可转换债券低估率影响因素研究

发布时间：2019-07-03 13:51

【摘要】：长期以来债券市场在我国资本市场中仅占很小比重,这从一定程度上导致了我国资本市场结构的不平衡。导致大量企业在融资时优先考虑股权融资,甚至视股权融资为“圈钱”,从长期来看,这种方式显然不利于中国资本市场的持续发展。而可转换债券作为一种兼具股票与债券特性的金融工具的推出对中国资本市场结构失衡是一种修正,同时作为一种新型投资工具,可转债为投资者带来类似股票收益的同时,也能为投资者提供债券价值的保护。而对于投资者来说,弄清楚可转债价值偏离理论价值的程度以及影响其价值偏差的因素是十分重要的,这可有效指导投资者选择合适的时机、合适的转债进行投资。本文选取在沪、深两地上市的19支可转债在时间段2007年5月25日至2011年12月30日的日数据,对中国可转债的定价情况进行实证分析。分析结果表明出国可转换债券市场的平均价值低估率为2.58%。对影响低估率的因素做进一步分析可以得出剩余期限与低估率正相关,息票利率与可转换债券低估率负相关,纯债溢价率与价值低估率负相关,转股溢价率与价值低估率负相关。但是可转债低估程度与价值状态之间不是线性关系,而呈现出非线性相关。深度虚值的可转债其可转债价值低估率最小,较为接近其理论价格；而浅度实值或者浅度虚值的可转债价值低估率较大。另外,本文结果还发现纯债溢价率比转股溢价率对低估率的解释力更大。
[Abstract]:For a long time, the bond market accounts for only a small proportion in the capital market of our country, which leads to the imbalance of the structure of the capital market of our country to a certain extent. As a result, a large number of enterprises give priority to equity financing in financing, and even regard equity financing as "circle money". In the long run, this method is obviously not conducive to the sustainable development of China's capital market. The introduction of convertible bonds as a financial instrument with both stock and bond characteristics is a correction to the structural imbalance of China's capital market. At the same time, as a new investment tool, convertible bonds can not only bring similar stock returns to investors, but also provide investors with the protection of bond value. For investors, it is very important to understand the degree of deviation of the value of convertible bonds from the theoretical value and the factors that affect its value deviation, which can effectively guide investors to choose the right time and the right time to invest. Based on the daily data of 19 convertible bonds listed in Shanghai and Shenzhen from May 25, 2007 to December 30, 2011, this paper makes an empirical analysis on the pricing of convertible bonds in China. The results show that the average undervaluation rate of foreign convertible bond market is 2.58%. Further analysis of the factors affecting the undervaluation rate shows that there is a positive correlation between the remaining maturity and the undervaluation rate, a negative correlation between the coupon interest rate and the undervaluation rate of convertible bonds, a negative correlation between the pure bond premium rate and the value undervaluation rate, and a negative correlation between the equity conversion premium rate and the value undervaluation rate. However, there is not a linear relationship between the undervaluation of convertible bonds and the state of value, but a nonlinear correlation. The value underestimation rate of convertible bonds with deep virtual value is the smallest, which is close to its theoretical price, while the value undervaluation rate of convertible bonds with shallow real value or shallow virtual value is larger. In addition, the results of this paper also find that the pure debt premium rate is more explanatory to the underestimation rate than the equity swap premium rate.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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