可转债市场投资策略研究

发布时间：2018-02-10 08:55

本文关键词： 可转债宣告效应收益分割原理分级基金　出处：《清华大学》2012年硕士论文　论文类型：学位论文

【摘要】：可转换债券是金融市场上的一个重要品种，它为企业提供了一种灵活的融资方式，使得企业的资本结构具备了一定程度上的弹性，其特殊的性质使得对于某些在特殊的市场环境和投资环境中的企业来说，可转换债券融资是远优于股权融资和债券融资的选择。因此可转换债券有一个庞大的券种供给市场。相应地，随着此类券种上市交易，其兼具股权和债权的特性使得合理的定价较为困难，市场在不断的交易中寻找价值的实现方式，因此，研究可转债的投资策略对于实际市场的价格发现功能是有着重要意义的。本文首先研究了关于可转换债券公告效应的文献和相关理论，并根据相关理论，选取了2007-2012年间56例可转换债券发行预案公告的事件，，通过事件分析方法考察窗口期间的异常收益，发现中国的资本市场不欢迎可转债的发行，在公告日有显著的负异常收益，并且在公告日后的一段时间内也存在一定的负异常收益。其次，文章根据收益分成原理，结合可转换债券本身的特性，参考分级基金的契约，设计了以可转换债券为基础资产池的优先份额与杠杆份额两类衍生产品，并结合实际市场情况分析了其净值变化及投资价值。本文研究的意义在于，验证了可转换债券对上市公司价值影响程度在市场上的表现形式，并以此作为基金公司等追求相对收益的机构调仓标准。同时根据可转换债券相关特性设计的类似于分级基金的收益分级产品，为多个金融市场之间搭构了连通方式，在具备足够交易价值的同时，可以为金融市场的价格发现功能提供帮助。
[Abstract]:The convertible bond is an important variety of financial markets, it provides a flexible way of financing for the enterprise, the capital structure of enterprises have a certain degree of flexibility, its special properties make for some in the special market environment and investment environment in enterprises, convertible bond financing is far better than equity financing and bond financing choice. So the convertible bond has a huge bond supply market. Accordingly, such as securities listed transactions, the characteristics of both equity and debt makes reasonable pricing more difficult market for the realization of the value, therefore, in the continuous trading of convertible bonds investment strategy discovery is of great significance for the actual market price.
This paper studies the announcement effect of convertible bonds on the literature and related theories, and according to the relevant theory, selected 2007-2012 years 56 cases of convertible bond issuance plan announcement event, abnormal return during the inspection window through the event analysis method, found that Chinese capital market does not welcome the issuance of convertible bonds, the announcement is negative abnormal returns, and negative abnormal returns also exist in the announcement after a period of time. Secondly, according to the revenue sharing principle, combined with the characteristics of convertible bond itself, the reference classification fund contract, design the priority share and leverage to share convertible bonds for the underlying asset pool two derivatives the production of goods, and combined with the actual market situation analysis of the net value and investment value.
The significance of this paper, it confirmed the negative effect on the value of convertible bonds of Listed Companies in the market, and as the pursuit of the relative return fund companies and other institutions adjust positions. At the same time according to the standard of convertible bond correlation design similar to the grading fund revenue for the classification of products, among a plurality of financial markets take the structure of communication, with sufficient transaction value at the same time, can provide the financial market price discovery function to provide help.

【学位授予单位】：清华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】