中国上市公司可转换债券融资问题研究

发布时间：2018-01-01 02:33

本文关键词：中国上市公司可转换债券融资问题研究　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：可转换债券是一种混合型金融衍生品,债券持有人可以依据条款在满足特定条件下将其转换为发行公司的指定数量的普通股股票。可转换债券因其融资成本低、现金流压力小、具备长期增长潜力等特点一直备受企业和投资者青睐。国际可转换债券市场已经发展成为继股票和债券之后的第三大证券市场(Bloomberg,2014)。我国的可转换债券发展历程较短,在市场成熟度、产品丰富度等各方面都有很大发展空间。研究可转换债券的发行动因和风险转移效果,有着重要的理论价值和实践意义。本文首先对可转换债券的自身特点、历史起源和发展现状做了梳理,通过对比国外成熟可转换债券市场的情况,归纳出我国可转换债券市场的特点和存在的问题,在此基础上,主要针对我国上市公司可转换债券融资的动因和成效做出实证分析,并基于实证结果对我国可转换债券市场的未来发展做出展望,提出对策建议。本文基于1998年8月至2016年8月的样本数据,选取了公司的财务杠杆、财务宽松度、自由现金流比值、税务负担、成长性、公司规模等六个变量,通过二项logit回归模型对我国上市公司发行可转换债券的动因进行分析,得出我国上市公司发行可转换债券与其成长机会呈正相关,与其财务宽松度、自由现金流量、公司规模呈负相关关系的结论。通过扩充样本容量、使用托宾Q值的理论计算公式、使用公司规模的市场价值计算方法对模型进行了稳健性检验,结论一致。结果说明,公司在做出融资决定时将自身成长性和财务松弛度等因素考虑在内,其行为符合理性预期。此外,建立在对公司发行动因检验基础上,本文对中国市场上截至2016年12月正在流通的可转换债券进行了风险转移理论的实证检验,引用Eom(2008),Dorion(2014)等人的研究,在使用B-S期权定价模型为公司证券定价的基础上,计算出风险转移指数。并在模型重要参数正股波动率的计算中,使用GARCH模型以提高结果准确度。通过对比真实风险转移指数和假设的风险转移指数之间的差值和标准差,发现发行可转换债券对于降低股东激励效应具有一定作用。最后,本文在展望我国可转换债券市场的未来发展方向的基础上,结合实证研究结论为促进可转换债券发展提出对策建议。
[Abstract]:The convertible bond is a hybrid type of financial derivatives, bond holders can meet the specific conditions in accordance with the terms to convert the specified number for the issuance of the company's common stock convertible bond financing because of its low cost, cash flow pressure is small, has the characteristics of long-term growth potential has attracted a lot of enterprises and international investors. The convertible bond market has become after the stocks and bonds of the third stock market (Bloomberg, 2014). China's convertible bond market in the short period of development, maturity, all aspects of product richness have great development space. The research of convertible bond issuing motivation and risk transfer effect, has an important the theoretical value and practical significance. Firstly, the convertible bond has its own characteristics, origin and current situation of the development of history by combing, compared with mature foreign convertible bond market The situation, summed up the characteristics of the convertible bonds market in China and the existing problems, on this basis, to make empirical analysis of cause and effect mainly in view of China's convertible bond financing for listed companies, based on the empirical results and the outlook for the future development of China's convertible bonds market, puts forward some countermeasures and suggestions. This paper sample based on the data from August 1998 to August 2016, the company's financial leverage, financial flexibility, free cash flow ratio, tax burden, growth, firm size and other six variables, through the analysis of causes of two logit regression models for China's listed companies issuing convertible bonds, that Chinese listed companies issue positively convertible bonds and growth opportunities, and financial slack degree, free cash flow, the company scale is negatively related to the conclusion. By expanding the sample size, the Tobin Q value theory Using the formula, the company size of the market value calculation method to test the stability of the model, consistent with the conclusion. The results show that the company to make financing decisions will consider their own growth and financial slack, and other factors, their behavior is consistent with rational expectations. In addition, built on the basis of the company issued motivation test, the China on the market as of December 2016 is the circulation of convertible bonds empirical risk transfer theory, reference Eom (2008), Dorion (2014) et al., in the use of B-S option pricing model based on the pricing of securities company, calculate the risk transfer index. And important parameters in the model are stock volatility in the calculation, using the GARCH model to improve the accuracy of the results. Through the comparison between the real risk transfer risk index and the index of the transfer hypothesis difference and standard deviation, the issuance of convertible Bonds play a certain role in reducing the incentive effect of shareholders. Finally, based on the prospect of the future development of convertible bond market in China, combined with the empirical research conclusions, this paper puts forward some countermeasures and suggestions to promote the development of convertible bonds.

【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275

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