本文關鍵詞： 可轉債 宣告效應 收益分割原理 分級基金　出處：《清華大學》2012年碩士論文　論文類型：學位論文

【摘要】：可轉換債券是金融市場上的一個重要品種，它為企業(yè)提供了一種靈活的融資方式，使得企業(yè)的資本結構具備了一定程度上的彈性，其特殊的性質使得對于某些在特殊的市場環(huán)境和投資環(huán)境中的企業(yè)來說，可轉換債券融資是遠優(yōu)于股權融資和債券融資的選擇。因此可轉換債券有一個龐大的券種供給市場。相應地，隨著此類券種上市交易，其兼具股權和債權的特性使得合理的定價較為困難，市場在不斷的交易中尋找價值的實現(xiàn)方式，因此，研究可轉債的投資策略對于實際市場的價格發(fā)現(xiàn)功能是有著重要意義的。 本文首先研究了關于可轉換債券公告效應的文獻和相關理論，并根據(jù)相關理論，選取了2007-2012年間56例可轉換債券發(fā)行預案公告的事件，，通過事件分析方法考察窗口期間的異常收益，發(fā)現(xiàn)中國的資本市場不歡迎可轉債的發(fā)行，在公告日有顯著的負異常收益，并且在公告日后的一段時間內也存在一定的負異常收益。其次，文章根據(jù)收益分成原理，結合可轉換債券本身的特性，參考分級基金的契約，設計了以可轉換債券為基礎資產(chǎn)池的優(yōu)先份額與杠桿份額兩類衍生產(chǎn)品，并結合實際市場情況分析了其凈值變化及投資價值。 本文研究的意義在于，驗證了可轉換債券對上市公司價值影響程度在市場上的表現(xiàn)形式，并以此作為基金公司等追求相對收益的機構調倉標準。同時根據(jù)可轉換債券相關特性設計的類似于分級基金的收益分級產(chǎn)品，為多個金融市場之間搭構了連通方式，在具備足夠交易價值的同時，可以為金融市場的價格發(fā)現(xiàn)功能提供幫助。
[Abstract]:The convertible bond is an important variety of financial markets, it provides a flexible way of financing for the enterprise, the capital structure of enterprises have a certain degree of flexibility, its special properties make for some in the special market environment and investment environment in enterprises, convertible bond financing is far better than equity financing and bond financing choice. So the convertible bond has a huge bond supply market. Accordingly, such as securities listed transactions, the characteristics of both equity and debt makes reasonable pricing more difficult market for the realization of the value, therefore, in the continuous trading of convertible bonds investment strategy discovery is of great significance for the actual market price.
This paper studies the announcement effect of convertible bonds on the literature and related theories, and according to the relevant theory, selected 2007-2012 years 56 cases of convertible bond issuance plan announcement event, abnormal return during the inspection window through the event analysis method, found that Chinese capital market does not welcome the issuance of convertible bonds, the announcement is negative abnormal returns, and negative abnormal returns also exist in the announcement after a period of time. Secondly, according to the revenue sharing principle, combined with the characteristics of convertible bond itself, the reference classification fund contract, design the priority share and leverage to share convertible bonds for the underlying asset pool two derivatives the production of goods, and combined with the actual market situation analysis of the net value and investment value.
The significance of this paper, it confirmed the negative effect on the value of convertible bonds of Listed Companies in the market, and as the pursuit of the relative return fund companies and other institutions adjust positions. At the same time according to the standard of convertible bond correlation design similar to the grading fund revenue for the classification of products, among a plurality of financial markets take the structure of communication, with sufficient transaction value at the same time, can provide the financial market price discovery function to provide help.

【學位授予單位】：清華大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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相關期刊論文 前2條

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本文編號：1500140