【作者】 魏强；

【导师】 杨宝臣；

【作者基本信息】 天津大学 ， 技术经济及管理， 2006， 硕士

【摘要】 可转换债券是我国金融市场最重要的金融衍生产品之一,它是一种持有者可以在一定时期内按事先约定的条件转换为公司股票的债券。可转债赋予投资者一定的选择权利,投资者既可以依其意愿选择将债券持有至到期日获得本金和利息,也可以选择在约定的时间内以约定的价格将债券转换为发行公司的普通股票。由于现代金融的飞速发展,金融产品的发展和创新日新月异,资本市场对于金融衍生产品的需求也日益加强。而在我国,对于金融衍生产品和现代金融工程的研究尚处于起步阶段,金融产品相对较少,因此对于可转债这一为数不多的包含有期权特点的现代金融衍生产品的研究,就具有较强的理论和实践意义。目前,国内对这一新型投资产品的讨论,主要集中在可转换债券本身的些特性的定性讨论,对可转债的价值的合理定价尚无一个准确的认识。而由于可转换债券本身的特性也确实较为复杂,因此对于不同可转债的定价也不可一概而论。相对于以往的研究,本文的研究从可转换债券的性质和特点着手,分析了我国可转换债券类型及其定价的一般模式,同时结合实证分析了其投资风险的测度方法,故可为投资者的投资决策提供一些理论上的支持。此外本文还对可转债的融资特性进行了归纳研究,这也为发行者合理选择融资时机和设计发行条款提供了操作的依据。本文的创新之处在于,运用蒙特卡洛模拟的方法,对可转债的投资风险进行了准确的模拟量化,从而为投资决策的制定提供了参考依据。同时本文对于可转债融资特点的分析,对于利用可转债融资的企业也提供了理论上的支持。更多还原

【Abstract】 Convertible bond is one of the most important finance derivative products in our country’s capital market. It is the bond which its holder can transfer into the company’s share according to the contract in certain time. Convertible bond entrust with the investor certain choice right, the investor may hold the bond to the due date to obtain the principle and its interest, or they may choose to transfer it into the company’s ordinary stock within the agreement time limit.As a result of modern finance theory’s rapid development, the financial product and its innovation changes every new day, capital market’s demand about financial product is also strengthening day by day. But in our country, study on the derivative product and the modern finance engineer is still at the start stage, the financial product is relatively few, therefore research on convertible bond is of great significance.At present, domestic research on this new investment product mainly concentrates on convertible bond’s characteristic and qualitative analysis, while its reasonable pricing method is still have no accurate understanding. Convertible bond itself is also quite complex, so it is difficult to give a general pricing model. In contrast to former research, this article analyzed convertible bond’s nature and classic pricing model, in addition, by the use of empirical analysis, the author analyzed its investment risk measure method which might provide some theoretically support for investor’s investment decision-making. Besides that, this paper also does some research on the convertible bond’s financing characteristic, which provided the operation basis for the publisher to choose the best financing opportunity and the reasonable provision design.The innovation of this paper lies in, by the use of Monte-Carlo method, we can know the convertible bond’s accurate investment risk, which will provided support for the investment decision-making. At the same time, the study on convertible bond’s financing characteristics will give some policy-making support for those publisher enterprises.更多还原