可转换债券与上市公司融资方式选择研究
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摘要
可转换债券融资已在中国资本市场崭露头角，上市公司应用这种金融工具进行外部融资对于解决我国资本市场股权融资比例过高、证券品种单一和金融创新缓慢等现实问题有着重要意义。实践中部分上市公司已经对此进行了尝试，国内理论界也对此表示了相当的关注，但是多数以券商言论为导向，将焦点放在了以套利为直接动机可转换债券定价理论研究上，关于公司应用可转换债券融资本身特点与利弊的探讨十分鲜见。本文从分析可转换债券经济学本质入手，总结了中国上市公司可转换债券融资发展历程与现状，认为可转换债券融资与直接股权和债权融资相比能减少公司外部融资时同时面临的多种股权和债权性相关成本，同时将针对国内的实证结果与理论结果进行比较，揭示出国内融资主体的特征与有待改进之处。
文章首先应用经济学理论剖析可转换债券的属性和本质，对可转换债券融资在中国的发展历史和现状进行总结，并与发达国家现状进行比较，从宏观角度描述其不足之处，为下文的研究作理论上的铺垫。然后以一个模拟案例定量的分析了上市公司可转换债券融资对公司资本结构的影响，重点为考察其在稀释、税盾和财务负担方面的基本作用过程和与直接股权、债权融资的不同之处，在此基础之上，开展进一步的研究。基于对可转换债券融资原因的深入理解，本文认为公司应用可转换债券融资的内因在于减轻信息不对称状态下的多种融资成本，创造性和系统性的将之分为代理成本、价值低估及财务危机成本和风险不确定性成本三大方面，应用两个模型的论述，辅以已有的实证结果，详细论述了可回购可转换债券融资的相对优势和适用公司特征。最后，结合统计软件SPSS 11.0，文章以我国2000年至今发行可转换债券的上市公司和各年相应行业所属公司为样本，进行了统计分析，得出我国上市公司可转换债券融资的动机、发行公司特征和投资者行为对可转换债券融资决策的影响等等，验证了前文的理论，同时揭示了国内该领域的特征和缺陷，在此基础之上提出了若干改进建议。
本文的创新点在于：(1)在最新的程度上完整的总结了国内上市公司可转换债券融资状况。(2)建立了公司选择可转换债券融资内因的系统化理论。(3)首次对国内至今为止全部典型性可转换债券样本进行了公司融资角度的实证研究。
Convertible bonds (CB) financing is now emerging in Chinese capital market. Public company using this kind of financial instrument can help to resolve the problems of exorbitant equity financing scale, few security types and slow financing innovation in this market. Although some public companies have tried it in practice, and the domestic academia has showed much interest, mostly the focus is affected by security dealers and so, on the theory of CB pricing aiming at arbitrage. A theory about the characteristics, advantages and disadvantages of CB financing can hardly be seen. Our research begins with analyzing the economical inbeing of CB, summarizes the history and status in quo of Chinese CB financing. We conclude that CB financing can decrease many types of equity-related and debt-related costs in firm's external financing contrasting with debt and equity financing. We also contrast our experimental evidence in Chinese market with the overseas evidences, and find some characteristics and flaws of domestic issuers.
Firstly, the thesis analyzes CB's property and inbeing using economics theories, and summarizes the history and status in quo of Chinese CB financing. Then we contrast it with the status in quo of developed countries. It gives a macro-analysis of the flaws of the Chinese CB financing, paving way for next research. Secondly, by using a simulative case, the thesis quantificationally analyzes how CB financing affects a public company's capital structure. In this case, we lay stress on the basic process of its dilution, tax shield and financial distress and the differences with debt or equity financing. Base it, we develop our research. On the basis of deeply comprehending, the thesis considers the internal cause of CB financing is to decrease many types of financing costs in the status of asymmetric information. So, creatively and systematacially, we divide them into agency costs, under-pricing and financial distress costs and risk uncertainty costs. By using two models and existing evidences, the thesis then discusses the relative advantages and appropriate firm's characteristics of CB financing. Finally, using SPSS 11.0, the thesis gives a statistical analysis of samples of domestic CB issues and relative industries' data during the years 2000 through 2003. It finds out the incentives of domestic CB issuers, and also, effects of issuer's characteristics and investor reactions on issue decision. The experimental evidences prove our theories and expose some characteristics and flaws of domestic CB issues. Base on them, the thesis gives some advices in the end.
This thesis's innovative points include: 1) To the newest extent, it integrally summarizes status of domestic CB financing by public companies. 2) It gives a systemized theory about the internal cause of CB financing. 3) It gives an experimental study of all the representative domestic CB issue samples up to the present facing corporate financing.
文章首先应用经济学理论剖析可转换债券的属性和本质，对可转换债券融资在中国的发展历史和现状进行总结，并与发达国家现状进行比较，从宏观角度描述其不足之处，为下文的研究作理论上的铺垫。然后以一个模拟案例定量的分析了上市公司可转换债券融资对公司资本结构的影响，重点为考察其在稀释、税盾和财务负担方面的基本作用过程和与直接股权、债权融资的不同之处，在此基础之上，开展进一步的研究。基于对可转换债券融资原因的深入理解，本文认为公司应用可转换债券融资的内因在于减轻信息不对称状态下的多种融资成本，创造性和系统性的将之分为代理成本、价值低估及财务危机成本和风险不确定性成本三大方面，应用两个模型的论述，辅以已有的实证结果，详细论述了可回购可转换债券融资的相对优势和适用公司特征。最后，结合统计软件SPSS 11.0，文章以我国2000年至今发行可转换债券的上市公司和各年相应行业所属公司为样本，进行了统计分析，得出我国上市公司可转换债券融资的动机、发行公司特征和投资者行为对可转换债券融资决策的影响等等，验证了前文的理论，同时揭示了国内该领域的特征和缺陷，在此基础之上提出了若干改进建议。
本文的创新点在于：(1)在最新的程度上完整的总结了国内上市公司可转换债券融资状况。(2)建立了公司选择可转换债券融资内因的系统化理论。(3)首次对国内至今为止全部典型性可转换债券样本进行了公司融资角度的实证研究。
Convertible bonds (CB) financing is now emerging in Chinese capital market. Public company using this kind of financial instrument can help to resolve the problems of exorbitant equity financing scale, few security types and slow financing innovation in this market. Although some public companies have tried it in practice, and the domestic academia has showed much interest, mostly the focus is affected by security dealers and so, on the theory of CB pricing aiming at arbitrage. A theory about the characteristics, advantages and disadvantages of CB financing can hardly be seen. Our research begins with analyzing the economical inbeing of CB, summarizes the history and status in quo of Chinese CB financing. We conclude that CB financing can decrease many types of equity-related and debt-related costs in firm's external financing contrasting with debt and equity financing. We also contrast our experimental evidence in Chinese market with the overseas evidences, and find some characteristics and flaws of domestic issuers.
Firstly, the thesis analyzes CB's property and inbeing using economics theories, and summarizes the history and status in quo of Chinese CB financing. Then we contrast it with the status in quo of developed countries. It gives a macro-analysis of the flaws of the Chinese CB financing, paving way for next research. Secondly, by using a simulative case, the thesis quantificationally analyzes how CB financing affects a public company's capital structure. In this case, we lay stress on the basic process of its dilution, tax shield and financial distress and the differences with debt or equity financing. Base it, we develop our research. On the basis of deeply comprehending, the thesis considers the internal cause of CB financing is to decrease many types of financing costs in the status of asymmetric information. So, creatively and systematacially, we divide them into agency costs, under-pricing and financial distress costs and risk uncertainty costs. By using two models and existing evidences, the thesis then discusses the relative advantages and appropriate firm's characteristics of CB financing. Finally, using SPSS 11.0, the thesis gives a statistical analysis of samples of domestic CB issues and relative industries' data during the years 2000 through 2003. It finds out the incentives of domestic CB issuers, and also, effects of issuer's characteristics and investor reactions on issue decision. The experimental evidences prove our theories and expose some characteristics and flaws of domestic CB issues. Base on them, the thesis gives some advices in the end.
This thesis's innovative points include: 1) To the newest extent, it integrally summarizes status of domestic CB financing by public companies. 2) It gives a systemized theory about the internal cause of CB financing. 3) It gives an experimental study of all the representative domestic CB issue samples up to the present facing corporate financing.
引文
[1] Jeremy C. Stein, Convertible bonds as "back door" equity financing, Journal of Financial Economics, 1992(32), 3-21
[2] David Mayers, Why firms issue convertible bonds: The matching of financial and investment options, Journal of Financial Economics, 1998(47), 83-102
[3] Craig M. Lewis, Richard J. Rogalski, James K. Seward, Industry conditions, growth opportunities and market reactions to convertible debt financing decisions, Journal of Banking & Finance, 2003 (27), 153-181
[4] Nobuyuki Isagawa, Convertible debt: An effective financial instrument to control managerial opportunism, Review of Financial Economics, 2000(9), 15-26
[5] Nobuyuki lsagawa, Callable convertible debt under managerial entrenchment, Journal of Corporate Finance, 2002(8), 255-270
[6] Shao-Chi Chang, Sheng-Syan Chen, Yichen Liu, Why firm use convertibles: A further test of the sequential-financing hypothesis, Journal of Banking & Finance, 2003(2)
[7] Jensen, M., Agency costs of free cash flow, corporate finance and takeovers, American Economics Review, 1986(76), 323-329
[8] Stewart C. Myers, Nicholas S. Majluf, Corporate financing and investment decisions when firms have information the investors do not have, Journal of Financial Economics, 1984(13), 187-221
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[10] Bayless, M., Chaplinsky, S., Is there a window of opportunity for seasoned equity issuance, Journal of finance, 1996(51), 253-278
[11] Choe, H., Masulis, R., Common stock offerings across the business cycle: Theory and evidence, Journal of Empirical Finance, 1993(1), 3-31
[12] Pilcher, C., Raising capital with convertible securities, Michigan Business Studies 21, 1955, 2
[13] Brigham, E., An analysis of convertible debentures: Theory and some empirical evidence, Journal of Finance, 1966(21), 35-54
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[17] Stiglitz, J., Weiss, A., Credit rationing in markets with imperfect information, American Economic Review, 1981(71), 393-410
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[2] David Mayers, Why firms issue convertible bonds: The matching of financial and investment options, Journal of Financial Economics, 1998(47), 83-102
[3] Craig M. Lewis, Richard J. Rogalski, James K. Seward, Industry conditions, growth opportunities and market reactions to convertible debt financing decisions, Journal of Banking & Finance, 2003 (27), 153-181
[4] Nobuyuki Isagawa, Convertible debt: An effective financial instrument to control managerial opportunism, Review of Financial Economics, 2000(9), 15-26
[5] Nobuyuki lsagawa, Callable convertible debt under managerial entrenchment, Journal of Corporate Finance, 2002(8), 255-270
[6] Shao-Chi Chang, Sheng-Syan Chen, Yichen Liu, Why firm use convertibles: A further test of the sequential-financing hypothesis, Journal of Banking & Finance, 2003(2)
[7] Jensen, M., Agency costs of free cash flow, corporate finance and takeovers, American Economics Review, 1986(76), 323-329
[8] Stewart C. Myers, Nicholas S. Majluf, Corporate financing and investment decisions when firms have information the investors do not have, Journal of Financial Economics, 1984(13), 187-221
[9] Brennan, M., Schwartz, E., The case for convertibles, Journal of Applied Corporate Finance, 1988, 55-64
[10] Bayless, M., Chaplinsky, S., Is there a window of opportunity for seasoned equity issuance, Journal of finance, 1996(51), 253-278
[11] Choe, H., Masulis, R., Common stock offerings across the business cycle: Theory and evidence, Journal of Empirical Finance, 1993(1), 3-31
[12] Pilcher, C., Raising capital with convertible securities, Michigan Business Studies 21, 1955, 2
[13] Brigham, E., An analysis of convertible debentures: Theory and some empirical evidence, Journal of Finance, 1966(21), 35-54
[14] Hoffmeister, J., Use of convertible debt in the early 1970s: A reevaluation of corporate motives, Quarterly Review of Economics and Business, 1977(17), 23-32
[15] Green, R., Investment incentives, debt and warrants, Journal of Financial Economics, 1984(13), 115-136
[16] Jung, K., Kim, Y., Stulz, R., Timing, investment opportunities, managerial discretion, and the security issue decision, Journal of Financial Economics, 1996(42), 159-185
[17] Stiglitz, J., Weiss, A., Credit rationing in markets with imperfect information, American Economic Review, 1981(71), 393-410
[18] Inmoo Lee, Tim Loughran, Performance following convertible bond issuance, Journal of Corporate Finance, 1998(4), 185-207
[19] Abhay Abhyankar, Alison Dunning, Wealth effects of convertible bond and convertible preference share issues: An empirical analysis of UK market, Journal of Banking & Finance, 1999(23), 1043-1065
[20] Essig, S., Convertible securities and capital structure determinants, Ph.D. dissertation, Graduate School of Business, University of Chicago, 1991.
[21] Brennan, Michael J. & Eduardo S. Schwartz, Analyzing convertible bonds, Journal of Financial and Quantitative Analysis, 1980(15), 907-929
[22] Hei-Wai LEE, James A. Gentry, An empirical study of the corporate choice among common stock, convertible bonds and straight debt: A cash flow interpretation, The Quarterly Review of Economics and Finance, 1995(35), 397-419
[23] Motonari Kurasawa, Seiko Yamada, Convertible bond financing as an optimal capital Structure, Japanese Economic Association, 2003
[24] http://askmerrill.ml.com
[25] 埃兹．内尔肯编，齐寅峰，黄福广译，混合金融：工具手册，北京，机械工业出版社，2002
[26] 刘立喜，可转换公司债券，上海，上海财经大学出版社，1999
[27] 杨如彦，魏刚，刘孝红，孟辉，可转换债券及其绩效评价，北京，中国人民大学出版社，2002
[28] 应展宇，中国上市公司可转换债券融资的理论思考，资本市场评论，2001(10)
[29] 李锋，李丹，可转换公司债券研究，湘财证券债券承销部研究报告，2001
[30] 郭昕炜，如何发展可转债市场，资本市场杂志，2002(7)，58—63
[31] 杨亢宇，合理利用可转债融资，资本市场杂志，2001(11)，43—47
[32] 蒋殿春，可转债条款、公司监督机制和证券市场发展，南开经济研究，2002(5)，68—71
[33] 朱武祥，冷遇可转债，财经，2002(11)
[34] 杨亢余，析国內可转债市场，证券市场导报，2003(4)
[35] 朱玉旭，可转换债券的政策与策略研究，经济科学，1997(4)，15—20
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