基于破产风险的可转换债券融资决策研究
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摘要
本文主要研究可转换债券投资者的转换策略、回售策略以及企业的赎回策略问题,通过分析三种策略实施的条件及时间对可转换债券融资决策的影响,建立了基于破产风险的可转换债券融资决策模型.主要工作如下:
资本投资收益率决定了企业的融资资本结构,已有的研究多是将资本投资收益率用随机变量来表示,而人们对于企业的资本投资收益率常用“高”、“低”等模糊语言来描述,资本的未来投资收益率不仅具有随机性还具有模糊性,本文在随机环境和随机模糊环境下分别建立了基于破产风险的融资决策模型.
本文在确定投资者的转换条件和转换数量时考虑了投资者风险偏好和信息不对称的存在.具有风险偏好的投资者在实施转换时要求一定的转换溢价,而所有投资者的转换溢价具有一定的模糊性,本文根据所要求的转换溢价数值的大小将投资者分为三类,并分别对三类投资者的转换条件和转换数量进行了定量分析,给出了不同风险偏好投资者实施转换的条件以及最优转换量.
鉴于企业赎回的目的是强迫投资者实施转股,本文在考虑投资者的转换条件及赎回公告期对企业赎回策略的影响下,提出了企业实施赎回的股票价格约束和赎回成本约束,并根据企业的经营目标给出了赎回期望值准则.
投资者实施回售不仅要考虑到当前股票价格的下跌情况,还要根据影响股票价格的因素综合考虑过去股票价格下跌的程度以及所持续的时间.本文通过给定过去股票价格下跌程度及持续时间对回售的影响权重,给出了新的回售条件.
本文通过对投资者的转换策略、回售策略以及企业赎回策略的实施条件及时间进行分析,建立了考虑破产风险的可转换债券融资决策模型,并根据可转换债券融资的两个极端结果给出了可转换债券的发行范围.
In this dissertation, the conversion strategy, the sale strategy and the call strategy are studied. Through analyzing the effect of the actualizing condition and the time of three strategies on the convertible bond financing, the convertible bond financial decision-making model with bankruptcy risk is set up. The main work is as follows.
The return on total capital determines the capital structure of corporate. The return on total capital is characterized as random variable in past studies. In fact, the profit of a corporate in future is always characterized by vague linguistic descriptions such as " high profit ", " low profit ". The return on total capital is not only stochastic but also fuzzy. Here the financial decision-making model based on bankruptcy risk is established in stochastic environment and random fuzzy environment, respectively.
The conversion condition and conversion amount are studied in which the investor's risk preference and the asymmetry information are taken into account. The investor with risk preference requires a conversion premium and the conversion premiums of total investors are characterized as fuzzy variable. According to the conversion premium the investors can be classed into three sorts. In the conversion strategy, the conversion condition and the conversion amount of the three sorts investors are analyzed.
The call aim of corporate is to force the investor to convert. Under taking the effect of conversion condition and the notice period on the call strategy, the stock price restriction and the call cost restriction are supplied. Finally, the call expected payout rule is given according to the aim of the corporate.
The investors who decide to sale need take into account not only the stock price current but also the stock price past. Given the degree and the period of stock price under the conversion price certain weight factor, the sale condition of investors can be found.
Under analyzing the condition and the time of three strategies actualizing, the amount of convertible bond remained can be got. According to the amount of convertible bond remained, the convertible bond financing decision-making model based on bankruptcy can be established. Due to two extreme results of the financing decision, the financing scope of convertible bond can be gained. .
资本投资收益率决定了企业的融资资本结构,已有的研究多是将资本投资收益率用随机变量来表示,而人们对于企业的资本投资收益率常用“高”、“低”等模糊语言来描述,资本的未来投资收益率不仅具有随机性还具有模糊性,本文在随机环境和随机模糊环境下分别建立了基于破产风险的融资决策模型.
本文在确定投资者的转换条件和转换数量时考虑了投资者风险偏好和信息不对称的存在.具有风险偏好的投资者在实施转换时要求一定的转换溢价,而所有投资者的转换溢价具有一定的模糊性,本文根据所要求的转换溢价数值的大小将投资者分为三类,并分别对三类投资者的转换条件和转换数量进行了定量分析,给出了不同风险偏好投资者实施转换的条件以及最优转换量.
鉴于企业赎回的目的是强迫投资者实施转股,本文在考虑投资者的转换条件及赎回公告期对企业赎回策略的影响下,提出了企业实施赎回的股票价格约束和赎回成本约束,并根据企业的经营目标给出了赎回期望值准则.
投资者实施回售不仅要考虑到当前股票价格的下跌情况,还要根据影响股票价格的因素综合考虑过去股票价格下跌的程度以及所持续的时间.本文通过给定过去股票价格下跌程度及持续时间对回售的影响权重,给出了新的回售条件.
本文通过对投资者的转换策略、回售策略以及企业赎回策略的实施条件及时间进行分析,建立了考虑破产风险的可转换债券融资决策模型,并根据可转换债券融资的两个极端结果给出了可转换债券的发行范围.
In this dissertation, the conversion strategy, the sale strategy and the call strategy are studied. Through analyzing the effect of the actualizing condition and the time of three strategies on the convertible bond financing, the convertible bond financial decision-making model with bankruptcy risk is set up. The main work is as follows.
The return on total capital determines the capital structure of corporate. The return on total capital is characterized as random variable in past studies. In fact, the profit of a corporate in future is always characterized by vague linguistic descriptions such as " high profit ", " low profit ". The return on total capital is not only stochastic but also fuzzy. Here the financial decision-making model based on bankruptcy risk is established in stochastic environment and random fuzzy environment, respectively.
The conversion condition and conversion amount are studied in which the investor's risk preference and the asymmetry information are taken into account. The investor with risk preference requires a conversion premium and the conversion premiums of total investors are characterized as fuzzy variable. According to the conversion premium the investors can be classed into three sorts. In the conversion strategy, the conversion condition and the conversion amount of the three sorts investors are analyzed.
The call aim of corporate is to force the investor to convert. Under taking the effect of conversion condition and the notice period on the call strategy, the stock price restriction and the call cost restriction are supplied. Finally, the call expected payout rule is given according to the aim of the corporate.
The investors who decide to sale need take into account not only the stock price current but also the stock price past. Given the degree and the period of stock price under the conversion price certain weight factor, the sale condition of investors can be found.
Under analyzing the condition and the time of three strategies actualizing, the amount of convertible bond remained can be got. According to the amount of convertible bond remained, the convertible bond financing decision-making model based on bankruptcy can be established. Due to two extreme results of the financing decision, the financing scope of convertible bond can be gained. .
引文
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