中国可转换债券折价的影响因素研究

发布时间：2018-02-10 13:21

本文关键词： 可转换债券折价 Black-Scholes模型流动性发行规模　出处：《复旦大学》2013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的债券形式,它在发行公司债券的基础上,附加了一份期权,允许其持有人在规定时间范围内按一定比例或价格将其转换为债券发行公司的股票。可转换债券兼具债权和股权的特征。中国可转换债券发展历史较短,1992年深宝安发行A股可转债,是我国第一只由上市公司发行的可转债。1997年国务院证券委员会发布《可转换公司债券管理暂行办法》,2001年证监会发布《上市公司发行可转换公司债券实施办法》,中国可转债市场才逐渐发展起来。2006年证监会发布《上市公司证券发行管理办法》,可转债市场进一步走向规范。可转债与配股、增发共同成为上市公司再融资的主要方式。上世纪70年代以来,Black-Scholes期权定价模型为衍生金融工具的合理定价奠定了基础。国外对于可转换债券定价的研究主要有以公司价值为变量和以股价为变量的模型,二叉树、蒙特卡洛模拟、有限差分法等数值方法。同时我们也回顾了证券折价的有关文献。关于可转债折价的国外文献表明折价与后市流动性、评级等因素相关。中国学者在可转债的定价方面也做了比较多的研究,大部分文献显示我国可转债存在明显折价,但是已有的研究多是对可转债的折价现象提出一些可能的解释,并且由于样本量的限制,现有文献多是基于案例分析,大样本的实证研究很少。本文选取了2000年至2011年3月期间在我国发行上市的76只可转换债券作为样本,所有数据来源于万德数据库及国泰安数据库。首先,关于可转债理论价值的确定,我们采用了Black-Scholes期权定价模型,结果显示,样本可转债平均存在16%的折价。其次,通过线性回归分析研究了可转换债券发行折价与五个潜在影响因素的关系。实证研究表明,可转换债券发行折价与发行规模显著负相关；与发行公司负债率显著正相关。其原因可能是由于较大的发行规模可以降低信息不对称,使可转债发行价更趋近于理论价值,折价减小；较高的负债率可能导致较低的偿债能力,公司发行可转债时倾向于以更大的折价吸引投资者。实证结果显示发行折价与可转债的流动性、期限和评级的关系不显著。另外,中国市场缺乏卖空机制也是导致可转债大幅折价的一个原因。本文的局限在于：一是定价模型没有考虑到可转债所包含的各项复杂条款,可以结合蒙特卡洛模拟、二叉树等方法得到更为精确的定价；二是本文只研究了可转债发行时的折价,并未研究转债上市整个期间理论价值与市场价格的关系；三是回归模型的建立囿于可获得的数据,未来的研究可以包含更多潜在的影响因素,例如发行费用、投资者结构等。
[Abstract]:Convertible bonds are a hybrid form of bonds, with an option attached to the issuance of corporate bonds. Allows its holder to convert to the shares of a bond issuing company within a specified period of time at a certain percentage or price. Convertible bonds have the characteristics of both debt and equity. China has a short history of convertible bonds. In 1992, Shenbao'an issued A shares convertible bonds. It is the first convertible bond issued by a listed company in China. On 1997, the Securities Commission of the State Council issued the interim measures for the Administration of Convertible Company Bonds, and in 2001, the Securities Regulatory Commission issued the implementation measures for issuing Convertible Company Bonds of listed companies. In 2006, the Securities Regulatory Commission issued the "measures for the Administration of Securities issuance of listed companies", and the convertible bond market further moved towards standardization. Additional issuance has become the main way of refinancing of listed companies. Since -30s, Black-Scholes option pricing model has laid the foundation for the reasonable pricing of derivative financial instruments. Monte Carlo simulation, finite difference method and other numerical methods. At the same time, we also review the relevant literature on the discount of securities. The foreign literature on the discount of convertible bonds shows that the discount and future liquidity, Chinese scholars have also done more research on the pricing of convertible bonds. Most of the literature shows that there is a significant discount on convertible bonds in China. However, most of the existing research is to put forward some possible explanations for the discount phenomenon of convertible bonds, and because of the limitation of sample size, the existing literature is mostly based on case analysis, and there are few empirical studies on large samples. In this paper, 76 convertible bonds listed in China from 2000 to March 2011 are selected as samples. All the data come from Wanda database and Cathay Taian database. Firstly, the theoretical value of convertible bonds is determined. We use the Black-Scholes option pricing model, the results show that the sample convertible bonds have an average discount of 16%. Secondly, through linear regression analysis, we study the relationship between the discount of convertible bond issuance and five potential influencing factors. The discounted price of convertible bonds is significantly negatively correlated with the issuing scale and the debt ratio of the issuing company is significantly positive. The reason may be that the larger issuance scale can reduce the information asymmetry and make the issuing price of convertible bonds more close to the theoretical value. Lower discounts; higher debt ratios may lead to lower solvency, and companies tend to attract investors at greater discounts when issuing convertible bonds. The relationship between maturity and rating is not significant. In addition, the lack of a short selling mechanism in the Chinese market is also one of the reasons for the sharp discount of convertible bonds. The limitations of this paper are as follows: first, the pricing model does not take into account the various complex clauses contained in convertible bonds, and can be more accurately priced with Monte Carlo simulation, binary tree and other methods; Second, this paper only studies the discount when convertible bonds are issued, and does not study the relationship between the theoretical value and the market price of convertible bonds during the whole period of listing; third, the establishment of regression model is limited by the available data. Future research may include more potential factors, such as issuance fees, investor structure, etc.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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