我国上市公司可转债定价理论与实证研究

发布时间：2018-03-08 02:19

本文选题：可转换债券　切入点：定价　出处：《西安电子科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：可转换债券是一种兼具债券性与股权性的新型金融衍生产品,目前已经成为资本市场上一种重要的投资工具。中国可转换债券市场自1991年起步以来,已发展近20年,成为证券市场的重要组成部分。正确评估可转换债券的价值无论对投资者还是发行人以及整个可转换债券市场均具有十分重要的意义。本文综合运用了金融研究方法如金融建模,偏微分方程以及二项式等方法对可转换债券的定价进行了理论和实证的研究。首先,在分析我国当前可转换债券特性的基础上对可转换债券进行了价值分析,阐述了可转换债券的要素和特征,并对可转换债券的价值以及影响因素进行了分析,认为可转换债券价值的难点在于确定可转换债券包含的期权价值。详细介绍了布莱克-斯科尔斯模型以及二叉树模型等期权定价方法。其次,对可转换债券的定价模型进行了详细的介绍。文中主要介绍了四种定价模型：布莱克-斯科尔斯模型,二叉树模型,蒙特卡洛方法以及有限差分模型。并且对其各自的优缺点进行了比较分析,最后选定了布莱克-斯科尔斯模型以及二叉树模型进行本文的实证分析。最后,本文选取金鹰转债以及唐钢转债为代表的可转换债券对我国可转换债券市场进行了实证研究。实证研究中采用可转换债券进入转股期后的90个交易日作为可转换债券的样本区间,利用excel软件分别采用布莱克-斯科尔斯模型以及二叉树模型进行定价获得理论价值,并将两种模型得到的理论价值与市场价值相对比,分析其偏差的原因。通过两种模型理论价值与市场价值之间的偏差,发现二叉树模型更适合于现阶段我国可转换债券的定价。本章结尾从可转换债券市场的完善,可转换债券条款设计以及定价模型选择与完善等方面对我国可转换债券定价提出了对策与建议。
[Abstract]:Convertible bond is a new type of financial derivative with both bond and equity properties. It has become an important investment tool in the capital market. Since 1991, the convertible bond market in China has developed for nearly 20 years. It is very important for investors, issuers and the whole convertible bond market to evaluate the value of convertible bonds correctly. Methods such as financial modeling, Partial differential equations and binomial methods are used to study the pricing of convertible bonds. First of all, on the basis of analyzing the characteristics of convertible bonds in China, this paper analyzes the value of convertible bonds, expounds the elements and characteristics of convertible bonds, and analyzes the value and influence factors of convertible bonds. It is considered that the difficulty of the value of convertible bonds is to determine the option value of convertible bonds, and the Black-Scholes model and the binomial tree model are introduced in detail. Secondly, the pricing model of convertible bonds is introduced in detail. In this paper, four pricing models are introduced: Black-Scholes model, binary tree model, The Monte Carlo method and the finite difference model are compared and analyzed. Finally, the Black-Scholes model and the binary tree model are selected for empirical analysis. Finally, In this paper, we choose the convertible bonds of Jinying and Tangshan Iron and Steel Co as the representatives of the convertible bond market in China. In the empirical study, 90 trading days after convertible bonds are used as convertibility. Sample range of bonds, The theoretical value is obtained by using the Black-Scholes model and the binary tree model by using excel software, and the theoretical value of the two models is compared with the market value. Through the deviation between the theoretical value and the market value of the two models, it is found that the binomial tree model is more suitable for the pricing of convertible bonds in China at the present stage. The design of convertible bond terms and the selection and improvement of pricing model are put forward for the pricing of convertible bonds in China.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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