投资者异质性下可转换债券定价研究及最优策略分析

发布时间：2018-01-23 12:55

本文关键词： 可转换债券期权博弈最优策略后悔厌恶赎回公告　出处：《华中科技大学》2012年博士论文　论文类型：学位论文

【摘要】：伴随着改革开放进程的不断推进，中国的资本市场经过逾二十年的发展，由量变逐渐转向质变，整体规模显著增大，市场功能开始得以发挥，运行规范性以及质量也得到明显的提升，国民经济“晴雨表”的作用日趋明显，为国内市场进一步的创新发展奠定了坚实的基础。积极稳妥地发展包括可转换债券在内的各类衍生金融产品，既是资本市场进一本深入发展的客观需要，同时也是市场上各类投资者进行风险管理的迫切要求，对于完善市场结构，丰富交易品种，加快金融体制改革，增强国民经济的抗风险能力，具有重要的意义。从海外市场经验来看，可转换债券为金融市场的繁荣和企业竞争力的提升起到了积极的推动作用，能够有效地增强市场的整体弹性和灵活性，促进市场实现健康、持续、稳定发展。而从国内资本市场的现状来说，可转换债券市场的繁荣，对于增强市场机构差异化竞争活力，促进投资策略多样化、竞争模式多层次化的金融生态环境的加快形成，缓解长期困扰我国资本市场的股权融资比例过高等困境也有着积极的示范意义。但由于可转换债券具有明显的不确定性、非线性和奇异期权特性，加之可转换债券附加条款之间的相互作用也会影响可转换债券的价值，并对可转换债券持有人和发行人最优策略的选择路径产生深刻的影响，因此可转换债券的相关理论研究一直都是学术界的难点问题。而受国内市场发展时日尚短、样本数据有限的掣肘，国内对包括赎回策略、赎回公告效应等问题均甚少有全面、深入的实证研究成果。有鉴于此，本文从多个角度出发，围绕可转换债券的定价模型、相应的数值实现技术以及最优策略等展开了较为深入的研究。首先，可转换债券的诸多附加条款如转换条款与赎回条款之间呈相互影响、相互制约之态，债券发行人与持有人在选择最优策略路径时带有显明的博弈特征。因此本文基于期权博弈理论的最新研究成果，尝试建立了考虑债券发行人和持有人之间博弈的可转换债券定价模型，并推导了该定价模型的有限元数值解法。在此基础之上，分析了可转换债券条款对最优策略的影响。其次，以我国可转换债券市场样本为例对赎回策略进行了实证分析。采用文中基于期权博弈理论的可转换债券定价和策略分析模型计算理论值，并与国内市场实际情况进行对比，检验了我国可转换债券的赎回溢价以及是否存在推迟赎回现象等，探讨了所得结果与国外同类型研究成果不同之处的内在原因。实证结果表明，采用基于博弈期权方法的定价模型所得结果较之现有相关文献的结果能够更好的反映市场上所存在的诸多现象。再次，鉴于可转换债券现有研究模型多建立在投资者理性范式之下，较少考虑投资者异质性的影响，本文尝试将行为金融理论引入可转换债券定价模型之中，采用投资者的后悔厌恶来表征投资者的异质信念，构建了投资者异质信念下可转换债券定价模型，重点探讨了异质信念对可转换债券赎回策略的影响，给出了一个行为金融分析理念与传统可转换债券定价模型框架相结合的示例。理论模型及数值实验结果均表明可转换债券发行者的后悔厌恶情绪是可转换债券推迟（或者提前）赎回的一个重要原因。最后，以国内可转债市场上已完成赎回的样本对赎回公告效应进行了检验，，重点探讨了流动性压力和信息不对称假说对于我国市场样本的解释效力。实证结果显示，赎回公告时产生的超额收益符合流动性假说，但赎回公告后的超额收益则与其不一致，其所预测的价格回复现象并未得到验证。对于不对称信息假说，本章所获得的实证结果表明，该假说可以在一定程度上解释国内可转换债券赎回公告时出现的超额收益。综上，本文从多个层面深入地探讨了可转换债券定价问题的内在机制与演化过程，力图更好的反映可转换债券附加条款以及投资者行为对于可转换债券价值和最优策略的影响。通过采用国内可转换债券市场数据，检验了所提模型的有效性，并对比分析了可转换债券国内外市场所存在的不同及其成因，力求为促进我国金融机构投资国际可转换债券市场和国内可转换债券市场的创新发展，提供合理的、科学的依据。
[Abstract]:Along with the continuous advance of the reform and opening up process , China ' s capital market has been developed over the past two decades , gradually turning to the qualitative change from the quantitative change , the overall scale is obviously increased , the market function starts to play , the operation standardization and the quality are obviously improved , the function of the national economy " barometer " is becoming more obvious , and the solid foundation is laid for further innovation and development of the domestic market . From overseas market experience , convertible bonds have played a positive role in improving market structure , enriching transaction varieties , speeding up the reform of financial system and strengthening the anti - risk ability of national economy . However , because the convertible bonds have obvious uncertainties , nonlinear and singular options , the interaction between convertible bonds can also affect the value of convertible bonds . Therefore , the research on convertible bonds has been a difficult problem in academic circles . First of all , many additional clauses of convertible bonds , such as transition clauses and redemption clauses , are mutually influenced and mutually restricted . Therefore , based on the latest research results of option game theory , this paper attempts to establish a convertible bond pricing model considering the game between the issuer and the holder , and derives the finite element numerical solution of the pricing model . Based on this , the paper analyzes the influence of convertible bond terms on the optimal strategy . Secondly , taking the sample of convertible bond market in our country as an example , this paper makes an empirical analysis on the redemption strategy . By using the convertible bond pricing and strategy analysis model based on the option game theory to calculate the theoretical value and compare it with the actual situation of the domestic market , the internal reasons of the difference between the result of the convertible bond redemption and the existence of delay redemption are discussed . The result shows that the result of the pricing model based on the game option method can better reflect the many phenomena existing in the market . Thirdly , in view of the multi - establishment of convertible bond existing research model under the investor ' s rational paradigm , the paper attempts to introduce the theory of behavioral finance into convertible bond pricing model . The paper attempts to introduce the theory of behavioral finance into convertible bond pricing model . The paper discusses the influence of foreign belief on convertible bond redemption strategy , and puts forward an example of the combination of heterogeneous belief and traditional convertible bond pricing model . The theoretical model and numerical experiment result show that the regret aversion of convertible bond issuer is an important reason for convertible bonds to defer ( or advance ) redemption . Finally , we examine the effect of redemption announcement on the samples that have been redeemed on the domestic convertible bond market . The empirical results show that the excess earnings generated during the redemption announcement conform to the liquidity hypothesis , but the excess earnings after the redemption announcement are not consistent with the liquidity hypothesis . The empirical results obtained in this chapter show that the hypothesis can explain the excess earnings that arise when the domestic convertible bond redemption announcement is to a certain extent . In this paper , the internal mechanism and the evolution process of convertible bond pricing are discussed in depth from various aspects , which try to better reflect the effect of the additional clauses of convertible bonds and the influence of investors ' behavior on convertible bond value and optimal strategy . By adopting domestic convertible bond market data , the validity of the proposed model is tested .

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】