可轉(zhuǎn)換債券融資的博弈均衡研究
發(fā)布時間：2018-11-04 09:12
【摘要】：可轉(zhuǎn)換債券作為一種兼具股票和債券特征的復(fù)合型金融工具，賦予債券持有人在規(guī)定的期限內(nèi)以特定的價格轉(zhuǎn)換成特定數(shù)量標(biāo)的股票的權(quán)利。可轉(zhuǎn)換債券近二十年來發(fā)展迅速，已經(jīng)成為全球重要的融資工具之一。我國發(fā)行可轉(zhuǎn)債的探索始于20世紀(jì)90年代初期，2001年以來可轉(zhuǎn)債市場呈現(xiàn)出高速發(fā)展的態(tài)勢。我國資本市場的發(fā)展需要創(chuàng)新型金融工具的推動，讓可轉(zhuǎn)債市場成為我國資本市場重要和有益的補(bǔ)充是管理層對可轉(zhuǎn)債融資的定位。由于可轉(zhuǎn)債在我國仍屬于新型融資工具，監(jiān)管當(dāng)局、融資公司和投資者對其認(rèn)識還不夠，需要我們進(jìn)行積極研究與重點關(guān)注。本文以“可轉(zhuǎn)債融資博弈論”這個問題為契入點，，從理論上對可轉(zhuǎn)債融資契約的內(nèi)在經(jīng)濟(jì)特性與公司治理機(jī)制進(jìn)行深入分析，同時結(jié)合我國可轉(zhuǎn)債市場的現(xiàn)實發(fā)展進(jìn)行研究，以期達(dá)到如下目的：從微觀角度看，希望上市公司作為融資主體能對可轉(zhuǎn)債融資工具的經(jīng)濟(jì)特性有正確的認(rèn)識，合理發(fā)揮可轉(zhuǎn)債融資功能，有效利用可轉(zhuǎn)債融資改善其公司治理結(jié)構(gòu)，改變當(dāng)前我國上市公司盲目發(fā)行可轉(zhuǎn)債的狀況；從宏觀角度看，通過對我國特殊的市場環(huán)境、公司股權(quán)結(jié)構(gòu)和制度約束的分析，對上市公司當(dāng)前利用可轉(zhuǎn)債融資的動機(jī)進(jìn)行全方位的解釋，為管理當(dāng)局準(zhǔn)確了解我國可轉(zhuǎn)債融資提供依據(jù)，促進(jìn)可轉(zhuǎn)債市場的良性發(fā)展。 本文的寫作思路是：因為可轉(zhuǎn)換公司債券式混合債券，所以研究的出發(fā)點就著眼于可轉(zhuǎn)換公司債券在融資方面與股票和債券和區(qū)別。本文的一條思路是以Stein的后門權(quán)益假說為出發(fā)點，即公司發(fā)行可轉(zhuǎn)換公司債券的目的是為了變相發(fā)行普通股票，為此展開了內(nèi)容進(jìn)行論述，從可轉(zhuǎn)換債券的逆選擇問題上進(jìn)行研究，從融資宣告效果以及投資者對可轉(zhuǎn)換公司債券條款的評價來探討可轉(zhuǎn)換公司債券是否具有股權(quán)融資的特點。因為我國目前直接融資市場以股票和可轉(zhuǎn)換公司債券融資為主，所以這條思路的闡述主要是以實證為主。 本文展開的另一條研究線路是以Green（1984）提出風(fēng)險轉(zhuǎn)移假說為出發(fā)點，即可轉(zhuǎn)換公司債券在風(fēng)險轉(zhuǎn)一方面是普通債券的替代品，這部分由三章進(jìn)行論述：一章探討在最大化股東權(quán)益價值下，可轉(zhuǎn)換公司債券替代普通負(fù)債融資對降低風(fēng)險轉(zhuǎn)移的效果；另一章延伸上一章的內(nèi)容，同時考慮了在普通負(fù)債存在下可轉(zhuǎn)換公司債券持有人的策略行動，以及贖回策略和股利策略的影響，將債權(quán)人和可轉(zhuǎn)換公司債券債權(quán)人之間的博弈考慮進(jìn)去，分析了可能存在的均衡。后一章根據(jù)前兩章的論述進(jìn)一步討論博弈均衡下的最優(yōu)贖回策略。這一大部分內(nèi)容的闡述主要是以理論推導(dǎo)和建立模型進(jìn)行模擬數(shù)值演算為主。具體內(nèi)容如下： （1）對于融資過程中的決策行為研究，本文通過事件研究法研究市場的異常報酬率，探討中國證券市場對可轉(zhuǎn)換公司債券融資宣告的反應(yīng)，從而間接證明市場對可轉(zhuǎn)換公司債券債性和股性的認(rèn)同。 （2）通過對已發(fā)行的可轉(zhuǎn)換公司債券以及宣告發(fā)行可轉(zhuǎn)換公司債券的公司進(jìn)行研究，探討投資者是否會因為不同信息不對稱所帶來的逆選擇成本問題，而影響對可轉(zhuǎn)換公司債券條款的要求和評價，并同時證明相關(guān)的研究假說。 （3）對于融資后的決策行為研究，本文在期權(quán)定價模型的框架下，來研究企業(yè)在聲譽限制的環(huán)境下為了追求企業(yè)財富最大化所采取的行動。為此，將下跌失效買權(quán)模型進(jìn)行衍生，構(gòu)建了普通負(fù)債融資下股東權(quán)益定價模型和可轉(zhuǎn)換公司債券融資下股東權(quán)益定價模型，探討股東權(quán)益最大化下的企業(yè)風(fēng)險選擇問題。本文還通過研究股東以債權(quán)人的損失為代價承擔(dān)風(fēng)險和轉(zhuǎn)移財富的內(nèi)在傾向與可轉(zhuǎn)換公司債券債權(quán)人執(zhí)行轉(zhuǎn)股期權(quán)行為之間的博弈，進(jìn)一步分析股東風(fēng)險轉(zhuǎn)換的行為。 （4）本文在此提出了一種博弈均衡定價模型，以股東和可轉(zhuǎn)換債券持有人之間的博弈關(guān)系作為切入點，構(gòu)造了一個結(jié)構(gòu)模型來分析可轉(zhuǎn)換債券的價值和最優(yōu)策略，其中贖回、自愿轉(zhuǎn)股和破產(chǎn)被允許在債券的任一時間段內(nèi)發(fā)生。模型不僅體現(xiàn)了股票持有人在最大化其普通股的前提下內(nèi)在的決定贖回和破產(chǎn)的最優(yōu)策略，而且體現(xiàn)了可轉(zhuǎn)換債券的持有人在最大化其可轉(zhuǎn)換債券的前提下決定其最優(yōu)的自愿轉(zhuǎn)股策略。這個模型還進(jìn)一步考慮了破產(chǎn)成本、稅收利益、和債券發(fā)行人的資本結(jié)構(gòu)，以及償還成本和贖回通知期。通過上述研究從而幫助企業(yè)進(jìn)行經(jīng)營行為、贖回條款的執(zhí)行以及股利分配等行為的決策，另外也幫助投資者進(jìn)行執(zhí)行轉(zhuǎn)股權(quán)利的決策。
[Abstract]:Convertible bonds act as a composite financial instrument with both stock and bond characteristics, giving bondholders the right to convert a specific price to a specific number of shares within a specified period of time. Convertible bonds have developed rapidly in the past two decades and have become one of the most important financing instruments in the world. The exploration of convertible bonds in our country began in the early 1990s, and since 2001, the convertible debt market has shown the situation of high-speed development. The development of capital market in China needs the promotion of innovative financial instruments, making the convertible bond market an important and beneficial supplement to the capital market in our country. Because convertible bonds still belong to new financing instruments in our country, the regulatory authorities, financing companies and investors are not enough to realize their understanding, and we need to carry out active research and focus on them. in this context, Game Theory of Convertible Bond Financing On the basis of the analysis of the intrinsic economic characteristics and corporate governance mechanism of convertible bond financing contract, this paper studies the real development of convertible bond market in China, with a view to achieving the following objective: from the perspective of micro-perspective, It is hoped that the listed company as the financing entity can realize the correct understanding of the economic characteristics of the convertible bond financing tool, reasonably play the convertible debt financing function, effectively utilize the convertible bond financing to improve the corporate governance structure, and change the state of the current listed company blindly issuing the convertible debt; From the macro point of view, through the analysis of the special market environment, the company's equity structure and the system constraint, the motivation of the listed company to utilize the convertible bond financing is explained in all directions, which provides the basis for the management authority to understand the financing of convertible bonds accurately. To promote the benign development of the convertible bond market. The idea of writing is: Because convertible corporate bonds are convertible, the starting point of the study is to focus on convertible corporate bonds in terms of financing and stocks and bonds and areas This article is based on Stein's back door equity hypothesis, that is, the purpose of the company to issue convertible corporate bonds is to issue ordinary shares in a disguised form. To explore whether convertible corporate bonds have equity financing from the effect of financing announcement and the evaluation of the terms of convertible corporate bonds. Because our country's current direct financing market is dominated by stock and convertible corporate bond financing, the elaboration of this idea is mainly based on the empirical study. The other research route developed in this paper is to use Green (1984) to put forward the risk transfer hypothesis as the starting point, which can convert corporate bonds to a substitute for ordinary bonds on the one hand, which is discussed in three chapters: The chapter discusses how to maximize the shareholders' equity Under the value, convertible corporate bonds can replace common debt financing to reduce the effect of risk transfer; the other chapter extends the content of the chapter, taking into account the strategy actions of convertible corporate bond holders under the existence of ordinary liabilities, and the strategy of redemption and dividend strategy. The influence of the creditor and the creditors of convertible corporate bonds takes into account the possible existence The balance of game equilibrium is discussed in the last chapter according to the discussion of the first two chapters. The elaboration of a large part of the content is mainly based on the theoretical deduction and the establishment of the model to simulate the numerical performance It's a priority. Specifically, The following conclusions are as follows: (1) For the research on the decision-making behavior in the financing process, the paper discusses the financing of convertible corporate bonds in China's securities market through the event research method. The announcement of the reaction, thus indirectly proving the market's debt to convertible corporate bonds and (2) By studying the convertible corporate bonds issued and the companies announcing the issue of convertible corporate bonds, it is discussed whether investors will influence the conversion of convertible corporate bonds due to the adverse selection cost problems caused by asymmetric information asymmetry. Requirements and evaluation of funds, and at the same time demonstrate Based on the option pricing model, this paper studies the enterprise's wealth in order to pursue the enterprise's wealth under the framework of option pricing model. To achieve the maximization of shareholders' equity, the model of shareholders' equity pricing under ordinary debt financing and the pricing model of shareholders' equity under the financing of convertible corporate bonds are constructed. The paper also analyzes the inherent tendency of shareholders to take risks and transfer their wealth at the expense of the losses of creditors and the transfer options of convertible corporate bonds creditors. In this paper, a game equilibrium pricing model is proposed, which takes the game relationship between shareholders and convertible bond holders as the entry point, and constructs a structure model to analyze the price of convertible bonds. Value and optimal strategy where redemption, voluntary transfer, and bankruptcy are allowed in The model not only reflects the optimal strategy of decision redemption and bankruptcy inherent in the premise of maximizing its common stock, but also reflects the decision of the holder of convertible bonds to maximize the convertible bond. The model also takes into account the bankruptcy cost, the tax benefits, and the capital structure of the bond issuer. Through the above research, it helps enterprises to make decisions on behaviors such as business behavior, redemption terms, dividend distribution and other behaviors, and also help investors
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
[Abstract]:Convertible bonds act as a composite financial instrument with both stock and bond characteristics, giving bondholders the right to convert a specific price to a specific number of shares within a specified period of time. Convertible bonds have developed rapidly in the past two decades and have become one of the most important financing instruments in the world. The exploration of convertible bonds in our country began in the early 1990s, and since 2001, the convertible debt market has shown the situation of high-speed development. The development of capital market in China needs the promotion of innovative financial instruments, making the convertible bond market an important and beneficial supplement to the capital market in our country. Because convertible bonds still belong to new financing instruments in our country, the regulatory authorities, financing companies and investors are not enough to realize their understanding, and we need to carry out active research and focus on them. in this context, Game Theory of Convertible Bond Financing On the basis of the analysis of the intrinsic economic characteristics and corporate governance mechanism of convertible bond financing contract, this paper studies the real development of convertible bond market in China, with a view to achieving the following objective: from the perspective of micro-perspective, It is hoped that the listed company as the financing entity can realize the correct understanding of the economic characteristics of the convertible bond financing tool, reasonably play the convertible debt financing function, effectively utilize the convertible bond financing to improve the corporate governance structure, and change the state of the current listed company blindly issuing the convertible debt; From the macro point of view, through the analysis of the special market environment, the company's equity structure and the system constraint, the motivation of the listed company to utilize the convertible bond financing is explained in all directions, which provides the basis for the management authority to understand the financing of convertible bonds accurately. To promote the benign development of the convertible bond market. The idea of writing is: Because convertible corporate bonds are convertible, the starting point of the study is to focus on convertible corporate bonds in terms of financing and stocks and bonds and areas This article is based on Stein's back door equity hypothesis, that is, the purpose of the company to issue convertible corporate bonds is to issue ordinary shares in a disguised form. To explore whether convertible corporate bonds have equity financing from the effect of financing announcement and the evaluation of the terms of convertible corporate bonds. Because our country's current direct financing market is dominated by stock and convertible corporate bond financing, the elaboration of this idea is mainly based on the empirical study. The other research route developed in this paper is to use Green (1984) to put forward the risk transfer hypothesis as the starting point, which can convert corporate bonds to a substitute for ordinary bonds on the one hand, which is discussed in three chapters: The chapter discusses how to maximize the shareholders' equity Under the value, convertible corporate bonds can replace common debt financing to reduce the effect of risk transfer; the other chapter extends the content of the chapter, taking into account the strategy actions of convertible corporate bond holders under the existence of ordinary liabilities, and the strategy of redemption and dividend strategy. The influence of the creditor and the creditors of convertible corporate bonds takes into account the possible existence The balance of game equilibrium is discussed in the last chapter according to the discussion of the first two chapters. The elaboration of a large part of the content is mainly based on the theoretical deduction and the establishment of the model to simulate the numerical performance It's a priority. Specifically, The following conclusions are as follows: (1) For the research on the decision-making behavior in the financing process, the paper discusses the financing of convertible corporate bonds in China's securities market through the event research method. The announcement of the reaction, thus indirectly proving the market's debt to convertible corporate bonds and (2) By studying the convertible corporate bonds issued and the companies announcing the issue of convertible corporate bonds, it is discussed whether investors will influence the conversion of convertible corporate bonds due to the adverse selection cost problems caused by asymmetric information asymmetry. Requirements and evaluation of funds, and at the same time demonstrate Based on the option pricing model, this paper studies the enterprise's wealth in order to pursue the enterprise's wealth under the framework of option pricing model. To achieve the maximization of shareholders' equity, the model of shareholders' equity pricing under ordinary debt financing and the pricing model of shareholders' equity under the financing of convertible corporate bonds are constructed. The paper also analyzes the inherent tendency of shareholders to take risks and transfer their wealth at the expense of the losses of creditors and the transfer options of convertible corporate bonds creditors. In this paper, a game equilibrium pricing model is proposed, which takes the game relationship between shareholders and convertible bond holders as the entry point, and constructs a structure model to analyze the price of convertible bonds. Value and optimal strategy where redemption, voluntary transfer, and bankruptcy are allowed in The model not only reflects the optimal strategy of decision redemption and bankruptcy inherent in the premise of maximizing its common stock, but also reflects the decision of the holder of convertible bonds to maximize the convertible bond. The model also takes into account the bankruptcy cost, the tax benefits, and the capital structure of the bond issuer. Through the above research, it helps enterprises to make decisions on behaviors such as business behavior, redemption terms, dividend distribution and other behaviors, and also help investors
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
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