我国股权结构下认股权证定价问题的探讨

【作者】 李超；

【导师】 史代敏；

【作者基本信息】 西南财经大学 ， 工商管理， 2003， 硕士

【摘要】 中国金融市场经过二十多年的发展，已取得了很大的进步，特别是资本市场的发展尤为突出。但同时，中国的金融市场与发达的金融市场相比，仍有很大的差距：金融结构的不合理，金融产品的过于单一，金融市场的风险过大而避险工具不足等。 随着中国加入WTO，为了应对国际金融市场所带来的机遇和挑战，便要求中国的金融市场更加开放,金融市场的结构更加趋于合理,金融产品更加多样化。这些都需要中国的金融市场进一步进行金融创新，其中认股权证创新应是其中重要的一种。认股权证不但对当前的一些热点问题如国有股减持、公司治理等具有重要的意义，而且其他一些金融衍生工具如：可转换债券、股票激励期权实质上都包含有认股权证的因素。 在95年之前，中国市场上也发行过具有认股权证性质的有价证券如配股权证，但这些证券最终都失败了，其中的原因除了当时特定的法律及政策环境外，定价的不合理和恶意炒作也是其中一个很重要的原因。认股权证具有价格发现和规避风险等功能，但同时认股权证本身也具有巨大的风险，因此对待认股权证应持理性的态度，进行科学的分析，确定其合理的定价，避免认股权证成为又一个恶意投机的市场。 国外对认股权证定价的理论研究已有100多年的历史，其间经过许多学者的共同努力，到目前为止，认股权证的定价理论已形成了比较完善的体系。 特别是1973年Black和Schole发现了期权的定价公式（B-S期权定价公式），并在其基础之上发展建立了认股权证的定价公式，该认股权证定价公式具有简洁的形式和较准确的计算结果，使其在实践中得到广泛地应用。 在国内，从1995年开始，一些研究者陆续对认股权证、可转换债券、配股权证的定价理论做过研究。但存在两方面的问题：一是研究定价公式的不规范，这些研究虽然对中国的特殊情况有充分的了解，<WP=3>但只是对经验的简单总结，没有系统性，这不利于认股权证定价理论的发展与研究。二是简单地引用国外的理论公式，这些研究者对国外较成熟的理论有相当的了解，但往往不顾及中国证券市场的许多特殊性。中国资本市场由于历史原因和欧美国家相比有很大的独特性，如其中很重要的区别是国有股、法人股等非流通股占有很大比例。在这种情况下，如果不加论证或修正直接套用国外发达市场中的理论公式，势必造成较大的误差。本文的探讨将建立在西方认股权证规范研究的基础之上，又充分考虑了中国股票市场的独特性（主要是大部分股权的不流通），对中国市场上认股权证的定价进行了比较系统的探讨，从而得出更符合中国实际的认股权证定价公式。 本文主要研究如下几方面的问题： 1、本文对认股权证定价理论的发展脉络进行了梳理，并对各阶段的定价理论作了分析和评价。 2、本文详尽分析了中国独特股权结构对认股权证定价影响的机理，从而得出在中国股权结构下认股权证定价公式也应相应调整。 3、研究在特有股权结构下认股权证定价公式的修正和应用。 有待进一步研究的问题： 在本文写作时，由于限于中国市场认股权证的缺乏，还有待于今后在实证方面作进一步的研究；本文的逻辑推理是演绎推理（即由一般到特殊），但股权结构的独特性是否已使中国的市场成为完全不同于西方的市场，还有待研究。更多还原

【Abstract】 It has been making great improvement in financial market of China over the past two decades, especially in its capital market. At the same time, there are many unsolvable problems in Chinese financial market comparing to the developed financial market, such as: the disputed financial structure, poor financial products, high risk in financial market and lack of tools for eliminating risks. Following the Chinese entry of WTO, it is necessary to open our financial market in order to deal with the opportunities and challenges, meet the requirements of efficient structure of financial market and diversified financial products. In a word, further financial innovations is urgently needed, the most important one of them is warrant. Warrant has heavy impacts on some realistic economic problems such as state-owned shares lessening、corporate governance, to some extent even other financial derivative security such as ：convertible bond、stock options . All of them include some warrant characters. Before 1995, there are a few kinds of portfolio with warrant characteristics issued in Chinese stock market, unfortunately they all failed in the end, for example matched-stock warrant. Unrealistic pricing and hyper-speculations are the most important reasons that caused the fail, except the influences of laws and policies at that time. Warrant has functions of price-finding and risk-avoiding, meanwhile it is accompanied by high risk, so we have to deal with it in more rational attitude, analyze it objectively and scientifically, then price it realistically, make all efforts to avoid warrant turn into a hyper-speculated market. It has spent more than 100 years in researching the warrant pricing theory in developed western world, a relatively complete theory system has been set up now which is based on hard works of many scholars. In 1973<WP=5>Black and Scholes developed and set up the warrant pricing equation after discovery of B-S formula, because of its simple formation and relative accuracy, it has been widely used in practices. Since1995 some scholars have researched the pricing theories on warrant, convertible bond, and matched-stock warrant in domestic, but there are two major problems in their research: firstly, these formulas have not canonical system though some mainland scholars have a deep understanding about Chinese financial market, their research output is just a simple summary for experiences without systematic and critical thinking, so it is not a good way to develop the warrant pricing theory in China; secondly, some of them simply cited the foreign theoretical equation regardless of the unique characters of Chinese stock market(compared to mature western stock market, capital market in China has many differences especially heavy percentage of the state-owned shares and corporation-owned shares which can not liquidate in the stock market.). In this case it would be huge variation if the theoretical equation developed in the mature market were directly used in China without any adoptions or adjustments. Basing on well-developed theories in western markets and fully considering the unique characters in Chinese stock market (most shares are not liquidate), this paper will focus on the warrant-pricing theory in China, discuss it in a more systematic way, at last work out a more realistic warrant-pricing equation which is suitable to Chinese stock market. Main aspects of the warrant pricing theory are discussed in this paper:* Discuss and evaluate the different developing stages of the warrant-pricing theory in its history;* Carefully analyze the mechanism of cross-effects between the warrant pricing theory and unique stock structure in Chinese stock market, make the conclusion that the warrant pricing equation need to be adjusted according to the circumstances of Chinese stock market. Strictly adjust the warrant pricing equation, and then describe its<WP=6>* financial applications in exchangeable bond and other aspects. Some further research works should be dedica更多还原