可转换债券价值与条款设计研究
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摘要
可转换债券以其独特的风险收益特性逐渐为投、融资者所接受并得到了广泛的欢迎。如今，无论是在广度上还是深度上，全球范围内的可转债市场都已发生了质的变化，并且日趋成熟和繁荣。中国的可转债市场在经历了十余年的沉寂之后，近两年也正在进入一个高速发展期。可转债作为一种中间性的投融资工具，其市场体系的繁荣和发展有利于解决我国资本市场存在的股权融资比例过高、投资品种匮乏和金融创新困难等问题，也有利于中国资本市场的成熟、完善和金融风险的化解。
但是，由于可转债是中国资本市场上的一种新型金融工具，市场参与者对其价值和条款特性的了解还不深入，相关理论研究更是处于起步阶段。因此，本文在这种背景下研究可转债的价值和条款设计，对于目前尚处于发展初期的中国可转债市场以及中国金融产品的创新都具有重要的理论和现实意义。
本文从可转债的条款构成入手，通过归纳总结中国可转债的构成条款和性质，对其各个组成部分的价值及影响因素进行深入分析；并在此基础上针对中国证券市场的特殊性和可转债定价的难点，建立了引入信用风险的二叉树定价模型。该模型能较全面的反映债券条款、转换条款、赎回条款和回售条款对可转债价值的影响，对可转债进行整体定价。本文选取了9只上市可转债进行实证研究，发现相对于模型的理论价值而言，中国可转债的市场价格被明显低估。本文进一步研究了偏差产生的原因，还对可转债价值的影响因素进行敏感性分析，并在实证基础上探讨中国可转债发行条款的设计。
总而言之，本文提出了中国可转债一个较全面的价值分析框架，并对其条款设计进行探讨，这不但能为今后可转债的进一步研究提供思路，也可以为我国上市公司可转债的发行提供参考，为投资者选择合适的可转债投资品种提供依据。
Due to its unique risk-revenue attributes, convertible bonds are welcomed by both issuers and investors. Nowadays, global convertible market takes on a new look and becomes more mature and prosperous as time goes by. After ten years' dreariness, Chinese convertible bond market starts to grow rapidly. As an intermediate financial instrument, its development and prosperity will benefit a lot on Chinese capital market troubles such as extortionate stock financing ratio, lack of investment tool and financial innovation. It also does well on the maturity, consummation and dissolution of financial risk.
Since convertible bonds are new financial instruments of Chinese capital market, the comprehension of market participants is far from intact and related theory researches are on the way. Under this kind of circumstance, the research on convertible bond value and provision design of this thesis makes a lot of sense on Chinese convertible bond market and the innovation of China financial instruments.
This thesis starts with the provision composition of convertible bonds. With the induction and deduction of the provisions, it then carries out lucubrate analysis on the value and influencing factors of each individual provision. Aims at the characteristics of Chinese security market and the difficulties of pricing, this thesis constructs a binomial tree model with credit risk which reflects the impacts of bond provision, conversion provision, call provision and put provision on convertible bond value. This thesis takes 9 convertible bonds in the market to carry out empirical research. And the results indicate that the prices of Chinese convertible bonds were significantly underestimated when comparing with the theoretical price. Reasons of the error are investigated and sensitivity analysis is studied. At the end of the thesis, provision design of Chinese convertible bond is discussed.
In all, this thesis provides a comprehensive valuation framework of Chinese convertible bonds and discusses the provision design. It opens the train of thoughts on further researches, and provides references for both issuers and investors.
但是，由于可转债是中国资本市场上的一种新型金融工具，市场参与者对其价值和条款特性的了解还不深入，相关理论研究更是处于起步阶段。因此，本文在这种背景下研究可转债的价值和条款设计，对于目前尚处于发展初期的中国可转债市场以及中国金融产品的创新都具有重要的理论和现实意义。
本文从可转债的条款构成入手，通过归纳总结中国可转债的构成条款和性质，对其各个组成部分的价值及影响因素进行深入分析；并在此基础上针对中国证券市场的特殊性和可转债定价的难点，建立了引入信用风险的二叉树定价模型。该模型能较全面的反映债券条款、转换条款、赎回条款和回售条款对可转债价值的影响，对可转债进行整体定价。本文选取了9只上市可转债进行实证研究，发现相对于模型的理论价值而言，中国可转债的市场价格被明显低估。本文进一步研究了偏差产生的原因，还对可转债价值的影响因素进行敏感性分析，并在实证基础上探讨中国可转债发行条款的设计。
总而言之，本文提出了中国可转债一个较全面的价值分析框架，并对其条款设计进行探讨，这不但能为今后可转债的进一步研究提供思路，也可以为我国上市公司可转债的发行提供参考，为投资者选择合适的可转债投资品种提供依据。
Due to its unique risk-revenue attributes, convertible bonds are welcomed by both issuers and investors. Nowadays, global convertible market takes on a new look and becomes more mature and prosperous as time goes by. After ten years' dreariness, Chinese convertible bond market starts to grow rapidly. As an intermediate financial instrument, its development and prosperity will benefit a lot on Chinese capital market troubles such as extortionate stock financing ratio, lack of investment tool and financial innovation. It also does well on the maturity, consummation and dissolution of financial risk.
Since convertible bonds are new financial instruments of Chinese capital market, the comprehension of market participants is far from intact and related theory researches are on the way. Under this kind of circumstance, the research on convertible bond value and provision design of this thesis makes a lot of sense on Chinese convertible bond market and the innovation of China financial instruments.
This thesis starts with the provision composition of convertible bonds. With the induction and deduction of the provisions, it then carries out lucubrate analysis on the value and influencing factors of each individual provision. Aims at the characteristics of Chinese security market and the difficulties of pricing, this thesis constructs a binomial tree model with credit risk which reflects the impacts of bond provision, conversion provision, call provision and put provision on convertible bond value. This thesis takes 9 convertible bonds in the market to carry out empirical research. And the results indicate that the prices of Chinese convertible bonds were significantly underestimated when comparing with the theoretical price. Reasons of the error are investigated and sensitivity analysis is studied. At the end of the thesis, provision design of Chinese convertible bond is discussed.
In all, this thesis provides a comprehensive valuation framework of Chinese convertible bonds and discusses the provision design. It opens the train of thoughts on further researches, and provides references for both issuers and investors.
引文
[1] Ingersoll J.A Contingent-claim's Valuation of Convertible Securities. Journal of Financial Economics, 1977,4(2):289-322
[2] Brennan M J.Schwartz E, Convertible Bonds:Valuation and Optimal Strategies for Call and Conversion.The Journal of Finance, 1977,32(5): 1699-1715
[3] Brennan M J.Analyzing Convertible Bonds.Journal of Financial and Quantitative Analysis, 1980,(15):907-929
[4] Nyborg K.The Use and Pricing of Convertible Bonds. Applied Mathematical Finance, 1996,(3): 167-190
[5] McConnell J J, Schwartz E S. LYON Taming.The Journal of Finance,1986, 41(3):561-576
[6] Goldman Sachs.Valuing Convertible Bonds as Derivatives.Quantitative Strategies Research Notes, 1994,(11): 1-30
[7] Tsiveriotis K, Fernandes C.Valuing Convertible Bonds with Credit Risk.Journal of Fixed Income, 1998,8(2):95-102
[8] Ho T S Y. Convertible Bonds: Model, Value Attribution and Analytics. Financial Analysts Journal, 1996,(5):35-45
[9] Ho T S Y, Lee S B. Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance, 1986,(41): 1011-1029
[10] Davis M, Lischka F. Convertible Bonds with Market Risk and Credit Risk. American Mathematical Society International Press, 2002
[11] Hull J., White A. Using Hull-White Interest Rate Trees. The Journal of Derivatives, 1996,3(3): 26-36
[12] Hung M W, Wang Jr-Yan. Pricing Convertible Bonds Subject to Default Risk. The Journal of Derivatives, 2002,10(2):75-87
[13] Jarrow R, Turnbull S. Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance, 1995,50(3):53-85
[14] King R. Convertible Bond Valuation: An Empirical Test, Journal of Financial Research, 1986,9(1):53-69
[15] Carayannopoulos P. Valuing Convertible Bonds under the Assumption of Stochastic Interest Rates: An Empirical Investigation. Quarterly Journal of Business and Economics, 1996,35(3): 17-31
[16] Ammann M, Kind A, Wilde C. Are Convertible Bonds Underpriced? Journal of Banking and Finance, 2003, 27(4):549-792
[17] 李运，石建民．可转换债券及其定价研究．投资与合作，1998,(6)：11-12
[18] 张德华，陶融．布莱克-斯科尔斯期权定价模型在可转换债券定价中的应用．财经理论与实践，1999,(6)：52-54
[19] 郑小迎，金贤．关于可转换债券定价模型的研究．预测，1999，(3)：40-43
[20] 秦学志，吴冲锋．可赎回的可转换债券的博弈定价方法．系统工程,2000,(9)：1-5
[21] 林义相．可转换债券投资分析和运作．上海：上海远东出版社，2000
[22] 张鸣．可转换债券定价理论与案例研究．上海财经大学学报,2001，(10)：29-35
[23] 王承炜，吴冲锋．上市公司可转换债券价值分析．系统工程，2001，(7)：47-53
[24] 杨大楷，杜新乐等．浅论我国可转换债券的定价及设计．中国管理科学，2001，(8)：7-15
[25] 杨如彦，魏刚等．可转换债券及其绩效评价．北京：中国人民大学出版社，2002
[26] 周琳．可转换债券的定价及其影响因素的实证分析．同济大学学报(社会科学版)，2003，(14)：52-56
[27] 郑振龙，林海．中国可转债定价研究．厦门大学学报(哲社版)，2004(2)：93-99
[28] Black F, Scholes M. The Pricing of Options and Corporate Liabilities. Journal of Political Economics, 1973,(81):637-659
[29] Cox J, Ross S., Rubinstein M. Option Pricing: A Simplified Approach. Journal of Financial Economics, 1979,10 (7):229-264
[30] Brennan M J, Schwartz E S. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis. Journal of Financial and Quantitative Analysis, 1978,(13):462-474
[31] Boyle P P. Options: A Monte Carlo Approach. Journal of Financial Economics, 1977,(4):323-338
[32] Markowitz H. Portfolio Selection. Journal of Finance, 1952,7(1):77-91
[33] Engle R F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 1982,(50):987-1006
[34] Bollerslvev T.Generalized Autoregressive Conditional Heteroscedasticity.Journal of Econometrics, 1986,(31):307-327
[35] 郑振龙，林海．中国市场利率期限结构的静态估计．武汉金融，2003，(3)：33-37
[36] 郑振龙，林海．中国违约风险溢酬研究．证券市场导报,2003，(6)：21-26
[37] Hull J C．张陶伟译．期权、期货和其它衍生产品．北京：华夏出版社，2000，174-234
[38] 刘立喜．可转换公司债券．上海：上海财经大学出版社，1999，24-147
[39] 茅宁．期权分析——理论与应用．南京：南京大学出版社，2000，60-163
[40] Pindyck R S．钱小军等译．计量经济模型与经济预测．北京：机械工业出版社，1999，169-181
[4l] 王学辉，张明辉．Matlab 6.1最近应用详解．北京：中国水利水电出版社，2002，72-102
[42] 时建中．可转换公司债法论．北京：法律出版社，2000，51-65
[43] 姜尚礼．期权定价的数学模型和方法．北京：高等教育出版社，2003，69-95
[44] Merton R.Theory of Rational Option Pricing.Bell Journal of Economics,1973, (4): 141-183
[45] Ingersoll J. An Examination of Corporate Call Policies on Convertible Securities. Journal of Finance, 1977,32(2):463-478
[46] Brennan M J, Schwartz E. The Valuation of American Put Options. The Journal of Finance, 1977, 32(2):449-462
[47] 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
[48] 门庆兵．可转债对公司财务结构的影响及其发行时机．财经科学，2002，(3)：64-67
[49] 戴博超．我国可转换债券的投资价值研究．技术经济与管理研究，2002，(1)：49-50
[50] 叶昊，陈中平．可转换债券利率模型研究．决策借鉴，2002，(8)：42-44
[51] 黄建兵．中国的可转换债券与市场价格有效性研究．系统工程理论方法应用，2002，(3)：63-67
[52] 赵红平，赵自强．可转换公司债券融资缘何受青睐．经济师,2002，(5)：129-130
[53] 钟丙祥．非上市公司可转换债券价值分析．预测，1999，(10)：38-39
[54] 曾健，唐明哲．可转债——公司制度的有效融资工具．投资研究，2001，(5)：17-20
[55] 张铁．一个新型的期权定价二叉树参数模型．系统工程理论与实践，2000，(11)：90-93
[56] 吴云，何建敏．两值期权的定价模型及其求解研究．管理工程学报，2002，(4)：108-110
[57] 张志雄．泡沫与唾沫：重建股市信用与规则．北京：中国财政经济出版社，2002，298-310
[2] Brennan M J.Schwartz E, Convertible Bonds:Valuation and Optimal Strategies for Call and Conversion.The Journal of Finance, 1977,32(5): 1699-1715
[3] Brennan M J.Analyzing Convertible Bonds.Journal of Financial and Quantitative Analysis, 1980,(15):907-929
[4] Nyborg K.The Use and Pricing of Convertible Bonds. Applied Mathematical Finance, 1996,(3): 167-190
[5] McConnell J J, Schwartz E S. LYON Taming.The Journal of Finance,1986, 41(3):561-576
[6] Goldman Sachs.Valuing Convertible Bonds as Derivatives.Quantitative Strategies Research Notes, 1994,(11): 1-30
[7] Tsiveriotis K, Fernandes C.Valuing Convertible Bonds with Credit Risk.Journal of Fixed Income, 1998,8(2):95-102
[8] Ho T S Y. Convertible Bonds: Model, Value Attribution and Analytics. Financial Analysts Journal, 1996,(5):35-45
[9] Ho T S Y, Lee S B. Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance, 1986,(41): 1011-1029
[10] Davis M, Lischka F. Convertible Bonds with Market Risk and Credit Risk. American Mathematical Society International Press, 2002
[11] Hull J., White A. Using Hull-White Interest Rate Trees. The Journal of Derivatives, 1996,3(3): 26-36
[12] Hung M W, Wang Jr-Yan. Pricing Convertible Bonds Subject to Default Risk. The Journal of Derivatives, 2002,10(2):75-87
[13] Jarrow R, Turnbull S. Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance, 1995,50(3):53-85
[14] King R. Convertible Bond Valuation: An Empirical Test, Journal of Financial Research, 1986,9(1):53-69
[15] Carayannopoulos P. Valuing Convertible Bonds under the Assumption of Stochastic Interest Rates: An Empirical Investigation. Quarterly Journal of Business and Economics, 1996,35(3): 17-31
[16] Ammann M, Kind A, Wilde C. Are Convertible Bonds Underpriced? Journal of Banking and Finance, 2003, 27(4):549-792
[17] 李运，石建民．可转换债券及其定价研究．投资与合作，1998,(6)：11-12
[18] 张德华，陶融．布莱克-斯科尔斯期权定价模型在可转换债券定价中的应用．财经理论与实践，1999,(6)：52-54
[19] 郑小迎，金贤．关于可转换债券定价模型的研究．预测，1999，(3)：40-43
[20] 秦学志，吴冲锋．可赎回的可转换债券的博弈定价方法．系统工程,2000,(9)：1-5
[21] 林义相．可转换债券投资分析和运作．上海：上海远东出版社，2000
[22] 张鸣．可转换债券定价理论与案例研究．上海财经大学学报,2001，(10)：29-35
[23] 王承炜，吴冲锋．上市公司可转换债券价值分析．系统工程，2001，(7)：47-53
[24] 杨大楷，杜新乐等．浅论我国可转换债券的定价及设计．中国管理科学，2001，(8)：7-15
[25] 杨如彦，魏刚等．可转换债券及其绩效评价．北京：中国人民大学出版社，2002
[26] 周琳．可转换债券的定价及其影响因素的实证分析．同济大学学报(社会科学版)，2003，(14)：52-56
[27] 郑振龙，林海．中国可转债定价研究．厦门大学学报(哲社版)，2004(2)：93-99
[28] Black F, Scholes M. The Pricing of Options and Corporate Liabilities. Journal of Political Economics, 1973,(81):637-659
[29] Cox J, Ross S., Rubinstein M. Option Pricing: A Simplified Approach. Journal of Financial Economics, 1979,10 (7):229-264
[30] Brennan M J, Schwartz E S. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis. Journal of Financial and Quantitative Analysis, 1978,(13):462-474
[31] Boyle P P. Options: A Monte Carlo Approach. Journal of Financial Economics, 1977,(4):323-338
[32] Markowitz H. Portfolio Selection. Journal of Finance, 1952,7(1):77-91
[33] Engle R F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 1982,(50):987-1006
[34] Bollerslvev T.Generalized Autoregressive Conditional Heteroscedasticity.Journal of Econometrics, 1986,(31):307-327
[35] 郑振龙，林海．中国市场利率期限结构的静态估计．武汉金融，2003，(3)：33-37
[36] 郑振龙，林海．中国违约风险溢酬研究．证券市场导报,2003，(6)：21-26
[37] Hull J C．张陶伟译．期权、期货和其它衍生产品．北京：华夏出版社，2000，174-234
[38] 刘立喜．可转换公司债券．上海：上海财经大学出版社，1999，24-147
[39] 茅宁．期权分析——理论与应用．南京：南京大学出版社，2000，60-163
[40] Pindyck R S．钱小军等译．计量经济模型与经济预测．北京：机械工业出版社，1999，169-181
[4l] 王学辉，张明辉．Matlab 6.1最近应用详解．北京：中国水利水电出版社，2002，72-102
[42] 时建中．可转换公司债法论．北京：法律出版社，2000，51-65
[43] 姜尚礼．期权定价的数学模型和方法．北京：高等教育出版社，2003，69-95
[44] Merton R.Theory of Rational Option Pricing.Bell Journal of Economics,1973, (4): 141-183
[45] Ingersoll J. An Examination of Corporate Call Policies on Convertible Securities. Journal of Finance, 1977,32(2):463-478
[46] Brennan M J, Schwartz E. The Valuation of American Put Options. The Journal of Finance, 1977, 32(2):449-462
[47] 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
[48] 门庆兵．可转债对公司财务结构的影响及其发行时机．财经科学，2002，(3)：64-67
[49] 戴博超．我国可转换债券的投资价值研究．技术经济与管理研究，2002，(1)：49-50
[50] 叶昊，陈中平．可转换债券利率模型研究．决策借鉴，2002，(8)：42-44
[51] 黄建兵．中国的可转换债券与市场价格有效性研究．系统工程理论方法应用，2002，(3)：63-67
[52] 赵红平，赵自强．可转换公司债券融资缘何受青睐．经济师,2002，(5)：129-130
[53] 钟丙祥．非上市公司可转换债券价值分析．预测，1999，(10)：38-39
[54] 曾健，唐明哲．可转债——公司制度的有效融资工具．投资研究，2001，(5)：17-20
[55] 张铁．一个新型的期权定价二叉树参数模型．系统工程理论与实践，2000，(11)：90-93
[56] 吴云，何建敏．两值期权的定价模型及其求解研究．管理工程学报，2002，(4)：108-110
[57] 张志雄．泡沫与唾沫：重建股市信用与规则．北京：中国财政经济出版社，2002，298-310