【作者】 唐耿；

【导师】 马超群；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2004， 硕士

【摘要】 可转换债券以其独特的风险收益特性逐渐为投、融资者所接受并得到了广泛的欢迎。如今，无论是在广度上还是深度上，全球范围内的可转债市场都已发生了质的变化，并且日趋成熟和繁荣。中国的可转债市场在经历了十余年的沉寂之后，近两年也正在进入一个高速发展期。可转债作为一种中间性的投融资工具，其市场体系的繁荣和发展有利于解决我国资本市场存在的股权融资比例过高、投资品种匮乏和金融创新困难等问题，也有利于中国资本市场的成熟、完善和金融风险的化解。 但是，由于可转债是中国资本市场上的一种新型金融工具，市场参与者对其价值和条款特性的了解还不深入，相关理论研究更是处于起步阶段。因此，本文在这种背景下研究可转债的价值和条款设计，对于目前尚处于发展初期的中国可转债市场以及中国金融产品的创新都具有重要的理论和现实意义。 本文从可转债的条款构成入手，通过归纳总结中国可转债的构成条款和性质，对其各个组成部分的价值及影响因素进行深入分析；并在此基础上针对中国证券市场的特殊性和可转债定价的难点，建立了引入信用风险的二叉树定价模型。该模型能较全面的反映债券条款、转换条款、赎回条款和回售条款对可转债价值的影响，对可转债进行整体定价。本文选取了9只上市可转债进行实证研究，发现相对于模型的理论价值而言，中国可转债的市场价格被明显低估。本文进一步研究了偏差产生的原因，还对可转债价值的影响因素进行敏感性分析，并在实证基础上探讨中国可转债发行条款的设计。 总而言之，本文提出了中国可转债一个较全面的价值分析框架，并对其条款设计进行探讨，这不但能为今后可转债的进一步研究提供思路，也可以为我国上市公司可转债的发行提供参考，为投资者选择合适的可转债投资品种提供依据。更多还原

【Abstract】 Due to its unique risk-revenue attributes, convertible bonds are welcomed by both issuers and investors. Nowadays, global convertible market takes on a new look and becomes more mature and prosperous as time goes by. After ten years’ dreariness, Chinese convertible bond market starts to grow rapidly. As an intermediate financial instrument, its development and prosperity will benefit a lot on Chinese capital market troubles such as extortionate stock financing ratio, lack of investment tool and financial innovation. It also does well on the maturity, consummation and dissolution of financial risk.Since convertible bonds are new financial instruments of Chinese capital market, the comprehension of market participants is far from intact and related theory researches are on the way. Under this kind of circumstance, the research on convertible bond value and provision design of this thesis makes a lot of sense on Chinese convertible bond market and the innovation of China financial instruments.This thesis starts with the provision composition of convertible bonds. With the induction and deduction of the provisions, it then carries out lucubrate analysis on the value and influencing factors of each individual provision. Aims at the characteristics of Chinese security market and the difficulties of pricing, this thesis constructs a binomial tree model with credit risk which reflects the impacts of bond provision, conversion provision, call provision and put provision on convertible bond value. This thesis takes 9 convertible bonds in the market to carry out empirical research. And the results indicate that the prices of Chinese convertible bonds were significantly underestimated when comparing with the theoretical price. Reasons of the error are investigated and sensitivity analysis is studied. At the end of the thesis, provision design of Chinese convertible bond is discussed.In all, this thesis provides a comprehensive valuation framework of Chinese convertible bonds and discusses the provision design. It opens the train of thoughts on further researches, and provides references for both issuers and investors.更多还原