我国上市可转换债券定价效率及其影响因素研究

发布时间：2018-01-08 14:05

本文关键词：我国上市可转换债券定价效率及其影响因素研究　出处：《安徽财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：可转换公司债券作为我国资本市场上三大混合型金融衍生产品之一,自从1991年在我国资本市场首次出现后,经多几十年的发展已经成为资本市场重要的组成部分之一。由于其兼具有债权性与股权性的特征,对资本市场的融资功能起着重要补充作用,因此深受发行人与投资者的青睐。因此正确对可转债的价值进行评估不仅关系到企业融资的成功与否,还关系到投资者的投资权益和资本市场的正常发展。本文运用修正后的B-S定价方法对可转债的理论价格进行定价研究,从我国众多上市可转债数据中选取五支可转债作为样本数据进行实际定价,最后对理论价格与实际价格进行对比分析,来解析定价的效率以及何种因素对定价偏离程度产生影响。本文主要分为六章,可以概括为三个大部分。首先,介绍了我国上市可转债发展状况,本文的结构、内容、创新及不足之处;然后介绍了可转债的特征、价值构成以及影响因素。本文认为对可转债的定价分为纯债券部分价值与期权部分定价其中期权部分定价是重点,并将重点介绍期权部分定价。其次,介绍传统的可转债期权定价模型:B-S模型以及二叉树模型,分别介绍它们的优缺点,决定选取B-S定价模型作为本文定价模型的基础模型。然后介绍本文修正的期权定价模型:带稀释效应的B-S定价模型,即在可转债的各附加期权条款定价中引入了稀释变量,分别对各期权分别进行定价,然后加总得出期权部分价值。最后,从众多上市可转债数据中选取五支可转债作文样本数据进行定价分析,然后从修正模型定价结果的角度来衡量样本可转债的定价效率。在定价效率的分析中引入了可转债换手率,标的股票市场价格以及期权剩余时间等因素对定价的偏离程度进行回归分析,来研究各因素对偏离度造成的影响。实证研究发现虽然理论价格与实际价格变动趋势基本相似,但是二者之间还是存在着较大偏离,期权价值的偏离是导致可转债价值偏离的主要因素。本文认为导致可转债理论价与实际市场价格产生较大偏离的原因:一方面可转债发行条件苛刻,发行企业单一,数量少为能彻底发挥可转债的市场作用。另一方面客观市场制度的不完善,缺乏做空机与做市商机制,同时也应加强对投资者的教育,避免非理性行为。在文章结尾部分对作者我国可转债市场的发展与完善提出几点建议。
[Abstract]:The Switching Company bonds as the capital market of our country three hybrid financial products, since 1991 for the first time in China's capital market, after decades of development has become an important part of capital market. Because of its feature and characteristic of credit and equity, capital market financing function plays an important complementary role, therefore by the issuer and investors. Therefore the correct evaluation of the value of convertible bonds is not only related to the success of enterprise financing, but also related to the investment and the capital market investors normal development. We use the modified B-S pricing method study on pricing of convertible bonds pricing theory and from the many listed in China as the sample data of five actual pricing of convertible bonds convertible bonds at the end of the selected data, theoretical price and actual price comparison points Analysis of the efficiency analytic pricing and what factors affect the degree of deviation from the pricing. This paper is divided into six chapters, can be divided into three parts. Firstly, introduces the development status of China's convertible bonds can be listed in this paper, the structure, content, innovation and deficiencies; and then introduces the characteristics of convertible bond value. Composition and influencing factors. This article focus on the valuation of convertible bonds into the pure bond value and option pricing in which some of the options pricing is the key, and will focus on some of the options pricing. Secondly, introduce the traditional convertible bond option pricing model: B-S model and two binomial tree model, introduces their advantages and disadvantages. The decision to select the B-S pricing model as the basic model in this paper. And then introduces the pricing model of the option pricing model modified in this paper: B-S pricing model with the dilution effect, namely in the additional option terms of convertible bonds set The dilution variable into the price, each option pricing respectively, then add the option value. Finally, the data from a number of listed convertible bonds selects five stocks of convertible bond pricing analysis of composition of sample data, and then from the perspective of the pricing model of convertible bonds in the sample to measure the pricing efficiency in the analysis of pricing. The efficiency is introduced in the convertible bond exchange rate, stock market prices and option remaining time and other factors on the regression analysis of the degree of deviation from the pricing, to study the effect of various factors caused by the deviation of the empirical research found that although the theoretical price and actual price change trend is similar, but between the two there is still a large deviation from, the option value is led to the main factors. This paper argues that the value of convertible bonds from convertible bonds to theory price and the actual market prices have a greater deviation The reason: on the one hand, the issuance of convertible bonds issued under harsh conditions, a small number of single enterprise, to completely play the role of the market of convertible bonds. On the other hand, the market system is not perfect, the lack of short machine and market maker mechanism, also should strengthen the education of investors, to avoid irrational behavior. In the end part of the author of China's convertible bond market and perfect suggestions.

【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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