發(fā)布時(shí)間：2018-01-08 14:05

  本文關(guān)鍵詞：我國(guó)上市可轉(zhuǎn)換債券定價(jià)效率及其影響因素研究　出處：《安徽財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 期權(quán)定價(jià) 稀釋效應(yīng)的B-S定價(jià) 偏離度 回歸分析

【摘要】：可轉(zhuǎn)換公司債券作為我國(guó)資本市場(chǎng)上三大混合型金融衍生產(chǎn)品之一,自從1991年在我國(guó)資本市場(chǎng)首次出現(xiàn)后,經(jīng)多幾十年的發(fā)展已經(jīng)成為資本市場(chǎng)重要的組成部分之一。由于其兼具有債權(quán)性與股權(quán)性的特征,對(duì)資本市場(chǎng)的融資功能起著重要補(bǔ)充作用,因此深受發(fā)行人與投資者的青睞。因此正確對(duì)可轉(zhuǎn)債的價(jià)值進(jìn)行評(píng)估不僅關(guān)系到企業(yè)融資的成功與否,還關(guān)系到投資者的投資權(quán)益和資本市場(chǎng)的正常發(fā)展。本文運(yùn)用修正后的B-S定價(jià)方法對(duì)可轉(zhuǎn)債的理論價(jià)格進(jìn)行定價(jià)研究,從我國(guó)眾多上市可轉(zhuǎn)債數(shù)據(jù)中選取五支可轉(zhuǎn)債作為樣本數(shù)據(jù)進(jìn)行實(shí)際定價(jià),最后對(duì)理論價(jià)格與實(shí)際價(jià)格進(jìn)行對(duì)比分析,來(lái)解析定價(jià)的效率以及何種因素對(duì)定價(jià)偏離程度產(chǎn)生影響。本文主要分為六章,可以概括為三個(gè)大部分。首先,介紹了我國(guó)上市可轉(zhuǎn)債發(fā)展?fàn)顩r,本文的結(jié)構(gòu)、內(nèi)容、創(chuàng)新及不足之處;然后介紹了可轉(zhuǎn)債的特征、價(jià)值構(gòu)成以及影響因素。本文認(rèn)為對(duì)可轉(zhuǎn)債的定價(jià)分為純債券部分價(jià)值與期權(quán)部分定價(jià)其中期權(quán)部分定價(jià)是重點(diǎn),并將重點(diǎn)介紹期權(quán)部分定價(jià)。其次,介紹傳統(tǒng)的可轉(zhuǎn)債期權(quán)定價(jià)模型:B-S模型以及二叉樹(shù)模型,分別介紹它們的優(yōu)缺點(diǎn),決定選取B-S定價(jià)模型作為本文定價(jià)模型的基礎(chǔ)模型。然后介紹本文修正的期權(quán)定價(jià)模型:帶稀釋效應(yīng)的B-S定價(jià)模型,即在可轉(zhuǎn)債的各附加期權(quán)條款定價(jià)中引入了稀釋變量,分別對(duì)各期權(quán)分別進(jìn)行定價(jià),然后加總得出期權(quán)部分價(jià)值。最后,從眾多上市可轉(zhuǎn)債數(shù)據(jù)中選取五支可轉(zhuǎn)債作文樣本數(shù)據(jù)進(jìn)行定價(jià)分析,然后從修正模型定價(jià)結(jié)果的角度來(lái)衡量樣本可轉(zhuǎn)債的定價(jià)效率。在定價(jià)效率的分析中引入了可轉(zhuǎn)債換手率,標(biāo)的股票市場(chǎng)價(jià)格以及期權(quán)剩余時(shí)間等因素對(duì)定價(jià)的偏離程度進(jìn)行回歸分析,來(lái)研究各因素對(duì)偏離度造成的影響。實(shí)證研究發(fā)現(xiàn)雖然理論價(jià)格與實(shí)際價(jià)格變動(dòng)趨勢(shì)基本相似,但是二者之間還是存在著較大偏離,期權(quán)價(jià)值的偏離是導(dǎo)致可轉(zhuǎn)債價(jià)值偏離的主要因素。本文認(rèn)為導(dǎo)致可轉(zhuǎn)債理論價(jià)與實(shí)際市場(chǎng)價(jià)格產(chǎn)生較大偏離的原因:一方面可轉(zhuǎn)債發(fā)行條件苛刻,發(fā)行企業(yè)單一,數(shù)量少為能徹底發(fā)揮可轉(zhuǎn)債的市場(chǎng)作用。另一方面客觀市場(chǎng)制度的不完善,缺乏做空機(jī)與做市商機(jī)制,同時(shí)也應(yīng)加強(qiáng)對(duì)投資者的教育,避免非理性行為。在文章結(jié)尾部分對(duì)作者我國(guó)可轉(zhuǎn)債市場(chǎng)的發(fā)展與完善提出幾點(diǎn)建議。
[Abstract]:The Switching Company bonds as the capital market of our country three hybrid financial products, since 1991 for the first time in China's capital market, after decades of development has become an important part of capital market. Because of its feature and characteristic of credit and equity, capital market financing function plays an important complementary role, therefore by the issuer and investors. Therefore the correct evaluation of the value of convertible bonds is not only related to the success of enterprise financing, but also related to the investment and the capital market investors normal development. We use the modified B-S pricing method study on pricing of convertible bonds pricing theory and from the many listed in China as the sample data of five actual pricing of convertible bonds convertible bonds at the end of the selected data, theoretical price and actual price comparison points Analysis of the efficiency analytic pricing and what factors affect the degree of deviation from the pricing. This paper is divided into six chapters, can be divided into three parts. Firstly, introduces the development status of China's convertible bonds can be listed in this paper, the structure, content, innovation and deficiencies; and then introduces the characteristics of convertible bond value. Composition and influencing factors. This article focus on the valuation of convertible bonds into the pure bond value and option pricing in which some of the options pricing is the key, and will focus on some of the options pricing. Secondly, introduce the traditional convertible bond option pricing model: B-S model and two binomial tree model, introduces their advantages and disadvantages. The decision to select the B-S pricing model as the basic model in this paper. And then introduces the pricing model of the option pricing model modified in this paper: B-S pricing model with the dilution effect, namely in the additional option terms of convertible bonds set The dilution variable into the price, each option pricing respectively, then add the option value. Finally, the data from a number of listed convertible bonds selects five stocks of convertible bond pricing analysis of composition of sample data, and then from the perspective of the pricing model of convertible bonds in the sample to measure the pricing efficiency in the analysis of pricing. The efficiency is introduced in the convertible bond exchange rate, stock market prices and option remaining time and other factors on the regression analysis of the degree of deviation from the pricing, to study the effect of various factors caused by the deviation of the empirical research found that although the theoretical price and actual price change trend is similar, but between the two there is still a large deviation from, the option value is led to the main factors. This paper argues that the value of convertible bonds from convertible bonds to theory price and the actual market prices have a greater deviation The reason: on the one hand, the issuance of convertible bonds issued under harsh conditions, a small number of single enterprise, to completely play the role of the market of convertible bonds. On the other hand, the market system is not perfect, the lack of short machine and market maker mechanism, also should strengthen the education of investors, to avoid irrational behavior. In the end part of the author of China's convertible bond market and perfect suggestions.

【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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