本文關鍵詞： 可轉換債券 折價 Black-Scholes模型 流動性 發(fā)行規(guī)模　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：可轉換債券是一種混合型的債券形式,它在發(fā)行公司債券的基礎上,附加了一份期權,允許其持有人在規(guī)定時間范圍內(nèi)按一定比例或價格將其轉換為債券發(fā)行公司的股票。可轉換債券兼具債權和股權的特征。 中國可轉換債券發(fā)展歷史較短,1992年深寶安發(fā)行A股可轉債,是我國第一只由上市公司發(fā)行的可轉債。1997年國務院證券委員會發(fā)布《可轉換公司債券管理暫行辦法》,2001年證監(jiān)會發(fā)布《上市公司發(fā)行可轉換公司債券實施辦法》,中國可轉債市場才逐漸發(fā)展起來。2006年證監(jiān)會發(fā)布《上市公司證券發(fā)行管理辦法》,可轉債市場進一步走向規(guī)范�？赊D債與配股、增發(fā)共同成為上市公司再融資的主要方式。 上世紀70年代以來,Black-Scholes期權定價模型為衍生金融工具的合理定價奠定了基礎。國外對于可轉換債券定價的研究主要有以公司價值為變量和以股價為變量的模型,二叉樹、蒙特卡洛模擬、有限差分法等數(shù)值方法。同時我們也回顧了證券折價的有關文獻。關于可轉債折價的國外文獻表明折價與后市流動性、評級等因素相關。中國學者在可轉債的定價方面也做了比較多的研究,大部分文獻顯示我國可轉債存在明顯折價,但是已有的研究多是對可轉債的折價現(xiàn)象提出一些可能的解釋,并且由于樣本量的限制,現(xiàn)有文獻多是基于案例分析,大樣本的實證研究很少。 本文選取了2000年至2011年3月期間在我國發(fā)行上市的76只可轉換債券作為樣本,所有數(shù)據(jù)來源于萬德數(shù)據(jù)庫及國泰安數(shù)據(jù)庫。首先,關于可轉債理論價值的確定,我們采用了Black-Scholes期權定價模型,結果顯示,樣本可轉債平均存在16%的折價。其次,通過線性回歸分析研究了可轉換債券發(fā)行折價與五個潛在影響因素的關系。實證研究表明,可轉換債券發(fā)行折價與發(fā)行規(guī)模顯著負相關；與發(fā)行公司負債率顯著正相關。其原因可能是由于較大的發(fā)行規(guī)模可以降低信息不對稱,使可轉債發(fā)行價更趨近于理論價值,折價減��；較高的負債率可能導致較低的償債能力,公司發(fā)行可轉債時傾向于以更大的折價吸引投資者。實證結果顯示發(fā)行折價與可轉債的流動性、期限和評級的關系不顯著。另外,中國市場缺乏賣空機制也是導致可轉債大幅折價的一個原因。 本文的局限在于：一是定價模型沒有考慮到可轉債所包含的各項復雜條款,可以結合蒙特卡洛模擬、二叉樹等方法得到更為精確的定價；二是本文只研究了可轉債發(fā)行時的折價,并未研究轉債上市整個期間理論價值與市場價格的關系；三是回歸模型的建立囿于可獲得的數(shù)據(jù),未來的研究可以包含更多潛在的影響因素,例如發(fā)行費用、投資者結構等。
[Abstract]:Convertible bonds are a hybrid form of bonds, with an option attached to the issuance of corporate bonds. Allows its holder to convert to the shares of a bond issuing company within a specified period of time at a certain percentage or price. Convertible bonds have the characteristics of both debt and equity. China has a short history of convertible bonds. In 1992, Shenbao'an issued A shares convertible bonds. It is the first convertible bond issued by a listed company in China. On 1997, the Securities Commission of the State Council issued the interim measures for the Administration of Convertible Company Bonds, and in 2001, the Securities Regulatory Commission issued the implementation measures for issuing Convertible Company Bonds of listed companies. In 2006, the Securities Regulatory Commission issued the "measures for the Administration of Securities issuance of listed companies", and the convertible bond market further moved towards standardization. Additional issuance has become the main way of refinancing of listed companies. Since -30s, Black-Scholes option pricing model has laid the foundation for the reasonable pricing of derivative financial instruments. Monte Carlo simulation, finite difference method and other numerical methods. At the same time, we also review the relevant literature on the discount of securities. The foreign literature on the discount of convertible bonds shows that the discount and future liquidity, Chinese scholars have also done more research on the pricing of convertible bonds. Most of the literature shows that there is a significant discount on convertible bonds in China. However, most of the existing research is to put forward some possible explanations for the discount phenomenon of convertible bonds, and because of the limitation of sample size, the existing literature is mostly based on case analysis, and there are few empirical studies on large samples. In this paper, 76 convertible bonds listed in China from 2000 to March 2011 are selected as samples. All the data come from Wanda database and Cathay Taian database. Firstly, the theoretical value of convertible bonds is determined. We use the Black-Scholes option pricing model, the results show that the sample convertible bonds have an average discount of 16%. Secondly, through linear regression analysis, we study the relationship between the discount of convertible bond issuance and five potential influencing factors. The discounted price of convertible bonds is significantly negatively correlated with the issuing scale and the debt ratio of the issuing company is significantly positive. The reason may be that the larger issuance scale can reduce the information asymmetry and make the issuing price of convertible bonds more close to the theoretical value. Lower discounts; higher debt ratios may lead to lower solvency, and companies tend to attract investors at greater discounts when issuing convertible bonds. The relationship between maturity and rating is not significant. In addition, the lack of a short selling mechanism in the Chinese market is also one of the reasons for the sharp discount of convertible bonds. The limitations of this paper are as follows: first, the pricing model does not take into account the various complex clauses contained in convertible bonds, and can be more accurately priced with Monte Carlo simulation, binary tree and other methods; Second, this paper only studies the discount when convertible bonds are issued, and does not study the relationship between the theoretical value and the market price of convertible bonds during the whole period of listing; third, the establishment of regression model is limited by the available data. Future research may include more potential factors, such as issuance fees, investor structure, etc.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1500611