本文關(guān)鍵詞： 可轉(zhuǎn)換債券 期權(quán)博弈 最優(yōu)策略 后悔厭惡 贖回公告　出處：《華中科技大學(xué)》2012年博士論文　論文類型：學(xué)位論文

【摘要】：伴隨著改革開放進(jìn)程的不斷推進(jìn)，中國的資本市場經(jīng)過逾二十年的發(fā)展，由量變逐漸轉(zhuǎn)向質(zhì)變，整體規(guī)模顯著增大，市場功能開始得以發(fā)揮，運(yùn)行規(guī)范性以及質(zhì)量也得到明顯的提升，國民經(jīng)濟(jì)“晴雨表”的作用日趨明顯，為國內(nèi)市場進(jìn)一步的創(chuàng)新發(fā)展奠定了堅實的基礎(chǔ)。 積極穩(wěn)妥地發(fā)展包括可轉(zhuǎn)換債券在內(nèi)的各類衍生金融產(chǎn)品，既是資本市場進(jìn)一本深入發(fā)展的客觀需要，同時也是市場上各類投資者進(jìn)行風(fēng)險管理的迫切要求，對于完善市場結(jié)構(gòu)，豐富交易品種，加快金融體制改革，增強(qiáng)國民經(jīng)濟(jì)的抗風(fēng)險能力，具有重要的意義。從海外市場經(jīng)驗來看，可轉(zhuǎn)換債券為金融市場的繁榮和企業(yè)競爭力的提升起到了積極的推動作用，能夠有效地增強(qiáng)市場的整體彈性和靈活性，促進(jìn)市場實現(xiàn)健康、持續(xù)、穩(wěn)定發(fā)展。而從國內(nèi)資本市場的現(xiàn)狀來說，可轉(zhuǎn)換債券市場的繁榮，對于增強(qiáng)市場機(jī)構(gòu)差異化競爭活力，促進(jìn)投資策略多樣化、競爭模式多層次化的金融生態(tài)環(huán)境的加快形成，緩解長期困擾我國資本市場的股權(quán)融資比例過高等困境也有著積極的示范意義。 但由于可轉(zhuǎn)換債券具有明顯的不確定性、非線性和奇異期權(quán)特性，加之可轉(zhuǎn)換債券附加條款之間的相互作用也會影響可轉(zhuǎn)換債券的價值，并對可轉(zhuǎn)換債券持有人和發(fā)行人最優(yōu)策略的選擇路徑產(chǎn)生深刻的影響，因此可轉(zhuǎn)換債券的相關(guān)理論研究一直都是學(xué)術(shù)界的難點問題。而受國內(nèi)市場發(fā)展時日尚短、樣本數(shù)據(jù)有限的掣肘，國內(nèi)對包括贖回策略、贖回公告效應(yīng)等問題均甚少有全面、深入的實證研究成果。有鑒于此，本文從多個角度出發(fā)，圍繞可轉(zhuǎn)換債券的定價模型、相應(yīng)的數(shù)值實現(xiàn)技術(shù)以及最優(yōu)策略等展開了較為深入的研究。 首先，可轉(zhuǎn)換債券的諸多附加條款如轉(zhuǎn)換條款與贖回條款之間呈相互影響、相互制約之態(tài)，債券發(fā)行人與持有人在選擇最優(yōu)策略路徑時帶有顯明的博弈特征。因此本文基于期權(quán)博弈理論的最新研究成果，嘗試建立了考慮債券發(fā)行人和持有人之間博弈的可轉(zhuǎn)換債券定價模型，并推導(dǎo)了該定價模型的有限元數(shù)值解法。在此基礎(chǔ)之上，分析了可轉(zhuǎn)換債券條款對最優(yōu)策略的影響。 其次，以我國可轉(zhuǎn)換債券市場樣本為例對贖回策略進(jìn)行了實證分析。采用文中基于期權(quán)博弈理論的可轉(zhuǎn)換債券定價和策略分析模型計算理論值，并與國內(nèi)市場實際情況進(jìn)行對比，檢驗了我國可轉(zhuǎn)換債券的贖回溢價以及是否存在推遲贖回現(xiàn)象等，探討了所得結(jié)果與國外同類型研究成果不同之處的內(nèi)在原因。實證結(jié)果表明，采用基于博弈期權(quán)方法的定價模型所得結(jié)果較之現(xiàn)有相關(guān)文獻(xiàn)的結(jié)果能夠更好的反映市場上所存在的諸多現(xiàn)象。 再次，鑒于可轉(zhuǎn)換債券現(xiàn)有研究模型多建立在投資者理性范式之下，較少考慮投資者異質(zhì)性的影響，本文嘗試將行為金融理論引入可轉(zhuǎn)換債券定價模型之中，采用投資者的后悔厭惡來表征投資者的異質(zhì)信念，構(gòu)建了投資者異質(zhì)信念下可轉(zhuǎn)換債券定價模型，重點探討了異質(zhì)信念對可轉(zhuǎn)換債券贖回策略的影響，給出了一個行為金融分析理念與傳統(tǒng)可轉(zhuǎn)換債券定價模型框架相結(jié)合的示例。理論模型及數(shù)值實驗結(jié)果均表明可轉(zhuǎn)換債券發(fā)行者的后悔厭惡情緒是可轉(zhuǎn)換債券推遲（或者提前）贖回的一個重要原因。 最后，以國內(nèi)可轉(zhuǎn)債市場上已完成贖回的樣本對贖回公告效應(yīng)進(jìn)行了檢驗，，重點探討了流動性壓力和信息不對稱假說對于我國市場樣本的解釋效力。實證結(jié)果顯示，贖回公告時產(chǎn)生的超額收益符合流動性假說，但贖回公告后的超額收益則與其不一致，其所預(yù)測的價格回復(fù)現(xiàn)象并未得到驗證。對于不對稱信息假說，本章所獲得的實證結(jié)果表明，該假說可以在一定程度上解釋國內(nèi)可轉(zhuǎn)換債券贖回公告時出現(xiàn)的超額收益。 綜上，本文從多個層面深入地探討了可轉(zhuǎn)換債券定價問題的內(nèi)在機(jī)制與演化過程，力圖更好的反映可轉(zhuǎn)換債券附加條款以及投資者行為對于可轉(zhuǎn)換債券價值和最優(yōu)策略的影響。通過采用國內(nèi)可轉(zhuǎn)換債券市場數(shù)據(jù)，檢驗了所提模型的有效性，并對比分析了可轉(zhuǎn)換債券國內(nèi)外市場所存在的不同及其成因，力求為促進(jìn)我國金融機(jī)構(gòu)投資國際可轉(zhuǎn)換債券市場和國內(nèi)可轉(zhuǎn)換債券市場的創(chuàng)新發(fā)展，提供合理的、科學(xué)的依據(jù)。
[Abstract]:Along with the continuous advance of the reform and opening up process , China ' s capital market has been developed over the past two decades , gradually turning to the qualitative change from the quantitative change , the overall scale is obviously increased , the market function starts to play , the operation standardization and the quality are obviously improved , the function of the national economy " barometer " is becoming more obvious , and the solid foundation is laid for further innovation and development of the domestic market . From overseas market experience , convertible bonds have played a positive role in improving market structure , enriching transaction varieties , speeding up the reform of financial system and strengthening the anti - risk ability of national economy . However , because the convertible bonds have obvious uncertainties , nonlinear and singular options , the interaction between convertible bonds can also affect the value of convertible bonds . Therefore , the research on convertible bonds has been a difficult problem in academic circles . First of all , many additional clauses of convertible bonds , such as transition clauses and redemption clauses , are mutually influenced and mutually restricted . Therefore , based on the latest research results of option game theory , this paper attempts to establish a convertible bond pricing model considering the game between the issuer and the holder , and derives the finite element numerical solution of the pricing model . Based on this , the paper analyzes the influence of convertible bond terms on the optimal strategy . Secondly , taking the sample of convertible bond market in our country as an example , this paper makes an empirical analysis on the redemption strategy . By using the convertible bond pricing and strategy analysis model based on the option game theory to calculate the theoretical value and compare it with the actual situation of the domestic market , the internal reasons of the difference between the result of the convertible bond redemption and the existence of delay redemption are discussed . The result shows that the result of the pricing model based on the game option method can better reflect the many phenomena existing in the market . Thirdly , in view of the multi - establishment of convertible bond existing research model under the investor ' s rational paradigm , the paper attempts to introduce the theory of behavioral finance into convertible bond pricing model . The paper attempts to introduce the theory of behavioral finance into convertible bond pricing model . The paper discusses the influence of foreign belief on convertible bond redemption strategy , and puts forward an example of the combination of heterogeneous belief and traditional convertible bond pricing model . The theoretical model and numerical experiment result show that the regret aversion of convertible bond issuer is an important reason for convertible bonds to defer ( or advance ) redemption . Finally , we examine the effect of redemption announcement on the samples that have been redeemed on the domestic convertible bond market . The empirical results show that the excess earnings generated during the redemption announcement conform to the liquidity hypothesis , but the excess earnings after the redemption announcement are not consistent with the liquidity hypothesis . The empirical results obtained in this chapter show that the hypothesis can explain the excess earnings that arise when the domestic convertible bond redemption announcement is to a certain extent . In this paper , the internal mechanism and the evolution process of convertible bond pricing are discussed in depth from various aspects , which try to better reflect the effect of the additional clauses of convertible bonds and the influence of investors ' behavior on convertible bond value and optimal strategy . By adopting domestic convertible bond market data , the validity of the proposed model is tested .

【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 鄭振龍,林海;可轉(zhuǎn)換債券發(fā)行公司的最優(yōu)決策[J];財經(jīng)問題研究;2004年11期

2 王承煒,吳沖鋒;上市公司可轉(zhuǎn)換債券價值分析[J];系統(tǒng)工程;2001年04期

3 馬超群,唐耿;引入信用風(fēng)險的可轉(zhuǎn)債定價模型及其實證研究[J];系統(tǒng)工程;2004年08期

4 劉舒娜;陳收;徐穎文;;可轉(zhuǎn)換債券發(fā)行動因及股價效應(yīng)研究[J];系統(tǒng)工程;2006年01期

5 龔樸;蒙堅玲;;基于期權(quán)博弈的可轉(zhuǎn)換債券最優(yōu)策略分析[J];管理工程學(xué)報;2009年01期

6 何志偉,龔樸;可轉(zhuǎn)換公司債券的巴黎期權(quán)特征[J];管理學(xué)報;2005年02期

7 張衛(wèi)國;史慶盛;許文坤;;基于全最小二乘擬蒙特卡羅方法的可轉(zhuǎn)債定價研究[J];管理科學(xué);2011年01期

8 薛明皋;龔樸;;具有專利的R&D項目實物期權(quán)評價[J];管理科學(xué)學(xué)報;2006年03期

9 張維;張永杰;;異質(zhì)信念、賣空限制與風(fēng)險資產(chǎn)價格[J];管理科學(xué)學(xué)報;2006年04期

10 程功;張維;熊熊;;信息噪音、結(jié)構(gòu)化模型與銀行違約概率度量[J];管理科學(xué)學(xué)報;2007年04期

相關(guān)博士學(xué)位論文 前2條

1 何志偉;復(fù)合期權(quán)與路徑相關(guān)期權(quán)定價理論模型、數(shù)值模擬及應(yīng)用研究[D];華中科技大學(xué);2005年

2 趙帥特;基于計算實驗金融的典型股票收益異象定價研究[D];天津大學(xué);2009年

本文編號：1457588