我国可转换债券市场投融资效应分析
摘要
以可转换债券为金融中介工具而形成的可转换债券市场，是资本市场的一个重要组成部分。可转换债券作为一种兼具股权和债权特点的金融工具，经过150年的发展和数次大的创新，已经成为全球资本市场上相当成熟普遍的投融资工具。我国可转换债券市场起步于20世纪90年代初期，在相当长时间内发展基本处于停滞状态。2001年4月28日，《上市公司发行可转换公司债券实施办法》及其三个配套文件正式出台，标志着可转换公司债券成为我国资本市场一种常规的投融资金融工具。近一年多来，我国可转换债券市场呈现出高速发展态势，可转换债券融资总额超过同期增发和配股的融资总和，首次成为我国证券市场再融资的主要工具。
本文通过研究发现，我国可转换债券市场的风险收益特征等投资效应和考虑发行人资金成本等融资效应，与传统理论以及国外成熟市场现状基本相符。并且由于更优惠的发行条款以及与其它投资工具相关性更低，使得我国可转换债券市场具有更高的投资价值。据此，本文提出了对我国可转换债券在投资组合管理中的应用加强理论研究和实践操作的建议。然而，在我国资本市场股权严重分割的现实情况下，可转换债券融资在我国具有很强的股权融资特征，流通股股东利益受到侵害的现象依然存在。据此，本文又提出了建立流通股股东类别表决机制及加大流通股股东可转换债券配售比例的政策建议。
Convertible bond, along with the gradual development of the convertibles market, had come to be a significant part of modern financial market. Being an innovative financing instrument that combines the characteristics of both equity and bond, and through the evolution of 150 years, convertible bond is now one of the prevailing financing approaches for listed firms all around the world.
The convertible bond market of modern China emerged in early 1990s. After several years of stagnation, Regulations of Offering Convertible Bond and other three relevant official regulation papers were brought out in April 2001, indicating that convertible bond is officially recognized as an ordinary financing approach. Since then, China convertible bond market was on the rail of rapid development and expansion. In recent years, issuing convertible bond was the dominant approach when China listed firms considered refinancing.
Through empirical research, the author argues that, after considering the effects such as risk-return features and the cost of financing, China convertible bond market has similar characteristics with mature market, and is reasonably in accord with the classic theories of financial market and instruments. Due to the prevalent favorable clauses embedded, as well as low correlation with other financial instruments, China convertible bonds provide superior value to enhance portfolio efficiency.
Nevertheless, the inherent separation of equity of shareholders results in some serious market anomaly. Consequently, issuing convertible bond is still deemed as equity financing in China capital market. At times conflicts of interest is induced and the interest of shareholders of circulating shares is damaged in many cases. The author hereby suggests that, the regulatory authorities should support the shareholders of circulating shares to have more purchasing priority when the firm issuing convertible bond, and eventually promote the establishment of separation vote system as soon as possible.
本文通过研究发现，我国可转换债券市场的风险收益特征等投资效应和考虑发行人资金成本等融资效应，与传统理论以及国外成熟市场现状基本相符。并且由于更优惠的发行条款以及与其它投资工具相关性更低，使得我国可转换债券市场具有更高的投资价值。据此，本文提出了对我国可转换债券在投资组合管理中的应用加强理论研究和实践操作的建议。然而，在我国资本市场股权严重分割的现实情况下，可转换债券融资在我国具有很强的股权融资特征，流通股股东利益受到侵害的现象依然存在。据此，本文又提出了建立流通股股东类别表决机制及加大流通股股东可转换债券配售比例的政策建议。
Convertible bond, along with the gradual development of the convertibles market, had come to be a significant part of modern financial market. Being an innovative financing instrument that combines the characteristics of both equity and bond, and through the evolution of 150 years, convertible bond is now one of the prevailing financing approaches for listed firms all around the world.
The convertible bond market of modern China emerged in early 1990s. After several years of stagnation, Regulations of Offering Convertible Bond and other three relevant official regulation papers were brought out in April 2001, indicating that convertible bond is officially recognized as an ordinary financing approach. Since then, China convertible bond market was on the rail of rapid development and expansion. In recent years, issuing convertible bond was the dominant approach when China listed firms considered refinancing.
Through empirical research, the author argues that, after considering the effects such as risk-return features and the cost of financing, China convertible bond market has similar characteristics with mature market, and is reasonably in accord with the classic theories of financial market and instruments. Due to the prevalent favorable clauses embedded, as well as low correlation with other financial instruments, China convertible bonds provide superior value to enhance portfolio efficiency.
Nevertheless, the inherent separation of equity of shareholders results in some serious market anomaly. Consequently, issuing convertible bond is still deemed as equity financing in China capital market. At times conflicts of interest is induced and the interest of shareholders of circulating shares is damaged in many cases. The author hereby suggests that, the regulatory authorities should support the shareholders of circulating shares to have more purchasing priority when the firm issuing convertible bond, and eventually promote the establishment of separation vote system as soon as possible.
引文
[1] 蒋殿春，张新．可转换公司债定价问题研究，国际金融研究，2002．4
[2] Kevin B. Connolly, 1998, Pricing Convertible Bonds, 6th edition, (John Wiley & Sons).
[3] 王铁锋．中国可转换公司债券投资价值研究，财贸经济，2003．8
[4] Robert Higgins, 1998, Analysis for Financial Management, 5th Edition, (China Machine Press/McGraw-Hill)
[5] John Hull, 2002, Options, Futures and Other Derivatives, 4th Edition (Prentice-Hall).
[6] Kim, Yong-Cheol, Stulz, Rene M. Is There a Global Market for Convertible Bonds?. Journal of Business. 1992
[7] Billingsley, Randall S. and David M. Smith: "Why do Firms Issue Convertible Debt". Financial Management, Vol. 25, No. 2, Summer 1995: 93-99.
[8] George A.Philips. Convertible Bond Markets. Macmillan Press LTD. 1997
[9] Frank J. Fabozzi, 2002, Foundations of Financial Markets and Institutions, 3rd Edition. (Prentice-Hall).
[10] 曾健，唐明哲．可转换债券—公司制度的有效融资工具，投资研究，2001．5
[11] 李刚剑，刘振宇．可转换公司债券的融资与投资，中国财政经济出版社，1997．12
[12] Brennan, M. J., E. S. Schwartz. Analysis Convertible Bond. Journal of Finance and Quantitative Analysis, 1976(21)
[13] Davit T, Default and Recovery Rates of Convertible Bond Issues: 1970-2000, 2001
[14] 杨大楷，黄海．我国可转换债券设计及发展思路，金融与保险，2001．8
[15] Jarrow Robert and Stuart Tumbull, 1999, 2nd edition, Derivative Securities (South-Western College Publishing, Cincinnati, Ohio)
[16] 杨亢余．析国内可转换债券市场，证券市场导报，2003．4
[17] John Hull, 1995, Introduction to Futures and Options Markets, 3rd Edition (Prentice-Hall).
[18] 孙繁军．欧美的可转换债券市场及其借鉴意义，证券市场导报，2001．11
[19] 门庆兵．可转换债券对公司财务结构的影响及其发行时机，财经科学，2002．3
[20] Bodie, Zvi, Alex Kane and Alan J. Marcus, 2002, Investments, 5th Edition, (McGraw Hill).
[21] Frank J. Fabozzi, 2002, Foundations of Financial Markets and Institutions, 3rd Edition. (Prentice-Hall).
[22] 袁秀勤．可转换债券市场现状、疲软原因与市场前景，上市公司，2003．1
[23] 孟辉，刘孝红，张燕．可转换债券：股性和债性，资本市场，2002．7
[24] 张宗新，姚力．可转换债券优化公司资本结构的机理分析，资本市场，2001．10
[25] Tufano, Peter, "How Financial Engineering Can Advance Corporate Strategy", Harvard Business Review, Jan.-Feb. 1996: 136-146.
[26] Ross, Stephen A., Randolph W. Westerfield and Jeffery F. Jaffe, 2002, Corporate Finance, 6th edition, (McGraw-Hill/Irwin).
[27] Black, F. and Scholes, M., 1973, "The pricing of options and corporate liabilities", Journal of Political Economy, May-June pp.637～54.
[28] Taggert, Robert A.,1977. "A Model of Corporate Financing Decisions." The Journal of Finance, 32: 1467-84.
[29] 刘立喜．可转换公司债券，上海财经大学出版社，1999．5
[30] 郭昕炜．如何发展可转换债券市场，资本市场，2002．7
[31] 杨亢余．国外可转换债券市场的发展及对我国的启示，证券市场导报，2002．6
[32] Stein, J. C., 1992, "Convertible Bonds as Backdoor Equity Financing", Journal of Financial Economics, 32, 3-21.
[33] 马忠智，吕益民．可转换公司债券发行与交易实务，人民出版社，1996．10
[34] Richard A. Brealey and Stewart C. Myers, Principles of Corporate Finance, 7th edition, (McGraw-Hill).2002
[35] Mark Grinblatt, Sheridan Titman, Financial Markets and Corporate Strategy, 2nd Edition, (McGraw-Hill Irwin 2002).
[36] 杨如彦，魏刚，刘孝红，孟辉．可转换债券及其绩效评价，中国人民大学出版社，2002
[37] 卢向南，陈晓岗．可转换债券转换受阻时的策略研究，投资与证券，2001．7
[38] Mayers, D. Why Firms Issue Convertible Bonds: The Matching of Financial and real Investment Options. The A. Gary Anderson Graduate School of Management. 1996
[39] Brennan,M.J. and E.S.Schwartz, 1980, "Analyzing Convertble Bonds", Journal of Financial and Quantitative Analysis, 15, pp.907～929.
[40] Harris, Milton and Artur Raviv. 1990. "Capital Structure and the Informational Role of Debt" The Journal of Finance, 45, 321-49.
[41] 王绥霆，符浩勇．加快发展可转换债券市场大有可为，金融参考，2003．1
[2] Kevin B. Connolly, 1998, Pricing Convertible Bonds, 6th edition, (John Wiley & Sons).
[3] 王铁锋．中国可转换公司债券投资价值研究，财贸经济，2003．8
[4] Robert Higgins, 1998, Analysis for Financial Management, 5th Edition, (China Machine Press/McGraw-Hill)
[5] John Hull, 2002, Options, Futures and Other Derivatives, 4th Edition (Prentice-Hall).
[6] Kim, Yong-Cheol, Stulz, Rene M. Is There a Global Market for Convertible Bonds?. Journal of Business. 1992
[7] Billingsley, Randall S. and David M. Smith: "Why do Firms Issue Convertible Debt". Financial Management, Vol. 25, No. 2, Summer 1995: 93-99.
[8] George A.Philips. Convertible Bond Markets. Macmillan Press LTD. 1997
[9] Frank J. Fabozzi, 2002, Foundations of Financial Markets and Institutions, 3rd Edition. (Prentice-Hall).
[10] 曾健，唐明哲．可转换债券—公司制度的有效融资工具，投资研究，2001．5
[11] 李刚剑，刘振宇．可转换公司债券的融资与投资，中国财政经济出版社，1997．12
[12] Brennan, M. J., E. S. Schwartz. Analysis Convertible Bond. Journal of Finance and Quantitative Analysis, 1976(21)
[13] Davit T, Default and Recovery Rates of Convertible Bond Issues: 1970-2000, 2001
[14] 杨大楷，黄海．我国可转换债券设计及发展思路，金融与保险，2001．8
[15] Jarrow Robert and Stuart Tumbull, 1999, 2nd edition, Derivative Securities (South-Western College Publishing, Cincinnati, Ohio)
[16] 杨亢余．析国内可转换债券市场，证券市场导报，2003．4
[17] John Hull, 1995, Introduction to Futures and Options Markets, 3rd Edition (Prentice-Hall).
[18] 孙繁军．欧美的可转换债券市场及其借鉴意义，证券市场导报，2001．11
[19] 门庆兵．可转换债券对公司财务结构的影响及其发行时机，财经科学，2002．3
[20] Bodie, Zvi, Alex Kane and Alan J. Marcus, 2002, Investments, 5th Edition, (McGraw Hill).
[21] Frank J. Fabozzi, 2002, Foundations of Financial Markets and Institutions, 3rd Edition. (Prentice-Hall).
[22] 袁秀勤．可转换债券市场现状、疲软原因与市场前景，上市公司，2003．1
[23] 孟辉，刘孝红，张燕．可转换债券：股性和债性，资本市场，2002．7
[24] 张宗新，姚力．可转换债券优化公司资本结构的机理分析，资本市场，2001．10
[25] Tufano, Peter, "How Financial Engineering Can Advance Corporate Strategy", Harvard Business Review, Jan.-Feb. 1996: 136-146.
[26] Ross, Stephen A., Randolph W. Westerfield and Jeffery F. Jaffe, 2002, Corporate Finance, 6th edition, (McGraw-Hill/Irwin).
[27] Black, F. and Scholes, M., 1973, "The pricing of options and corporate liabilities", Journal of Political Economy, May-June pp.637～54.
[28] Taggert, Robert A.,1977. "A Model of Corporate Financing Decisions." The Journal of Finance, 32: 1467-84.
[29] 刘立喜．可转换公司债券，上海财经大学出版社，1999．5
[30] 郭昕炜．如何发展可转换债券市场，资本市场，2002．7
[31] 杨亢余．国外可转换债券市场的发展及对我国的启示，证券市场导报，2002．6
[32] Stein, J. C., 1992, "Convertible Bonds as Backdoor Equity Financing", Journal of Financial Economics, 32, 3-21.
[33] 马忠智，吕益民．可转换公司债券发行与交易实务，人民出版社，1996．10
[34] Richard A. Brealey and Stewart C. Myers, Principles of Corporate Finance, 7th edition, (McGraw-Hill).2002
[35] Mark Grinblatt, Sheridan Titman, Financial Markets and Corporate Strategy, 2nd Edition, (McGraw-Hill Irwin 2002).
[36] 杨如彦，魏刚，刘孝红，孟辉．可转换债券及其绩效评价，中国人民大学出版社，2002
[37] 卢向南，陈晓岗．可转换债券转换受阻时的策略研究，投资与证券，2001．7
[38] Mayers, D. Why Firms Issue Convertible Bonds: The Matching of Financial and real Investment Options. The A. Gary Anderson Graduate School of Management. 1996
[39] Brennan,M.J. and E.S.Schwartz, 1980, "Analyzing Convertble Bonds", Journal of Financial and Quantitative Analysis, 15, pp.907～929.
[40] Harris, Milton and Artur Raviv. 1990. "Capital Structure and the Informational Role of Debt" The Journal of Finance, 45, 321-49.
[41] 王绥霆，符浩勇．加快发展可转换债券市场大有可为，金融参考，2003．1
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