本文關(guān)鍵詞：我國分離交易的可轉(zhuǎn)換公司債券估值研究　出處：《北京交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：2006年5月7日出臺的《上市公司證券發(fā)行管理辦法》首次公布上市公司可以公開發(fā)行認(rèn)股權(quán)和債券分離交易的可轉(zhuǎn)換公司債券。2006年-2009年,我國一共有21家上市公司發(fā)行了分離交易可轉(zhuǎn)債。但在2009年8月19日,我國市場上目前最后一只分離交易債——四川長虹分離交易可轉(zhuǎn)債發(fā)行,自此我國證監(jiān)會暫停審批新的分離交易可轉(zhuǎn)債入市。分離交易可轉(zhuǎn)債在國外資本市場上已經(jīng)是運用較為成熟的金融衍生產(chǎn)品，，而在我國市場的卻只出現(xiàn)短暫的繁榮,這是否與我國權(quán)證市場發(fā)展不完善有關(guān),我國的分離交易可轉(zhuǎn)債市場是否存在價值非理性高估的現(xiàn)象?本文將通過對分離交易可轉(zhuǎn)債合理估值的角度,對這一問題展開研究。 分離交易可轉(zhuǎn)債是附送認(rèn)股權(quán)證的公司債券,分為純債部分和認(rèn)股權(quán)證部分,難點就是認(rèn)股權(quán)證的估值。國內(nèi)外關(guān)于分離交易可轉(zhuǎn)債的研究主要從與普通可轉(zhuǎn)債比較的角度出發(fā),而在估值方面則以認(rèn)股權(quán)證的估值研究為主。國外應(yīng)用最為廣泛的認(rèn)股權(quán)證估值模型為B-S模型,該模型是否同樣適用于我國的資本市場,由于分離交易可轉(zhuǎn)債上市時間較短,目前我國還缺乏相關(guān)的大樣本實證研究。本文首先通過案例分析,選擇分離交易可轉(zhuǎn)債合適的估值模型,探討具體的估值方法。對于權(quán)證部分的估值,以目前市場上所有分離交易可轉(zhuǎn)債所附的認(rèn)股權(quán)證作為樣本,進(jìn)行實證檢驗,分析B-S模型在我國資本市場的適用情況。 本文研究發(fā)現(xiàn)：第一,分離交易可轉(zhuǎn)債純債部分的市場價格與理論估值偏差較小。第二,分離交易可轉(zhuǎn)債所附認(rèn)股權(quán)證的市場價格與理論估值偏差較大,并且市場價格普遍高于理論估值。第三,當(dāng)權(quán)證處于價外時,市場容易高估權(quán)證的時間價值,此時估值偏差增大；當(dāng)權(quán)證處于價內(nèi)時,市場價格多表現(xiàn)為權(quán)證內(nèi)在價值,此時估值偏差縮小。 從本文的研究發(fā)現(xiàn)表明,我國的分離交易可轉(zhuǎn)債所附認(rèn)股權(quán)證市場存在非理性高估現(xiàn)象。目前我國已上市的分離交易可轉(zhuǎn)債所附權(quán)證,其中大部分權(quán)證長期處于價外狀態(tài),但市場價格卻居高不下,嚴(yán)重高估權(quán)證的時間價值,說明存在市場非理性炒作的現(xiàn)象。這是導(dǎo)致運用B-S模型對權(quán)證進(jìn)行估值產(chǎn)生較大偏差的主要原因。我國權(quán)證市場的發(fā)展處于起步階段,對這種新型金融產(chǎn)品多進(jìn)行合理價值分析,少一些投資技巧傳導(dǎo),對于引導(dǎo)投資者進(jìn)行理性投資至關(guān)重要。
[Abstract]:Issued on May 7th 2006, "the management of securities issuance of listed companies" for the first time announced that listed companies can publicly issue shares and bonds can be traded separately convertible corporate bonds. 2006-2009. . A total of 21 listed companies issued convertible bonds, but in August 19th 2009, the last separate transaction bond in the Chinese market-Sichuan Changhong transaction convertible bonds. Since then, China Securities Regulatory Commission has suspended the approval of new transactions convertible bonds into the market. Separation transactions convertible bonds in the foreign capital market has been the use of more mature financial derivatives. However, there is only a brief boom in the market of our country. Is this related to the imperfect development of the warrants market in our country? is there a phenomenon of irrational overvaluation in the market of convertible bonds with separate transactions in our country? This paper will study this problem from the angle of reasonable valuation of convertible bonds. The convertible bond of separate transaction is the company bond with warrant, which is divided into pure debt part and warrants part. The difficulty is the valuation of warrants. The domestic and foreign research on convertible bonds mainly from the point of view of comparison with ordinary convertible bonds. The most widely used warrants valuation model is B-S model, whether the model is also applicable to the capital market of our country. Due to the short listing time of convertible bonds in separate transactions, there is still a lack of relevant large sample empirical research in China. Firstly, through case analysis, this paper selects the appropriate valuation model of convertible bonds in separate transactions. Discuss the specific valuation methods. For the valuation of warrants, take the warrants attached to all the convertible bonds in the current market as a sample to carry out empirical testing. This paper analyzes the application of B-S model in China's capital market. In this paper, we find that: first, the market price of pure convertible bonds is less than that of theoretical valuation; second, the market price of warrants attached to convertible bonds is quite different from the theoretical valuation. And the market price is generally higher than the theoretical valuation. Third, when the warrant is outside the price, the market easily overestimates the time value of warrant, and the valuation deviation increases; When the warrant is in the price, the market price is the intrinsic value of the warrant, and the valuation deviation is reduced. From the study of this paper, it is found that there is irrational overvaluation in the market of warrants attached to convertible bonds in China. At present, the warrants attached to convertible bonds in separate transactions have been listed in China. Most of the warrants are in the state of being out of price for a long time, but the market price is still high, which seriously overestimates the time value of warrants. It shows that there is irrational speculation in the market. This is the main reason for the large deviation in the valuation of warrants using B-S model. The development of warrants market in China is in its infancy. It is very important to conduct reasonable value analysis and less transmission of investment skills to guide investors to invest rationally.
【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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