【作者】 王涛；

【导师】 陈昆亭；

【作者基本信息】 山东大学 ， 金融学， 2007， 硕士

【摘要】 可转换债券(Convertible Bonds)是介于股票和和债券之间的，兼有债务性与期权性的中长期混合金融工具。它属于公司债券的范畴，赋予投资者一定的权利，即在可转换债券发行日和到期日间，投资者可以根据个人意愿，选择持有可转换债券至到期日以获得稳定的利息收益，或在其转换期内将其转换为公司股票。本文对可转换债券融资优势的分析，是从市场准入、融资时机、利息成本、资本结构动态优化、税盾效应、稀释效应、收益、风险角度进行的。第二章，首先从不同融资方式市场准入法律规定的角度，然后从融资时机、利息成本、资本结构的动态优化、税盾效应、稀释效应角度对可转换债券融资进行定性分析，得出了一些可转换债券融资相对于债券、股权融资所具有的普遍优势。但依有效市场理论，不存在具有普遍优势的融资方式，即每种融资方式都有自己特有的优势。对于不同公司、不同的发展阶段有不同的情况，但就个别公司来说，具有优势的融资方式是存在的。本文从最优资本结构的理论出发，进行理论分析，得出了可转换债券优化资本结构的前提条件：企业经营业绩良好、成长速度快、有股本扩张的需要。第三章，从收益和风险两方面对可转换债券的融资优势进行实证分析。首先以包钢股份(符合可转换债券优化资本的前提条件)为例，以其财务数据作为基础，利用税盾效应和稀释效应的工具对其进行分析比较。在融资方式不影响融资规模、融资项目的前提假设下，得出如下结论：与股权和债券融资相比，可转换债券获得了较高的每股收益。我们考察一个项目或者一个融资方式，要从收益和风险两方面进行考察。我们首先利用财务杠杆对三种融资方式进行比较，发现采用可转换债券融资的财务风险明显要低于债券融资，稍高于股权融资。国内外研究表明，债券、股票的融资公告，会引起负的股价效应，即股票价格会向下波动。我们对可转换债券公告的股价效应进行研究，希望得出比较优势。英美市场对可转换债券的融资公告有显著的负股价效应，而日本、荷兰则表现出正的股价效应。本文以我国在2002年8月到2006年12月间发行可转换债券的上市公司为样本，使用累计超额收益分析法对其进行实证研究发现：我国的可转换债券的股价效应显著为零。更多还原

【Abstract】 A convertible bond is a mid-long term financial instrument which is in the middle of stock and bonds, and possesses natures of both debt and options. It is in the category of corporate bonds, and promises certain rights to investors. During the period from release date to expiration date, investors can choose to hold interest income until the expiration or convert it into corporate stock in conversion period.In the analysis of the financing advantages of convertible bonds, this article chooses following aspects: market access, interest cost, financing time, capital structure optimization, tax shield effect, dilution effect, earnings per share, and relevant risk.In Chapter 2, the writer conducts a qualitative analysis from several angles such as market access, interest cost, financing time, capital structure optimization, tax shield effect and dilution effect, and finds some common advantages of convertible bonds compared to stock and bonds. However, according to effective market theory, a way of financing which possesses all advantages does not exist; that is to say, every financing way has its special strength. For different companies and different develop stages, this is different conditions. But for a special.company, an advantageous financing way is likely to exist. This article begins from capital structure optimization, conducts a series of theoretical analysis, getting the prerequisite of convertible bonds capital structure optimization: good operation performance, quick growth rate, and the necessity of equity expansion.In Chapter 3, the writer conducts an empirical analysis on the financing advantages of convertible bonds from the aspects of return and risk. At first, the writer sets Baotou Irons & Steel Co. as an example, basing on its financial data, using tax shield effect and dilution effect to conduct a comparative analysis. Under the premise that financing way does not influence financing scale and financing projects, the writer arrives at the conclusion that compared with stock and bonds financing, convertible bonds gets high earnings per share. When evaluating a financing project of financing way, not only its return, but also its risk matters. This article uses financial leverage to compare three financing methods and finds that convertible bond’s financial risk is conspicuously lower than that of bonds-finance, and a little higher than that of stock-finance. Both domestic and foreign researches indicate that the announcements of bond-finance and stock-finance will have negative stock-price effect; that is to say that the stock price will go down. This article hopes to get a comparative advantage through the study on the stock-price effect of convertible bonds. The result is that English and American markets have negative effect for financing announcement of convertible bonds, while Japan and Netherlands have positive effect. This article selects corporate that issued convertible bonds between August 2002 and December 2006 as a sample, conducts an empirical study and finds that convertible bonds in China’s market has no stock price effect substantially.更多还原