我国可转换债券的定价研究及实证分析

发布时间：2018-03-30 15:23

本文选题：可转换债券　切入点：二叉树模型　出处：《西南财经大学》2013年硕士论文

【摘要】：可转换债券由于其股权和债权的两面性,具有筹资和避险的双重功能。因此自19世纪80年代以来,在国际资本市场上迅猛发展,成为发行额仅次于国债的第二大债券品种。但中国可转换债券市场的发展时间尚短,可转换债券作为中国资本市场上的一种新型的金融衍生工具,市场参与者对其条款以及价值的了解还不够深入,相关的理论研究更是处于起步阶段。因此,在此种背景下,本文拟在可转换债券及其定价模型实证分析方面做一定的探讨,希望对目前尚处于发展初期的中国可转换债券市场以及中国金融产品的创新都具有借鉴意义。目前,可转换公司债券作为我国证券市场最为复杂的金融衍生产品,主要表现为其价值构成和决定的复杂性。对任何一种金融产品而言,对其价值的研究和分析则是研究这种金融产品的核心内容。综观目前国内可转换公司债券的相关研究文献,很多都是对可转换公司债券的价值构成和决定做相应分析,其中有相当部分研究则是将国外已有的研究成果直接运用于国内上市公司发行的可转换券。对于可转换公司价值决定的理论基础、价值构成复杂性的具体表现、价值影响因素等相关内容分析得不够透彻、详尽。并且,在具体进行可转换公司债券价值的定量研究时,对我国债券市场和可转换公司债券所具有的特殊性并没有做仔细的分析和研究。本文也正是在此种背景下,以可转换公司债券的定价分析作为本文研究的议题。由于国外可转换公司债券自诞生起已有两百多年的历史,期间已经创新出一系列可转换公司债券品种。因此,本文把研究对象锁定为国内上市公司发行的可转换债券。从本文的研究结论可知,文中所采用的一些具体实证分析方法同样适合于其它可转换公司债券的价值研究。本文首先介绍了国内外可转换债券的发展历程以及定价理论,然后在对可转换债券的基本要素和条款设计进行阐述的基础上,重点介绍了四种常用的定价模型,并分析了各自的优缺点,进而选择二叉树方法作为本文的定价模型；接着我们再对可转换债券的价值影响因素进行了分析,具体分为债权价值部分的影响因素、期权价值部分的影响因素以及期权和债权价值部分的共同影响因素三类；最后利用二叉树定价模型并结合市场数据进行了实证研究,得到了与以往的一些研究成果不一样的结论,并对结论产生的具体原因进行了深入的分析,同时在这基础上提出了完善我国可转债市场的几点建议。在模型的精确度方面,相对于前期的一些实证研究结果,发现利用本文所建立的二叉树定价模型计算出的结果精确度较高,通过定价得到的理论价格走势与市场价格变化趋势拟合度较好,能够很好地解释我国可转换债券市场上的一些现象。总之,本文构建了一个较全面的可转换债券价值分析框架,得出的一些结论不仅能为今后可转换债券的深入研究提供思路,也能为投资者和发行者在制定投资策略和发行定价方面提供依据和支持。
[Abstract]:Convertible bonds due to both its equity and debt, has dual functions of financing and hedging. Therefore, since 1880s, the rapid development in the international capital market, become the second big issue after the government bonds. But Chinese convertible bond market development in a short time, the convertible bond is a new the financial derivatives Chinese capital market, market participants on the terms and the value of understanding is not deep enough, the relevant theoretical research is still at the initial stage. Therefore, in this context, this paper intends to convertible bond pricing model and empirical analysis of certain aspects of the study, and have reference significance to develop innovation at the beginning of the Chinese convertible bond market and Chinese of financial products is still in.
At present, the Switching Company bonds in China's securities market as the most complicated financial derivative, mainly for its value structure and decision complexity. For any kind of financial products, research and analysis of its value is the core content of this financial product. The overview of related research literature domestic Switching Company bonds many of them are composed of, and decided to do the corresponding analysis of the Switching Company value of bonds, of which a considerable part of study is the research results will be directly applied to the domestic and foreign existing listed companies issuing convertible bonds. The theoretical foundation of the Switching Company value, the specific performance value of the complexity of the related content value influencing factors the analysis is not thorough, detailed and specific in the quantitative study of the Switching Company value of bonds, and turn to the bond market in China For the particularity of corporate bonds has not made careful analysis and research. This article is in this context, the Switching Company to bond pricing analysis as the research topic. Because foreign Switching Company bonds since the birth of more than more than 200 years of history, the period has created a series of Switching Company bonds therefore, the research object of this paper is to lock the issue of domestic listed companies convertible bonds. The conclusion from this study shows that some specific empirical analysis methods adopted in this paper for the same research value in other Switching Company bonds.
This paper first introduces the development of convertible bonds at home and abroad and pricing theory, then based on the basic elements and the clauses of convertible bonds are introduced, this paper introduces four kinds of common pricing model, and analyzes their advantages and disadvantages, and then select the two fork tree method as the pricing model of this paper; and then we go to the convertible bond value influence factors were analyzed, divided into specific factors affecting the creditor value part of the influence of the option value factors and influence factors of creditor's rights and option value three; finally using two binomial tree pricing model and empirical research combined with the market data, have not the same with some previous research conclusions, the specific reasons and the conclusions have conducted in-depth analysis, and on this basis put forward to improve the convertible bonds in China Several suggestions on the market. In terms of the accuracy of the model, compared with some preliminary results of the empirical research, found that the calculated using two binomial tree pricing model based on the results of higher accuracy, through the theoretical price and market price trend the trend to a better fit, can well explain the convertible bond in China on the market some phenomenon.
In conclusion, this paper constructs a convertible bond comprehensive valuation framework, some conclusions can not only provide ideas for future research of convertible bonds, but also for investors and issuers to provide the basis and support in the formulation of investment strategy and pricing.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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