中国可转换公司债券定价研究

【作者】 曾瑜；

【导师】 肖广牧；

【作者基本信息】 西南财经大学 ， 统计学， 2003， 硕士

【摘要】 从1843年美国纽约Erie Railway公司发行世界上第一支可转换公司债券（CB）开始，经过不断创新，可转债已经形成了一个庞大的家族。CB是一种衍生的、复合金融产品，不仅具有债权性，而且具有股权性，投资人和发行人的权利也不是单一的一种，而是一组，并且随着时间和情况的变化而变化。前者拥有债权、转股权和回售权，后者拥有资金使用权、附条件股权和赎回权。一、研究思路和目的中国的资本市场还相当年轻和幼稚，可转债引入的时间也不长。自从1992年深宝安发行第一支可转债以来，到2002年末，中国共计发行可转债18支（包括国外上市的5支），融资规模约合150亿元人民币。与证券市场其他融资工具相比，这样的发行规模只能算作一个补充渠道，并且基本上是一个品种，对改善资本市场的结构起不到多大的作用。考虑到优化结构对中国资本市场的重要性，同时证券市场目前正处于低谷时期，可转债的确有大力发展之必要；但是，发行的效果却不如人意，首先就表现在投资者对CB的否定——极高的中签率使得包销商叫苦不迭。商品的供需出了问题，可以通过价格机制进行调节；同样的道理，CB发不出去，也是供需出现了矛盾，这就需要对定价问题进行研究。本文的研究对象是CB的发行价格。我国证监会规定CB发行必须按面值平价发行，但是这一价格从现实上看是不合理的，那么问题出在什么地方？本文通过分析，认为在转轨时期，制度对市场乃至资本品的价格都会产生影响，在中国，对CB定价不能照搬国外的研究结论，也不能仅仅对定价模型中的细枝末节进行修正而陷入数值计算的难题中，而必须考虑中国资本市场特有的性质——制度主导发展，这是对CB整体价值的影响，由此就提出了第二个问题：如何在定价问题上反映出制度的影响程度——这就是本文的核心三步定价法。通过实证分析，我们找到了一个比较恰当的指标来衡量制度对价格的影响程度，由此构造了一个比较符合我国实际情况的CB定价模型。既然已经证明了制度对CB的价格有影响，那么我<WP=3>们给出的模型就有一定的现实指导意义：在未来CB的发行定价中应该考虑到制度因素，至于平价发行的规定限制了不能在发行价格上作调整，但是可以通过条款设计来体现制度的影响（CB的价值由发行价和条款设计体现出来）。写作本文的目的有三个，第一是帮助政府、筹资者和投资者正确认识可转债这一金融衍生工具的价值。第二是帮助监管人重新认识可转债在中国证券市场建设中的地位。的确，目前中国证券市场结构优化的任务很重，但对于像我们这样一个政策推动型的市场来说，产品多样化和规范化几乎是同样重要的两件事。第三是作为一种尝试，我们希望通过自己的努力，用定量分析技术，研究一个富有中国特色的CB定价模型。这个目标的难度可想而知，但我相信，已经有了开头的正确的事情，肯定会发展下去，必然会有后来的研究者对其进行更加规范化的研究。二、本文的研究方法和结构本文使用了三项标准技术。第一项是西方成熟的经济学分析技术。用经济学方法观察和研究金融学领域里的事情，国内首推北京大学的史树中教授，正如史树中教授说的那样，经济学，尤其是微观经济学的分析技术，可以指导金融研究，但不能替代它。在实证领域，经济学通过人们显示出的偏好，建立一个个假设和模型，然后通过实际生活中的数据进行验证；而金融学，也是通过一系列决策人的风险—收益匹配显示出的行为轨迹，建立模型，然后通过实际生活中的数据进行验证。但金融市场与普通商品市场有质的区别，那就是包含在金融产品中的高度“不确定性”，这种特质需要更加复杂的数学工具支撑，因而在技术上给一些经济领域里的人设置了障碍。在本文中，我们把可转债的定价看成是市场各主体博弈的结果，这样描述的时候，可转债的内部构造很容易被理解为三大部分——债权价值、期权价值和制度价值。第二项是公司价值评估技术和未定权益定价技术。在债权价值计算中，我们使用了价值评估技术——净现值法；在期权价值计算中，采用了期权定价技术——B1ack&Scholes期权定价模型。我国有很多<WP=4>学者在这两个价值的假设上进行了深入研究，认为假设本身不符合中国的实情，探讨的是相对放宽假设后的数值计算技术；本文回避了繁琐的数值计算，采用的是传统经典的债权、期权定价模型，这是因为我们探讨的核心问题是制度对价格是否有影响、影响程度如何以及由此构造的制度价值范畴。第三项是计量分析技术。在本文的核心——三步法计算CB价值中，使用了计量分析中的对数正态性检验、相关分析、回归分析、时间序列趋势性检验、非参数秩和检验等技术。在具备这些技术支持的前提下，本文的内容包括四部分。第一部分概论的内容涵盖了理论分析的整个思路：本文一开始就站在效率与公平的高度，提出了我国CB定价要到达的目标是寻找一个使得市场三方主体都接受的价格决定模式。有了这个框架，我们就遵循由宏观到微观、由一般到具体、由历史到现实的认识过程来研究CB的定价问题。首先是现实性和迫切性——通过对我国CB发展历程的研究，本文提出了现阶段研究CB定价的现实性和迫切性。研究之前先界定有关范畴—更多还原

【Abstract】 The Convertible Bond (hereafter referred to as CB) is a kind of financial derivative, which has double attributes -debt and equity. Due to its peculiar attributes, the development of CB in China accords with the country’s plan to develop bonds market energetically after its accession to the WTO. Besides, CB provides a rational method of balancing the supply and demand of the fund. However, since Shenzhen Baoan Group issued the first real CB of our country in 1992, only 17 enterprises have issued 18 CBs. Comparing to the total number of the listed corporations-1224, the number of CB is so small that CB has little impact on the capital market in China. On such an issuing scale, CB can only be regarded as a channel of supplementing, and does not play a big more role to the improvement of the capital market structure.WTO requires that each member open its market including the capital market to one another. BNP PARIBAS PEREGRINE made a further investigation on the question of Chinese accession to the WTO. In its "Study of Chinese Capital Market" (2001), it referred to: "Objectively, the current situation of Chinese capital market does not keep up with the international capital circulation. As far as the investment in China is concerned, the continuous large portfolios are suitable. But the market has not been opened." After China entered WTO, each field faces the challenges of linking with the international standards. The Chinese capital market should accelerate this process in the main three aspects-supervisory system, legal system as well as listed company management system. As for the equilibrium of efficiency and fair, the capital market should primarily guarantee fairness now. A good market environment is not only an essential condition of entering WTO, but also a foundation on the basis of which the capital market could develop at a<WP=8>high speed in future. There are such many places that require improving at present as very high market costs, the prevalence of speculating, the unbalance of market, great difference between supply &demand and weak capital product, etc.This thesis proceeds with respective interest mechanisms of three main bodies in the market (Government, Fund-raiser and Investor). From the independent perspective, we give great consideration to the pattern of three interests and propose that we should follow the train of thought on the question of pricing CB: Currently, we should build an excellent system, which can produce a fair environment, and then seek a pricing mode that could be accepted by the three parts in capital market. With the beginning of qualitative analysis, we suggest that because the pricing model should inflect the reality of China, indiscriminately imitating the foreign model in pricing of CB in our country is not fit. Thus, we propose that we should adopt three-step model in the process of pricing CB’s. We introduce a system variable to the model to adjust the traditional pricing model, and hope that the new model includes more market information. Then, we choose 4 CBs to finish empirical analysis. At last, from the quantitative angle, we get a reasonable result.This article consists of four major parts: Outline, Pricing method research, Empirical analysis and Several conclusions & proposals. The innovations mainly lie in: ① First time we demarcate the development course of CB market in our country and divide the span of ten years into three stages - Exploring, Standardizing and Perfecting. ② In economic development, there is a proverb - Efficiency comes first, and then the balance. We think that’s not always true and have suggested that the right way to develop CB market should put the Fair problem on primary position in present and then Efficiency. ③ Now, the economy of our country is on the transitional period during which the system exerts very strong influence on the capital market. We introduce a system factor to<WP=9>the traditional CB two-step pricing model in order to adjust the theoretical pricing to accord it with reality of the Chinese capita更多还原