时间价值在我国可转债赎回策略中的作用研究

发布时间：2018-06-07 10:01

本文选题：可转债 + 赎回策略　；参考：《东北财经大学》2012年硕士论文

【摘要】：可转换债券是指在一般债券中嵌入期权的一种新型衍生工具。除了债权外,可转债中还含有转换权、赎回权、转股价调整权、回售权等。各种权利条款的复杂性决定了可转债的复杂性。从发行第一支可转债到现在,可转债在我国已经发展了将近20年。作为一种低成本的融资工具,可转债市场受到越来越多企业的关注。而随着我国经济的发展、金融知识的普及,众多的投资者也开始进行可转债的投资。可转债的复杂性主要通过投资者和发行方在各自行使权利时体现出来,是一种复杂的博弈过程。随着我国金融业的发展、金融市场的日益规范,可转债作为一种重要的投融资产品,将会在金融市场上占有越来越重要的地位。因此,研究我国可转债的赎回策略,无论对可转换债券的发行者还是对广大的可转债投资者来说,都具有非常重要的意义。有关可转债的赎回时机问题一直是理论界的热点。自Ingersoll(1977b)发表了其有关于可转债最优赎回策略的论文后,国外学术界对于可转债最优赎回策略的研究给予了极大的关注,较多文章从各个方面阐述了赎回可转债的所招致的成本和收益。但由于可转债在我国起步较晚,众多国内学者关注的重点依然在于可转债定价方面,对可转债赎回策略的研究少之又少。因此,本文首先从可转债赎回策略的理论入手,在总结之前学者研究的基础上,提出了一个被忽略、但在可转债赎回策略中有极其关键作用的变量——时间价值。之后以我国2003年至2011年发行的可转债作为研究样本,计算在赎回前六个月可转债时间价值的变动情况。最后,本文用COX生存分析模型对影响我国可转债赎回的因素进行了实证分析,主要结论如下：第一,我国可转债时间价值在赎回前六个月呈现出先升后降的趋势。赎回时,可转债的时间价值平均为最大值时的42%左右。时间价值并没有在赎回时达到最大,说明我国可转债的赎回策略不单单受这一个因素影响,我国可转债赎回时机的选择同样是发行企业结合其他因素进行权衡的结果。第二,从Cox模型的实证结果可以看出,影响我国可转债的赎回因素主要有两个：PB比率和我们定义的新变量——净时间价值优势。结合理论分析,我们可以看出,只要可转债没有到期,在赎回通知期内,不论被转换还是被赎回,这一部分时间价值都没有消失,而是从债券持有人转移到了股东手中,增加了股东的利益。所以,转换权的时间价值越大,企业就越倾向于提前赎回可转债。文章的实证结论也证明了这一假设。第三,通过实证分析我们还得出：我国企业延迟赎回可转债与PB指标有关。较高的PB比率代表该企业未来的增长机会较大,对处于高速发展的公司而言,其股票价值更容易受到公众对该公司发展预期的影响,所以从赎回中传达出的有关公司经营的正面信号很可能会影响到公司的股价,所以,小型的、处于高速增长的公司更有可能提前赎回可转债。
[Abstract]:Convertible bonds are a new derivative instrument for embedding options in general bonds. In addition to claims, the convertible bonds also contain the right of conversion, redemption, transfer of stock prices and the right to sell back. The complexity of the various rights clauses determines the complexity of the convertible bonds. From the issue of the first convertible bond to the present, the convertible bonds have developed in our country. For nearly 20 years, as a low-cost financing tool, the convertible bond market is concerned by more and more enterprises. With the development of our economy and the popularization of financial knowledge, many investors have begun to invest in convertible bonds. The complexity of convertible bonds is mainly embodied by the investors and issuers in their respective exercise of their rights. A complex game process. With the development of China's financial industry and the increasingly standardized financial market, convertible bonds, as an important investment and financing product, will play an increasingly important role in the financial market. Therefore, the redemption strategy of convertible bonds in China is studied, whether the issuers of convertible bonds or the majority of convertible bonds are invested. The managers, all of them have a very important meaning.
The time of redemption of convertible bonds has always been a hot spot in the theoretical circle. Since Ingersoll (1977b) published its paper on the optimal redemption strategy of convertible bonds, foreign academics have paid great attention to the research on the optimal redemption strategy of convertible bonds, and many articles have expounded the cost of redemption of convertible bonds from various aspects. But due to the late start of convertible bonds in China, the focus of many domestic scholars still lies in the pricing of convertible bonds, and there are few studies on the redemption strategy of convertible bonds. In the debt redemption strategy, there is a crucial variable, the time value, and then the convertible bonds issued in China from 2003 to 2011 are used as the research samples to calculate the changes in the time value of the convertible bonds in the first six months of redemption. Finally, this paper uses the COX survival analysis model to make an empirical analysis on the factors that affect the redemption of the convertible bonds in China. The main conclusions are as follows:
First, the time value of the convertible bonds in China shows a trend of first rising and then decreasing in the first six months of redemption. When redemption, the time value of the convertible bond is about 42% of the maximum value. The time value does not reach the maximum when redemption, which shows that the redemption strategy of the convertible bonds is not only affected by this factor, and the time of redemption of our country's convertible bonds can be redeemed. The choice is also the result of the trade-off between the issuer and other factors.
Second, from the empirical results of the Cox model, we can see that there are two main factors affecting the redemption of China's convertible bonds: the PB ratio and the new variable we define - the net time value advantage. The value of the exchange has not disappeared, but is transferred from the bondholder to the shareholders, which increases the interests of the shareholders. Therefore, the greater the time value of the transfer right, the more the enterprises tend to redeem the convertible bonds in advance. The empirical conclusions of the article also prove this hypothesis.
Third, through the empirical analysis, we also conclude that the delayed redemption of the convertible bonds in our country is related to the PB index. The higher PB ratio represents the greater opportunities for the growth of the enterprise in the future. For the companies in the high-speed development, the stock value is more vulnerable to the public's impact on the development of the company, so the relationship is conveyed from the redemption. The positive signals of the company are likely to affect the company's share price, so small, fast growing companies are more likely to redeem convertible bonds in advance.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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