可转换债券理论研究
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摘要
针对去年以来我国可转债市场迅猛发展的现状，对这种在认识上仍存在偏差，在定价上还存在问题的金融工具进行研究具有理论和现实意义。本论文试图结合专业的理论知识，对可转换债券的本质进行深入研究，从金融工程和融资理论等角度入手，提出了自己的一些看法，试图澄清一直以来对可转换债券认识上的一些误区。然后参阅大量国外文献，对可转换债券定价理论进行了系统的梳理，并对混合债券分解定价及Black-Scholes期权定价模型进行了介绍。最后，通过实证分析探讨了中国可转换债券定价模型的设计。
本论文共分四大部分进行论述：
1、第一章：可转换公司债券概述。本章就可转换公司债券的概念、特性、优缺点和中外可转换债券市场的发展等进行介绍和探讨。并比较了可转换公司债券与几种相似融资方式的区别。
2、第二章：可转换债券的基本理论分析。本章从可转换债券的目的和本质两个角度入手，运用所学的金融工程和公司金融理论，分析了可转换债券的融资理论，可转换债券的期权性本质，并从资产投资组合理论角度分析了当前出现的可转换债券基金。
3、第三章：可转换债券定价理论述评。本章首先分析了可转换债券定价的理论基础，然后参阅了大量国外文献，按可转换债券由单因素到多因素，由公司价值到股票价值为基础的发展脉络系统分析了可转换债券的定价理论发展。最后，对中国可转债理论研究也进行了总结。
4、第四章：可转换债券的定价模型及中国定价模型的实证分析。本章首先依据第二章的理论分析，从混合证券性质出发，对可转换债券进行了分解定价。然后介绍了可转换债券期权定价的经典模型——B-S模型。最后，以民生转债为例对我国可转换债券的定价进行了实证分析，并提出了修正思路。
It's of great importance both in theory and practice to study on convertible bond, which developed very rapid since last year in China and still aroused misunderstanding and problems in pricing. In this paper, in-depth research is devoted on the essence of convertible bonds based on the academic knowledge learned in graduate years. Some points of view are delivered from such aspects as financial engineering and tfinancing theory. And efforts are made to clarify some misunderstandings. Then, a systematic research is made on the development of pricing theory of convertible bonds. An introduction is made on the separation pricing method of hybrid bonds and Black-Scholes option pricing model. Finally, the empirical analysis of convertible bonds invested in Chinese Security Market is made to reveal the reasonable design of pricing model of convertible bonds.
The paper is divided into four parts:
1. Part 1: The general introduction of convertible bonds. The definition, features, merits and flaws of convertible bonds are expounded. The development of convertible bonds market both at home and abroad are introduced.
2. Part 2: the basic theoretical analysis of convertible bonds. Taking financial engineering theory and corporate finance theory into practice, the aim of convertible bonds in financing and its essence as options are analyzed. Also, portfolio theory is applied to analyses the convertible bonds fund.
3. Part 3: review of convertible bonds pricing theories. Firstly, the theoretical basis of convertible bonds pricing is analyzed. Then, the development of convertible bonds pricing theories is expatiated from one-aspect to multi-aspect, from corporate value to stock value. Finally, the development of convertible bonds theory in China is also summarized.
4. Part 4: the convertible bonds pricing model and the empirical analysis of convertible bonds invested in Chinese security market. Based on the conclusion in part 2, the separation pricing method of hybrid bonds and Black-Scholes option pricing model is introduced to convertible bonds pricing. Finally, the empirical analysis of convertible bonds invested in Chinese security market is made with an example and the potential modification is delivered.
本论文共分四大部分进行论述：
1、第一章：可转换公司债券概述。本章就可转换公司债券的概念、特性、优缺点和中外可转换债券市场的发展等进行介绍和探讨。并比较了可转换公司债券与几种相似融资方式的区别。
2、第二章：可转换债券的基本理论分析。本章从可转换债券的目的和本质两个角度入手，运用所学的金融工程和公司金融理论，分析了可转换债券的融资理论，可转换债券的期权性本质，并从资产投资组合理论角度分析了当前出现的可转换债券基金。
3、第三章：可转换债券定价理论述评。本章首先分析了可转换债券定价的理论基础，然后参阅了大量国外文献，按可转换债券由单因素到多因素，由公司价值到股票价值为基础的发展脉络系统分析了可转换债券的定价理论发展。最后，对中国可转债理论研究也进行了总结。
4、第四章：可转换债券的定价模型及中国定价模型的实证分析。本章首先依据第二章的理论分析，从混合证券性质出发，对可转换债券进行了分解定价。然后介绍了可转换债券期权定价的经典模型——B-S模型。最后，以民生转债为例对我国可转换债券的定价进行了实证分析，并提出了修正思路。
It's of great importance both in theory and practice to study on convertible bond, which developed very rapid since last year in China and still aroused misunderstanding and problems in pricing. In this paper, in-depth research is devoted on the essence of convertible bonds based on the academic knowledge learned in graduate years. Some points of view are delivered from such aspects as financial engineering and tfinancing theory. And efforts are made to clarify some misunderstandings. Then, a systematic research is made on the development of pricing theory of convertible bonds. An introduction is made on the separation pricing method of hybrid bonds and Black-Scholes option pricing model. Finally, the empirical analysis of convertible bonds invested in Chinese Security Market is made to reveal the reasonable design of pricing model of convertible bonds.
The paper is divided into four parts:
1. Part 1: The general introduction of convertible bonds. The definition, features, merits and flaws of convertible bonds are expounded. The development of convertible bonds market both at home and abroad are introduced.
2. Part 2: the basic theoretical analysis of convertible bonds. Taking financial engineering theory and corporate finance theory into practice, the aim of convertible bonds in financing and its essence as options are analyzed. Also, portfolio theory is applied to analyses the convertible bonds fund.
3. Part 3: review of convertible bonds pricing theories. Firstly, the theoretical basis of convertible bonds pricing is analyzed. Then, the development of convertible bonds pricing theories is expatiated from one-aspect to multi-aspect, from corporate value to stock value. Finally, the development of convertible bonds theory in China is also summarized.
4. Part 4: the convertible bonds pricing model and the empirical analysis of convertible bonds invested in Chinese security market. Based on the conclusion in part 2, the separation pricing method of hybrid bonds and Black-Scholes option pricing model is introduced to convertible bonds pricing. Finally, the empirical analysis of convertible bonds invested in Chinese security market is made with an example and the potential modification is delivered.
引文
1．蔡则详、卞志村：《关于可转债若干问题的探讨》，《当代财经》1997年第2期。
2．华夏证券研究所：《可转换债券定价理论分析》，《中国证券报》1998年2月21日。
3．范辛亭、方兆本：《随机利率条件下可转换债券定价模型的经验检验》。《中国管理科学》2001年第12期。
4．黄建兵：《中国可转换债券与市场价格的有效性研究》。《系统工程理论与方法应用》2002年第5期。
5．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1998年版。
6．李剑刚：《可转换债券的融资与投资》，中国财政经济出版社1994年出版
7．潘敏：《资本结构、金融契约与公司治理》，中国金融出版社2002年版。
8．孙应瑞：《可转债转机与出路之一、二、三、四》，《中国证券报》2002年各期。
9．邱惠清：《可转换债券定价模型与投资策略》，《金融教学与研究》1998年第5期。
10．汪静波：《透视可转债》，《中国证券报》2001年8月15日。
11．杨大楷：《浅论我国可转换债券的定价及设计》，《中国管理科学》2001年第4期。
12．叶永刚：《固定收益证券概论》，武汉大学出版社2001年出版。
13．叶永刚：《金融工程学》，武汉大学出版社2002年出版。
14．叶永刚，郑康彬：《金融工程概论》，武汉大学出版社1999年出版。
15．朱玉旭：《可转换债券的这个年册与策略研究》，《经济科学》1997年第4期。
16．祝小兵：《期权定价理论及其在我国的应用》《上海投资》2000年第5期。
17．王永：《可转换债券投资分析》，《投资留念与实践》1996年第10期。
18. Ayache E, Forsyth PA, VetzalKR. (2002) The valuation of convertible bonds with credit risk. Juornal of Fixed Income.
19. Black F, Cox JC. (1976)Valuing corporate securities: some effects of bond in denture provisions Journal of Finance
20. Davis M, Lischa F. (1999) Convertible bonds with market risk and credit
risk.Tokyo-Mitsubishiinternational.
21. Donald, Chew edited (1999): The New Corporate Finance: where theory meets practice second Edition, McGram-Hill
22. Goldman Sachs, (1994) Valuing convertible bonds as derivatives, technical report, Goldman Sachs, Nov. 1994. Quantitative Strategies Research Notes
23. Igersoll JrJ. (1977) A contingent claims valuation of convertible securities. Journal of Financial Economics
24. K. Nyborg, (1996): The use and pricing of convertible bonds. Applied Mathematical Finance 3,167-190.
25. Kevin B. Connolly (1998): "Pricing convertible bonds " John Wiley&Sons (Singapore)
26. Hart, O., & Moore, J. (1995): Debt and seniority: an analysis of the role of hard claims in constraining management. American Economics Review 85.
27. Jensen, M. (1986): Agency costs of free cash flow, corporate finance and takeovers. American Economic Review 76
28. M. Brennan & E. Schwartz (1977): Convertible bonds: Valuation and optimal strategies for call and conversion. Journal of Finance 32,1699-1755
29. M. Brennan & E. Schwartz (1980): Analyzing convertible bonds, Journal of Finance and Quantitative Analysis 15,907-929
30. M. Davis & F. Lischka(1999): Convertible bonds with market risk and credit default, Working Paper, Tokyo Mitsubishi International Plc. Oct. 1999
31. Mayers, D. (1998): Why firms issue convertible bonds: the matching of financial and real investment options. Journal of Financial Economics 47.
32. Merton RC. (1974): On the pricing of corporate debt: the risk structure of interest rotes. Journal of Finance
33. Nobuyuki Isagawa (2000): Convertible debt: An effective financial instrument to control managerial opportunism, Review of Financial Economics 9.
34. R. Jarrow& S. Turnbull, (1995): Pricing derivatives on financial securities subject to credit risk. Journal of Finance 50,53-85
35. Stein, J.C. (1992): Convertible bonds as backdoor equity financing. Journal of Financial Economics 32.
36. Stulz, R. (1990): Managerial discretion and optimal financial policies. Journal of Financial Economics 26.
37. T Ho& D Pfeffer(1996): Convertible bonds: Model, Value attribution and analytics. Financial Analysts Journal, 35-44
38. Taka Hashi, Kobayashi AT, Nakagawa N. (2001) Pricing convertible bonds with default risk Juornal of Fixed Income
39. Tsveriotis K, Fernandes C. (1998) Valuing convertible bonds with credit risk. Juornal of Fixed Income
2．华夏证券研究所：《可转换债券定价理论分析》，《中国证券报》1998年2月21日。
3．范辛亭、方兆本：《随机利率条件下可转换债券定价模型的经验检验》。《中国管理科学》2001年第12期。
4．黄建兵：《中国可转换债券与市场价格的有效性研究》。《系统工程理论与方法应用》2002年第5期。
5．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1998年版。
6．李剑刚：《可转换债券的融资与投资》，中国财政经济出版社1994年出版
7．潘敏：《资本结构、金融契约与公司治理》，中国金融出版社2002年版。
8．孙应瑞：《可转债转机与出路之一、二、三、四》，《中国证券报》2002年各期。
9．邱惠清：《可转换债券定价模型与投资策略》，《金融教学与研究》1998年第5期。
10．汪静波：《透视可转债》，《中国证券报》2001年8月15日。
11．杨大楷：《浅论我国可转换债券的定价及设计》，《中国管理科学》2001年第4期。
12．叶永刚：《固定收益证券概论》，武汉大学出版社2001年出版。
13．叶永刚：《金融工程学》，武汉大学出版社2002年出版。
14．叶永刚，郑康彬：《金融工程概论》，武汉大学出版社1999年出版。
15．朱玉旭：《可转换债券的这个年册与策略研究》，《经济科学》1997年第4期。
16．祝小兵：《期权定价理论及其在我国的应用》《上海投资》2000年第5期。
17．王永：《可转换债券投资分析》，《投资留念与实践》1996年第10期。
18. Ayache E, Forsyth PA, VetzalKR. (2002) The valuation of convertible bonds with credit risk. Juornal of Fixed Income.
19. Black F, Cox JC. (1976)Valuing corporate securities: some effects of bond in denture provisions Journal of Finance
20. Davis M, Lischa F. (1999) Convertible bonds with market risk and credit
risk.Tokyo-Mitsubishiinternational.
21. Donald, Chew edited (1999): The New Corporate Finance: where theory meets practice second Edition, McGram-Hill
22. Goldman Sachs, (1994) Valuing convertible bonds as derivatives, technical report, Goldman Sachs, Nov. 1994. Quantitative Strategies Research Notes
23. Igersoll JrJ. (1977) A contingent claims valuation of convertible securities. Journal of Financial Economics
24. K. Nyborg, (1996): The use and pricing of convertible bonds. Applied Mathematical Finance 3,167-190.
25. Kevin B. Connolly (1998): "Pricing convertible bonds " John Wiley&Sons (Singapore)
26. Hart, O., & Moore, J. (1995): Debt and seniority: an analysis of the role of hard claims in constraining management. American Economics Review 85.
27. Jensen, M. (1986): Agency costs of free cash flow, corporate finance and takeovers. American Economic Review 76
28. M. Brennan & E. Schwartz (1977): Convertible bonds: Valuation and optimal strategies for call and conversion. Journal of Finance 32,1699-1755
29. M. Brennan & E. Schwartz (1980): Analyzing convertible bonds, Journal of Finance and Quantitative Analysis 15,907-929
30. M. Davis & F. Lischka(1999): Convertible bonds with market risk and credit default, Working Paper, Tokyo Mitsubishi International Plc. Oct. 1999
31. Mayers, D. (1998): Why firms issue convertible bonds: the matching of financial and real investment options. Journal of Financial Economics 47.
32. Merton RC. (1974): On the pricing of corporate debt: the risk structure of interest rotes. Journal of Finance
33. Nobuyuki Isagawa (2000): Convertible debt: An effective financial instrument to control managerial opportunism, Review of Financial Economics 9.
34. R. Jarrow& S. Turnbull, (1995): Pricing derivatives on financial securities subject to credit risk. Journal of Finance 50,53-85
35. Stein, J.C. (1992): Convertible bonds as backdoor equity financing. Journal of Financial Economics 32.
36. Stulz, R. (1990): Managerial discretion and optimal financial policies. Journal of Financial Economics 26.
37. T Ho& D Pfeffer(1996): Convertible bonds: Model, Value attribution and analytics. Financial Analysts Journal, 35-44
38. Taka Hashi, Kobayashi AT, Nakagawa N. (2001) Pricing convertible bonds with default risk Juornal of Fixed Income
39. Tsveriotis K, Fernandes C. (1998) Valuing convertible bonds with credit risk. Juornal of Fixed Income