本文關(guān)鍵詞： 可轉(zhuǎn)債 宣告效應(yīng) 收益分割原理 分級(jí)基金　出處：《清華大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：可轉(zhuǎn)換債券是金融市場(chǎng)上的一個(gè)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(jié)構(gòu)具備了一定程度上的彈性，其特殊的性質(zhì)使得對(duì)于某些在特殊的市場(chǎng)環(huán)境和投資環(huán)境中的企業(yè)來說，可轉(zhuǎn)換債券融資是遠(yuǎn)優(yōu)于股權(quán)融資和債券融資的選擇。因此可轉(zhuǎn)換債券有一個(gè)龐大的券種供給市場(chǎng)。相應(yīng)地，隨著此類券種上市交易，其兼具股權(quán)和債權(quán)的特性使得合理的定價(jià)較為困難，市場(chǎng)在不斷的交易中尋找價(jià)值的實(shí)現(xiàn)方式，因此，研究可轉(zhuǎn)債的投資策略對(duì)于實(shí)際市場(chǎng)的價(jià)格發(fā)現(xiàn)功能是有著重要意義的。 本文首先研究了關(guān)于可轉(zhuǎn)換債券公告效應(yīng)的文獻(xiàn)和相關(guān)理論，并根據(jù)相關(guān)理論，選取了2007-2012年間56例可轉(zhuǎn)換債券發(fā)行預(yù)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(guó)的資本市場(chǎng)不歡迎可轉(zhuǎn)債的發(fā)行，在公告日有顯著的負(fù)異常收益，并且在公告日后的一段時(shí)間內(nèi)也存在一定的負(fù)異常收益。其次，文章根據(jù)收益分成原理，結(jié)合可轉(zhuǎn)換債券本身的特性，參考分級(jí)基金的契約，設(shè)計(jì)了以可轉(zhuǎn)換債券為基礎(chǔ)資產(chǎn)池的優(yōu)先份額與杠桿份額兩類衍生產(chǎn)品，并結(jié)合實(shí)際市場(chǎng)情況分析了其凈值變化及投資價(jià)值。 本文研究的意義在于，驗(yàn)證了可轉(zhuǎn)換債券對(duì)上市公司價(jià)值影響程度在市場(chǎng)上的表現(xiàn)形式，并以此作為基金公司等追求相對(duì)收益的機(jī)構(gòu)調(diào)倉(cāng)標(biāo)準(zhǔn)。同時(shí)根據(jù)可轉(zhuǎn)換債券相關(guān)特性設(shè)計(jì)的類似于分級(jí)基金的收益分級(jí)產(chǎn)品，為多個(gè)金融市場(chǎng)之間搭構(gòu)了連通方式，在具備足夠交易價(jià)值的同時(shí)，可以為金融市場(chǎng)的價(jià)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(xué)位授予單位】：清華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

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2 林海;鄭振龍;;中國(guó)可轉(zhuǎn)債發(fā)行的股權(quán)價(jià)值效應(yīng)[J];商業(yè)經(jīng)濟(jì)與管理;2006年10期

本文編號(hào)：1500140