关于我国可转债定价修正模型的实证研究

发布时间：2018-01-09 19:01

本文关键词：关于我国可转债定价修正模型的实证研究　出处：《管理工程学报》2011年01期 　论文类型：期刊论文

【摘要】：本文应用无套利原理分析了我国可转债价值应满足的理论模型,通过对使用有限差分法和LSM方法求解模型结果的比较,得出LSM方法对可转债价值的计算更为有效;根据我国已有的可转债数据,本文分别就含有两种不同类型附加条款的可转债价值所应满足的边界条件进行了分析,并利用市场数据对其进行了实证研究,得出了我国当前市场对可转债价值存在普遍大幅度高估的现象,同时,根据市场数据分析发现我国曾经出现过的强制性特别向下修正条款所体现的超额价值并未被市场和广大投资者所认知,更由于其限制了公司利用可转债进行融资的灵活性,而使其逐渐淡出可转债市场。
[Abstract]:This paper applies the no-arbitrage principle to analyze the theoretical model of the value of convertible bonds in China, and compares the results of solving the model by using the finite difference method and the LSM method. It is concluded that LSM method is more effective in calculating the value of convertible bonds. According to the existing data of convertible bonds in China, this paper analyzes the boundary conditions that should be satisfied by the value of convertible bonds with two different types of additional clauses, and makes an empirical study on them by using market data. It is concluded that the value of convertible bonds is generally overvalued in China's current market, and at the same time. According to the analysis of market data, it is found that the excess value embodied in the mandatory special downward revision clause has not been recognized by the market and the majority of investors. Because it limits the flexibility of the company to use convertible bonds to finance, it gradually fade out of the convertible bond market.
【作者单位】：上海财经大学金融学院;上海财经大学数学系;兴业银行资金营运中心;
【基金】：国家自然科学基金资助项目(10771131);国家自然科学基金资助项目(10971127) 教育部科技创新工程重大项目培育资金资助项目(708040) 上海财经大学“211工程”三期重点学科建设资助项目
【分类号】：F224;F832.51
【正文快照】： 0引言可转债也称为可转换公司股票债券,是一种兼有债券和股票期权性质的特殊债券,由于可转债的债性和股性相互嵌套,无法将其分离,因此可转债的定价较为复杂,尤其是在我国上市的可转债全部含有各项附加条款,这更增加了为其定价的难度。目前国内研究者在不同可转债条款对转债价

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