatives. However, there is only a brief boom in the market of our country. Is this related to the imperfect development of the warrants market in our country? is there a phenomenon of irrational overvaluation in the market of convertible bonds with separate transactions in our country? This paper will study this problem from the angle of reasonable valuation of convertible bonds. The convertible bond of separate transaction is the company bond with warrant, which is divided into pure debt part and warrants part. The difficulty is the valuation of warrants. The domestic and foreign research on convertible bonds mainly from the point of view of comparison with ordinary convertible bonds. The most widely used warrants valuation model is B-S model, whether the model is also applicable to the capital market of our country. Due to the short listing time of convertible bonds in separate transactions, there is still a lack of relevant large sample empirical research in China. Firstly, through case analysis, this paper selects the appropriate valuation model of convertible bonds in separate transactions. Discuss the specific valuation methods. For the valuation of warrants, take the warrants attached to all the convertible bonds in the current market as a sample to carry out empirical testing. This paper analyzes the application of B-S model in China's capital market. In this paper, we find that: first, the market price of pure convertible bonds is less than that of theoretical valuation; second, the market price of warrants attached to convertible bonds is quite different from the theoretical valuation. And the market price is generally higher than the theoretical valuation. Third, when the warrant is outside the price, the market easily overestimates the time value of warrant, and the valuation deviation increases; When the warrant is in the price, the market price is the intrinsic value of the warrant, and the valuation deviation is reduced. From the study of this paper, it is found that there is irrational overvaluation in the market of warrants attached to convertible bonds in China. At present, the warrants attached to convertible bonds in separate transactions have been listed in China. Most of the warrants are in the state of being out of price for a long time, but the market price is still high, which seriously overestimates the time value of warrants. It shows that there is irrational speculation in the market. This is the main reason for the large deviation in the valuation of warrants using B-S model. The development of warrants market in China is in its infancy. It is very important to conduct reasonable value analysis and less transmission of investment skills to guide investors to invest rationally.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】