【作者】 王敏；

【导师】 王静； 孙养学；

【作者基本信息】 西北农林科技大学 ， 金融学， 2007， 硕士

【摘要】 可转换公司债券(简称“可转债”),是指发行人依照法定程序发行,在一定期间内依据约定的条件可以将其转换成股票的公司债券。从性质上看,可转换债券是一种介于债券和股票之间的复合金融衍生产品,它赋予投资者在某一特定的时间、以某一特定的价格将其转换成特定数量股票的权利。随着20世纪70年代期权定价理论的发展,理论界对可转债的定价研究也进入了快速发展时期,现在可转债己经成为全球证券市场中主要的融资和投资工具之一。我国可转债的发展始于1992年,经过十多年的发展,无论是从发行数量上还是从发行规模上来讲,可转债市场都取得了长足的进步,目前已经成为上市公司普遍关注的再融资方式之一。本文对可转债将债券转换为股票这一特点及转股过程中各种权属关系的变化进行了分析,进而确定我国可转换债券的价值构成,然后在分析国内外可转换债券定价理论的基础上,从交换期权的视角研究可转债的定价问题。文章采用定性分析与定量分析相结合、对比分析与系统分析相结合的分析方法,通过B-S模型与交换期权模型的实证对比分析发现,在非转换期内,交换期权模型作为可转债的转股权定价依据有较强的适用性,但在转换期内,两种定价方法得到的理论价格与市场价差距较大。鉴于此,本文认为可转债的市场价格具有不确定性,是一系列可变的不确定数,并基于集对分析理论(SPA),指出现有定价模型的不足,在原有模型的基础上对其进行了修正,从而为可转换债券定价提供更加科学的依据。修正后的可转债定价模型可为投资者和发行人提供决策依据,对我国可转债市场的发展具有积极的促进作用。本文共分五章:第一章阐述了本文的选题背景、目的、意义及国内外的相关理论研究综述;第二章介绍了可转换债券的性质、各种条款及可转债定价的理论依据;第三章分析了可转债的价值构成,并介绍了可转债转股权定价的基础方法,即:B-S期权定价模型和交换期权定价模型;第四章选取我国13支上市可转债作为样本,利用B-S模型和交换期权模型进行实证对比研究,发现交换期权模型的理论值在样本期内较B-S模型的价格更接近可转债市场价格,但两种理论所定价格与市场价格有一定的差距,特别是在转换期,这种差距更大,利用集对分析理论对非转换期和转换期的可转债理论价值与市场价格进行了同异反的态势检验,并对转换期的两种定价模型作了修正。实证研究证明,转换期内用修正后的可转债定价模型得到的理论值与市场价值差距较小,更为可信。第五章对理论价值与市场价格的偏差作了补充说明。更多还原

【Abstract】 Convertible bonds (CB), are corporate bonds, which are issued by a corporation under conditions prescribed by law and can be converted into common shares according to preset conditions in a preset period. It is a hybrid security that retains the characteristics of common corporate bonds, and offers the option of conversion into underlying stock. It endows the right to investors to convert CB into common shares at a certain price in a certain period. In the 1970’s, owing to the development of the option pricing theory, we have made great progress in valuing CB. Since it’s inception in 1992, it has become one of the most popular financing and investment instruments in China. After more than 10 years of development, our CB market has achieved considerable progress, in scale and in quantity. At present, CB has become one of the leading methods for corporate refinancing.This article analyses the characteristics of conversion and the transformation of each kind of right in the process of conversion. The value of our CB is defined on the basis of Exchange Option theory. This is standard practice throughout the world. I have used qualitative, quantitative, comparative and systematic analysis to value CB. The comparative analysis of B-S model and Exchange Option model shows that the latter can be used for pricing convertible bonds during the issue period. But during the conversion period, there is a large variation between market price and the price according to the two theories.According to the above-mentioned facts, this article regards CB market prices as a series of uncertain figures, and points out the drawbacks of the existing model and revises it on the basis of Set Pair Analysis theory to provide a scientific basis for the valuation of CB. Investors and issuers of CB can use the revised model as a basis for decision making. This article can play a positive role in development of our CB market.This article has five chapters. The first chapter outlines the background, goals, significance, domestic and foreign related fundamental research on this topic. The second chapter introduces the character and regulations of CB and the theoretical basis for valuing CB. The third chapter analyses the compositional value of CB and introduces two basic pricing models for conversion right, B-S model and Exchange Option model. The fourth chapter chooses 13 listed CB in our country as samples to make a comparative analysis with B-S model and Exchange Option model. It shows that the price of the CB with the Exchange Option model is closer to the market price than the B-S model. There is a large deviation between the price prediction of the two models and the market price, especially during conversion time the deviation is larger. I make the Same-Different-Opposite Situation Test for the prices of the two models and the market price on the basis of Set Pair Analysis theory, and revise the two models in conversion time .The result shows that the deviation between the revised model price and the market price is small. The last chapter explains the deviation.更多还原