可转换债券融资的博弈均衡研究

发布时间：2018-11-04 09:12

【摘要】：可转换债券作为一种兼具股票和债券特征的复合型金融工具，赋予债券持有人在规定的期限内以特定的价格转换成特定数量标的股票的权利。可转换债券近二十年来发展迅速，已经成为全球重要的融资工具之一。我国发行可转债的探索始于20世纪90年代初期，2001年以来可转债市场呈现出高速发展的态势。我国资本市场的发展需要创新型金融工具的推动，让可转债市场成为我国资本市场重要和有益的补充是管理层对可转债融资的定位。由于可转债在我国仍属于新型融资工具，监管当局、融资公司和投资者对其认识还不够，需要我们进行积极研究与重点关注。本文以“可转债融资博弈论”这个问题为契入点，，从理论上对可转债融资契约的内在经济特性与公司治理机制进行深入分析，同时结合我国可转债市场的现实发展进行研究，以期达到如下目的：从微观角度看，希望上市公司作为融资主体能对可转债融资工具的经济特性有正确的认识，合理发挥可转债融资功能，有效利用可转债融资改善其公司治理结构，改变当前我国上市公司盲目发行可转债的状况；从宏观角度看，通过对我国特殊的市场环境、公司股权结构和制度约束的分析，对上市公司当前利用可转债融资的动机进行全方位的解释，为管理当局准确了解我国可转债融资提供依据，促进可转债市场的良性发展。本文的写作思路是：因为可转换公司债券式混合债券，所以研究的出发点就着眼于可转换公司债券在融资方面与股票和债券和区别。本文的一条思路是以Stein的后门权益假说为出发点，即公司发行可转换公司债券的目的是为了变相发行普通股票，为此展开了内容进行论述，从可转换债券的逆选择问题上进行研究，从融资宣告效果以及投资者对可转换公司债券条款的评价来探讨可转换公司债券是否具有股权融资的特点。因为我国目前直接融资市场以股票和可转换公司债券融资为主，所以这条思路的阐述主要是以实证为主。本文展开的另一条研究线路是以Green（1984）提出风险转移假说为出发点，即可转换公司债券在风险转一方面是普通债券的替代品，这部分由三章进行论述：一章探讨在最大化股东权益价值下，可转换公司债券替代普通负债融资对降低风险转移的效果；另一章延伸上一章的内容，同时考虑了在普通负债存在下可转换公司债券持有人的策略行动，以及赎回策略和股利策略的影响，将债权人和可转换公司债券债权人之间的博弈考虑进去，分析了可能存在的均衡。后一章根据前两章的论述进一步讨论博弈均衡下的最优赎回策略。这一大部分内容的阐述主要是以理论推导和建立模型进行模拟数值演算为主。具体内容如下：（1）对于融资过程中的决策行为研究，本文通过事件研究法研究市场的异常报酬率，探讨中国证券市场对可转换公司债券融资宣告的反应，从而间接证明市场对可转换公司债券债性和股性的认同。（2）通过对已发行的可转换公司债券以及宣告发行可转换公司债券的公司进行研究，探讨投资者是否会因为不同信息不对称所带来的逆选择成本问题，而影响对可转换公司债券条款的要求和评价，并同时证明相关的研究假说。（3）对于融资后的决策行为研究，本文在期权定价模型的框架下，来研究企业在声誉限制的环境下为了追求企业财富最大化所采取的行动。为此，将下跌失效买权模型进行衍生，构建了普通负债融资下股东权益定价模型和可转换公司债券融资下股东权益定价模型，探讨股东权益最大化下的企业风险选择问题。本文还通过研究股东以债权人的损失为代价承担风险和转移财富的内在倾向与可转换公司债券债权人执行转股期权行为之间的博弈，进一步分析股东风险转换的行为。（4）本文在此提出了一种博弈均衡定价模型，以股东和可转换债券持有人之间的博弈关系作为切入点，构造了一个结构模型来分析可转换债券的价值和最优策略，其中赎回、自愿转股和破产被允许在债券的任一时间段内发生。模型不仅体现了股票持有人在最大化其普通股的前提下内在的决定赎回和破产的最优策略，而且体现了可转换债券的持有人在最大化其可转换债券的前提下决定其最优的自愿转股策略。这个模型还进一步考虑了破产成本、税收利益、和债券发行人的资本结构，以及偿还成本和赎回通知期。通过上述研究从而帮助企业进行经营行为、赎回条款的执行以及股利分配等行为的决策，另外也帮助投资者进行执行转股权利的决策。
[Abstract]:Convertible bonds act as a composite financial instrument with both stock and bond characteristics, giving bondholders the right to convert a specific price to a specific number of shares within a specified period of time. Convertible bonds have developed rapidly in the past two decades and have become one of the most important financing instruments in the world. The exploration of convertible bonds in our country began in the early 1990s, and since 2001, the convertible debt market has shown the situation of high-speed development. The development of capital market in China needs the promotion of innovative financial instruments, making the convertible bond market an important and beneficial supplement to the capital market in our country. Because convertible bonds still belong to new financing instruments in our country, the regulatory authorities, financing companies and investors are not enough to realize their understanding, and we need to carry out active research and focus on them. in this context, Game Theory of Convertible Bond Financing On the basis of the analysis of the intrinsic economic characteristics and corporate governance mechanism of convertible bond financing contract, this paper studies the real development of convertible bond market in China, with a view to achieving the following objective: from the perspective of micro-perspective, It is hoped that the listed company as the financing entity can realize the correct understanding of the economic characteristics of the convertible bond financing tool, reasonably play the convertible debt financing function, effectively utilize the convertible bond financing to improve the corporate governance structure, and change the state of the current listed company blindly issuing the convertible debt; From the macro point of view, through the analysis of the special market environment, the company's equity structure and the system constraint, the motivation of the listed company to utilize the convertible bond financing is explained in all directions, which provides the basis for the management authority to understand the financing of convertible bonds accurately. To promote the benign development of the convertible bond market. The idea of writing is: Because convertible corporate bonds are convertible, the starting point of the study is to focus on convertible corporate bonds in terms of financing and stocks and bonds and areas This article is based on Stein's back door equity hypothesis, that is, the purpose of the company to issue convertible corporate bonds is to issue ordinary shares in a disguised form. To explore whether convertible corporate bonds have equity financing from the effect of financing announcement and the evaluation of the terms of convertible corporate bonds. Because our country's current direct financing market is dominated by stock and convertible corporate bond financing, the elaboration of this idea is mainly based on the empirical study. The other research route developed in this paper is to use Green (1984) to put forward the risk transfer hypothesis as the starting point, which can convert corporate bonds to a substitute for ordinary bonds on the one hand, which is discussed in three chapters: The chapter discusses how to maximize the shareholders' equity Under the value, convertible corporate bonds can replace common debt financing to reduce the effect of risk transfer; the other chapter extends the content of the chapter, taking into account the strategy actions of convertible corporate bond holders under the existence of ordinary liabilities, and the strategy of redemption and dividend strategy. The influence of the creditor and the creditors of convertible corporate bonds takes into account the possible existence The balance of game equilibrium is discussed in the last chapter according to the discussion of the first two chapters. The elaboration of a large part of the content is mainly based on the theoretical deduction and the establishment of the model to simulate the numerical performance It's a priority. Specifically, The following conclusions are as follows: (1) For the research on the decision-making behavior in the financing process, the paper discusses the financing of convertible corporate bonds in China's securities market through the event research method. The announcement of the reaction, thus indirectly proving the market's debt to convertible corporate bonds and (2) By studying the convertible corporate bonds issued and the companies announcing the issue of convertible corporate bonds, it is discussed whether investors will influence the conversion of convertible corporate bonds due to the adverse selection cost problems caused by asymmetric information asymmetry. Requirements and evaluation of funds, and at the same time demonstrate Based on the option pricing model, this paper studies the enterprise's wealth in order to pursue the enterprise's wealth under the framework of option pricing model. To achieve the maximization of shareholders' equity, the model of shareholders' equity pricing under ordinary debt financing and the pricing model of shareholders' equity under the financing of convertible corporate bonds are constructed. The paper also analyzes the inherent tendency of shareholders to take risks and transfer their wealth at the expense of the losses of creditors and the transfer options of convertible corporate bonds creditors. In this paper, a game equilibrium pricing model is proposed, which takes the game relationship between shareholders and convertible bond holders as the entry point, and constructs a structure model to analyze the price of convertible bonds. Value and optimal strategy where redemption, voluntary transfer, and bankruptcy are allowed in The model not only reflects the optimal strategy of decision redemption and bankruptcy inherent in the premise of maximizing its common stock, but also reflects the decision of the holder of convertible bonds to maximize the convertible bond. The model also takes into account the bankruptcy cost, the tax benefits, and the capital structure of the bond issuer. Through the above research, it helps enterprises to make decisions on behaviors such as business behavior, redemption terms, dividend distribution and other behaviors, and also help investors
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

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