本文選題：可轉(zhuǎn)債 + 贖回策略��； 參考：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：可轉(zhuǎn)換債券是指在一般債券中嵌入期權(quán)的一種新型衍生工具。除了債權(quán)外,可轉(zhuǎn)債中還含有轉(zhuǎn)換權(quán)、贖回權(quán)、轉(zhuǎn)股價(jià)調(diào)整權(quán)、回售權(quán)等。各種權(quán)利條款的復(fù)雜性決定了可轉(zhuǎn)債的復(fù)雜性。從發(fā)行第一支可轉(zhuǎn)債到現(xiàn)在,可轉(zhuǎn)債在我國(guó)已經(jīng)發(fā)展了將近20年。作為一種低成本的融資工具,可轉(zhuǎn)債市場(chǎng)受到越來(lái)越多企業(yè)的關(guān)注。而隨著我國(guó)經(jīng)濟(jì)的發(fā)展、金融知識(shí)的普及,眾多的投資者也開(kāi)始進(jìn)行可轉(zhuǎn)債的投資�？赊D(zhuǎn)債的復(fù)雜性主要通過(guò)投資者和發(fā)行方在各自行使權(quán)利時(shí)體現(xiàn)出來(lái),是一種復(fù)雜的博弈過(guò)程。隨著我國(guó)金融業(yè)的發(fā)展、金融市場(chǎng)的日益規(guī)范,可轉(zhuǎn)債作為一種重要的投融資產(chǎn)品,將會(huì)在金融市場(chǎng)上占有越來(lái)越重要的地位。因此,研究我國(guó)可轉(zhuǎn)債的贖回策略,無(wú)論對(duì)可轉(zhuǎn)換債券的發(fā)行者還是對(duì)廣大的可轉(zhuǎn)債投資者來(lái)說(shuō),都具有非常重要的意義。 有關(guān)可轉(zhuǎn)債的贖回時(shí)機(jī)問(wèn)題一直是理論界的熱點(diǎn)。自Ingersoll(1977b)發(fā)表了其有關(guān)于可轉(zhuǎn)債最優(yōu)贖回策略的論文后,國(guó)外學(xué)術(shù)界對(duì)于可轉(zhuǎn)債最優(yōu)贖回策略的研究給予了極大的關(guān)注,較多文章從各個(gè)方面闡述了贖回可轉(zhuǎn)債的所招致的成本和收益。但由于可轉(zhuǎn)債在我國(guó)起步較晚,眾多國(guó)內(nèi)學(xué)者關(guān)注的重點(diǎn)依然在于可轉(zhuǎn)債定價(jià)方面,對(duì)可轉(zhuǎn)債贖回策略的研究少之又少。因此,本文首先從可轉(zhuǎn)債贖回策略的理論入手,在總結(jié)之前學(xué)者研究的基礎(chǔ)上,提出了一個(gè)被忽略、但在可轉(zhuǎn)債贖回策略中有極其關(guān)鍵作用的變量——時(shí)間價(jià)值。之后以我國(guó)2003年至2011年發(fā)行的可轉(zhuǎn)債作為研究樣本,計(jì)算在贖回前六個(gè)月可轉(zhuǎn)債時(shí)間價(jià)值的變動(dòng)情況。最后,本文用COX生存分析模型對(duì)影響我國(guó)可轉(zhuǎn)債贖回的因素進(jìn)行了實(shí)證分析,主要結(jié)論如下： 第一,我國(guó)可轉(zhuǎn)債時(shí)間價(jià)值在贖回前六個(gè)月呈現(xiàn)出先升后降的趨勢(shì)。贖回時(shí),可轉(zhuǎn)債的時(shí)間價(jià)值平均為最大值時(shí)的42%左右。時(shí)間價(jià)值并沒(méi)有在贖回時(shí)達(dá)到最大,說(shuō)明我國(guó)可轉(zhuǎn)債的贖回策略不單單受這一個(gè)因素影響,我國(guó)可轉(zhuǎn)債贖回時(shí)機(jī)的選擇同樣是發(fā)行企業(yè)結(jié)合其他因素進(jìn)行權(quán)衡的結(jié)果。 第二,從Cox模型的實(shí)證結(jié)果可以看出,影響我國(guó)可轉(zhuǎn)債的贖回因素主要有兩個(gè)：PB比率和我們定義的新變量——凈時(shí)間價(jià)值優(yōu)勢(shì)。結(jié)合理論分析,我們可以看出,只要可轉(zhuǎn)債沒(méi)有到期,在贖回通知期內(nèi),不論被轉(zhuǎn)換還是被贖回,這一部分時(shí)間價(jià)值都沒(méi)有消失,而是從債券持有人轉(zhuǎn)移到了股東手中,增加了股東的利益。所以,轉(zhuǎn)換權(quán)的時(shí)間價(jià)值越大,企業(yè)就越傾向于提前贖回可轉(zhuǎn)債。文章的實(shí)證結(jié)論也證明了這一假設(shè)。 第三,通過(guò)實(shí)證分析我們還得出：我國(guó)企業(yè)延遲贖回可轉(zhuǎn)債與PB指標(biāo)有關(guān)。較高的PB比率代表該企業(yè)未來(lái)的增長(zhǎng)機(jī)會(huì)較大,對(duì)處于高速發(fā)展的公司而言,其股票價(jià)值更容易受到公眾對(duì)該公司發(fā)展預(yù)期的影響,所以從贖回中傳達(dá)出的有關(guān)公司經(jīng)營(yíng)的正面信號(hào)很可能會(huì)影響到公司的股價(jià),所以,小型的、處于高速增長(zhǎng)的公司更有可能提前贖回可轉(zhuǎn)債。
[Abstract]:Convertible bonds are a new derivative instrument for embedding options in general bonds. In addition to claims, the convertible bonds also contain the right of conversion, redemption, transfer of stock prices and the right to sell back. The complexity of the various rights clauses determines the complexity of the convertible bonds. From the issue of the first convertible bond to the present, the convertible bonds have developed in our country. For nearly 20 years, as a low-cost financing tool, the convertible bond market is concerned by more and more enterprises. With the development of our economy and the popularization of financial knowledge, many investors have begun to invest in convertible bonds. The complexity of convertible bonds is mainly embodied by the investors and issuers in their respective exercise of their rights. A complex game process. With the development of China's financial industry and the increasingly standardized financial market, convertible bonds, as an important investment and financing product, will play an increasingly important role in the financial market. Therefore, the redemption strategy of convertible bonds in China is studied, whether the issuers of convertible bonds or the majority of convertible bonds are invested. The managers, all of them have a very important meaning.
The time of redemption of convertible bonds has always been a hot spot in the theoretical circle. Since Ingersoll (1977b) published its paper on the optimal redemption strategy of convertible bonds, foreign academics have paid great attention to the research on the optimal redemption strategy of convertible bonds, and many articles have expounded the cost of redemption of convertible bonds from various aspects. But due to the late start of convertible bonds in China, the focus of many domestic scholars still lies in the pricing of convertible bonds, and there are few studies on the redemption strategy of convertible bonds. In the debt redemption strategy, there is a crucial variable, the time value, and then the convertible bonds issued in China from 2003 to 2011 are used as the research samples to calculate the changes in the time value of the convertible bonds in the first six months of redemption. Finally, this paper uses the COX survival analysis model to make an empirical analysis on the factors that affect the redemption of the convertible bonds in China. The main conclusions are as follows:
First, the time value of the convertible bonds in China shows a trend of first rising and then decreasing in the first six months of redemption. When redemption, the time value of the convertible bond is about 42% of the maximum value. The time value does not reach the maximum when redemption, which shows that the redemption strategy of the convertible bonds is not only affected by this factor, and the time of redemption of our country's convertible bonds can be redeemed. The choice is also the result of the trade-off between the issuer and other factors.
Second, from the empirical results of the Cox model, we can see that there are two main factors affecting the redemption of China's convertible bonds: the PB ratio and the new variable we define - the net time value advantage. The value of the exchange has not disappeared, but is transferred from the bondholder to the shareholders, which increases the interests of the shareholders. Therefore, the greater the time value of the transfer right, the more the enterprises tend to redeem the convertible bonds in advance. The empirical conclusions of the article also prove this hypothesis.
Third, through the empirical analysis, we also conclude that the delayed redemption of the convertible bonds in our country is related to the PB index. The higher PB ratio represents the greater opportunities for the growth of the enterprise in the future. For the companies in the high-speed development, the stock value is more vulnerable to the public's impact on the development of the company, so the relationship is conveyed from the redemption. The positive signals of the company are likely to affect the company's share price, so small, fast growing companies are more likely to redeem convertible bonds in advance.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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本文編號(hào)：1990782