【摘要】：長期以來債券市場在我國資本市場中僅占很小比重,這從一定程度上導(dǎo)致了我國資本市場結(jié)構(gòu)的不平衡。導(dǎo)致大量企業(yè)在融資時(shí)優(yōu)先考慮股權(quán)融資,甚至視股權(quán)融資為“圈錢”,從長期來看,這種方式顯然不利于中國資本市場的持續(xù)發(fā)展。而可轉(zhuǎn)換債券作為一種兼具股票與債券特性的金融工具的推出對(duì)中國資本市場結(jié)構(gòu)失衡是一種修正,同時(shí)作為一種新型投資工具,可轉(zhuǎn)債為投資者帶來類似股票收益的同時(shí),也能為投資者提供債券價(jià)值的保護(hù)。而對(duì)于投資者來說,弄清楚可轉(zhuǎn)債價(jià)值偏離理論價(jià)值的程度以及影響其價(jià)值偏差的因素是十分重要的,這可有效指導(dǎo)投資者選擇合適的時(shí)機(jī)、合適的轉(zhuǎn)債進(jìn)行投資。本文選取在滬、深兩地上市的19支可轉(zhuǎn)債在時(shí)間段2007年5月25日至2011年12月30日的日數(shù)據(jù),對(duì)中國可轉(zhuǎn)債的定價(jià)情況進(jìn)行實(shí)證分析。分析結(jié)果表明出國可轉(zhuǎn)換債券市場的平均價(jià)值低估率為2.58%。對(duì)影響低估率的因素做進(jìn)一步分析可以得出剩余期限與低估率正相關(guān),息票利率與可轉(zhuǎn)換債券低估率負(fù)相關(guān),純債溢價(jià)率與價(jià)值低估率負(fù)相關(guān),轉(zhuǎn)股溢價(jià)率與價(jià)值低估率負(fù)相關(guān)。但是可轉(zhuǎn)債低估程度與價(jià)值狀態(tài)之間不是線性關(guān)系,而呈現(xiàn)出非線性相關(guān)。深度虛值的可轉(zhuǎn)債其可轉(zhuǎn)債價(jià)值低估率最小,較為接近其理論價(jià)格；而淺度實(shí)值或者淺度虛值的可轉(zhuǎn)債價(jià)值低估率較大。另外,本文結(jié)果還發(fā)現(xiàn)純債溢價(jià)率比轉(zhuǎn)股溢價(jià)率對(duì)低估率的解釋力更大。
[Abstract]:For a long time, the bond market accounts for only a small proportion in the capital market of our country, which leads to the imbalance of the structure of the capital market of our country to a certain extent. As a result, a large number of enterprises give priority to equity financing in financing, and even regard equity financing as "circle money". In the long run, this method is obviously not conducive to the sustainable development of China's capital market. The introduction of convertible bonds as a financial instrument with both stock and bond characteristics is a correction to the structural imbalance of China's capital market. At the same time, as a new investment tool, convertible bonds can not only bring similar stock returns to investors, but also provide investors with the protection of bond value. For investors, it is very important to understand the degree of deviation of the value of convertible bonds from the theoretical value and the factors that affect its value deviation, which can effectively guide investors to choose the right time and the right time to invest. Based on the daily data of 19 convertible bonds listed in Shanghai and Shenzhen from May 25, 2007 to December 30, 2011, this paper makes an empirical analysis on the pricing of convertible bonds in China. The results show that the average undervaluation rate of foreign convertible bond market is 2.58%. Further analysis of the factors affecting the undervaluation rate shows that there is a positive correlation between the remaining maturity and the undervaluation rate, a negative correlation between the coupon interest rate and the undervaluation rate of convertible bonds, a negative correlation between the pure bond premium rate and the value undervaluation rate, and a negative correlation between the equity conversion premium rate and the value undervaluation rate. However, there is not a linear relationship between the undervaluation of convertible bonds and the state of value, but a nonlinear correlation. The value underestimation rate of convertible bonds with deep virtual value is the smallest, which is close to its theoretical price, while the value undervaluation rate of convertible bonds with shallow real value or shallow virtual value is larger. In addition, the results of this paper also find that the pure debt premium rate is more explanatory to the underestimation rate than the equity swap premium rate.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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