本文選題：可轉(zhuǎn)換債券　切入點：二叉樹模型　出處：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：可轉(zhuǎn)換債券由于其股權(quán)和債權(quán)的兩面性,具有籌資和避險的雙重功能。因此自19世紀80年代以來,在國際資本市場上迅猛發(fā)展,成為發(fā)行額僅次于國債的第二大債券品種。但中國可轉(zhuǎn)換債券市場的發(fā)展時間尚短,可轉(zhuǎn)換債券作為中國資本市場上的一種新型的金融衍生工具,市場參與者對其條款以及價值的了解還不夠深入,相關(guān)的理論研究更是處于起步階段。因此,在此種背景下,本文擬在可轉(zhuǎn)換債券及其定價模型實證分析方面做一定的探討,希望對目前尚處于發(fā)展初期的中國可轉(zhuǎn)換債券市場以及中國金融產(chǎn)品的創(chuàng)新都具有借鑒意義。 目前,可轉(zhuǎn)換公司債券作為我國證券市場最為復(fù)雜的金融衍生產(chǎn)品,主要表現(xiàn)為其價值構(gòu)成和決定的復(fù)雜性。對任何一種金融產(chǎn)品而言,對其價值的研究和分析則是研究這種金融產(chǎn)品的核心內(nèi)容。綜觀目前國內(nèi)可轉(zhuǎn)換公司債券的相關(guān)研究文獻,很多都是對可轉(zhuǎn)換公司債券的價值構(gòu)成和決定做相應(yīng)分析,其中有相當(dāng)部分研究則是將國外已有的研究成果直接運用于國內(nèi)上市公司發(fā)行的可轉(zhuǎn)換券。對于可轉(zhuǎn)換公司價值決定的理論基礎(chǔ)、價值構(gòu)成復(fù)雜性的具體表現(xiàn)、價值影響因素等相關(guān)內(nèi)容分析得不夠透徹、詳盡。并且,在具體進行可轉(zhuǎn)換公司債券價值的定量研究時,對我國債券市場和可轉(zhuǎn)換公司債券所具有的特殊性并沒有做仔細的分析和研究。本文也正是在此種背景下,以可轉(zhuǎn)換公司債券的定價分析作為本文研究的議題。由于國外可轉(zhuǎn)換公司債券自誕生起已有兩百多年的歷史,期間已經(jīng)創(chuàng)新出一系列可轉(zhuǎn)換公司債券品種。因此,本文把研究對象鎖定為國內(nèi)上市公司發(fā)行的可轉(zhuǎn)換債券。從本文的研究結(jié)論可知,文中所采用的一些具體實證分析方法同樣適合于其它可轉(zhuǎn)換公司債券的價值研究。 本文首先介紹了國內(nèi)外可轉(zhuǎn)換債券的發(fā)展歷程以及定價理論,然后在對可轉(zhuǎn)換債券的基本要素和條款設(shè)計進行闡述的基礎(chǔ)上,重點介紹了四種常用的定價模型,并分析了各自的優(yōu)缺點,進而選擇二叉樹方法作為本文的定價模型；接著我們再對可轉(zhuǎn)換債券的價值影響因素進行了分析,具體分為債權(quán)價值部分的影響因素、期權(quán)價值部分的影響因素以及期權(quán)和債權(quán)價值部分的共同影響因素三類；最后利用二叉樹定價模型并結(jié)合市場數(shù)據(jù)進行了實證研究,得到了與以往的一些研究成果不一樣的結(jié)論,并對結(jié)論產(chǎn)生的具體原因進行了深入的分析,同時在這基礎(chǔ)上提出了完善我國可轉(zhuǎn)債市場的幾點建議。在模型的精確度方面,相對于前期的一些實證研究結(jié)果,發(fā)現(xiàn)利用本文所建立的二叉樹定價模型計算出的結(jié)果精確度較高,通過定價得到的理論價格走勢與市場價格變化趨勢擬合度較好,能夠很好地解釋我國可轉(zhuǎn)換債券市場上的一些現(xiàn)象。 總之,本文構(gòu)建了一個較全面的可轉(zhuǎn)換債券價值分析框架,得出的一些結(jié)論不僅能為今后可轉(zhuǎn)換債券的深入研究提供思路,也能為投資者和發(fā)行者在制定投資策略和發(fā)行定價方面提供依據(jù)和支持。
[Abstract]:Convertible bonds due to both its equity and debt, has dual functions of financing and hedging. Therefore, since 1880s, the rapid development in the international capital market, become the second big issue after the government bonds. But Chinese convertible bond market development in a short time, the convertible bond is a new the financial derivatives Chinese capital market, market participants on the terms and the value of understanding is not deep enough, the relevant theoretical research is still at the initial stage. Therefore, in this context, this paper intends to convertible bond pricing model and empirical analysis of certain aspects of the study, and have reference significance to develop innovation at the beginning of the Chinese convertible bond market and Chinese of financial products is still in.
At present, the Switching Company bonds in China's securities market as the most complicated financial derivative, mainly for its value structure and decision complexity. For any kind of financial products, research and analysis of its value is the core content of this financial product. The overview of related research literature domestic Switching Company bonds many of them are composed of, and decided to do the corresponding analysis of the Switching Company value of bonds, of which a considerable part of study is the research results will be directly applied to the domestic and foreign existing listed companies issuing convertible bonds. The theoretical foundation of the Switching Company value, the specific performance value of the complexity of the related content value influencing factors the analysis is not thorough, detailed and specific in the quantitative study of the Switching Company value of bonds, and turn to the bond market in China For the particularity of corporate bonds has not made careful analysis and research. This article is in this context, the Switching Company to bond pricing analysis as the research topic. Because foreign Switching Company bonds since the birth of more than more than 200 years of history, the period has created a series of Switching Company bonds therefore, the research object of this paper is to lock the issue of domestic listed companies convertible bonds. The conclusion from this study shows that some specific empirical analysis methods adopted in this paper for the same research value in other Switching Company bonds.
This paper first introduces the development of convertible bonds at home and abroad and pricing theory, then based on the basic elements and the clauses of convertible bonds are introduced, this paper introduces four kinds of common pricing model, and analyzes their advantages and disadvantages, and then select the two fork tree method as the pricing model of this paper; and then we go to the convertible bond value influence factors were analyzed, divided into specific factors affecting the creditor value part of the influence of the option value factors and influence factors of creditor's rights and option value three; finally using two binomial tree pricing model and empirical research combined with the market data, have not the same with some previous research conclusions, the specific reasons and the conclusions have conducted in-depth analysis, and on this basis put forward to improve the convertible bonds in China Several suggestions on the market. In terms of the accuracy of the model, compared with some preliminary results of the empirical research, found that the calculated using two binomial tree pricing model based on the results of higher accuracy, through the theoretical price and market price trend the trend to a better fit, can well explain the convertible bond in China on the market some phenomenon.
In conclusion, this paper constructs a convertible bond comprehensive valuation framework, some conclusions can not only provide ideas for future research of convertible bonds, but also for investors and issuers to provide the basis and support in the formulation of investment strategy and pricing.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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