【作者】 赵峰；

【导师】 张玲；

【作者基本信息】 湖南大学 ， 技术经济及管理， 2005， 硕士

【摘要】 可转换债券,是指发行人依照法定程序发行,在一定期间内依据约定条件可以转换成股份的公司债券。这种兼具债权和股权性质的金融工具自诞生起就受到了全球投资人和融资者的广泛关注。我国可转债的发展起于1992年,经过十多年的发展,无论是从发行数量还是发行规模上来讲,可转债市场都取得了长足的发展。 本文首先回顾了可转换债券在国内外的发展和现状,总结了20世纪70年代以来国外在可转换债券价值理论的研究成果和我国学者对可转债进行的相关探索。随后,本文由可转换债券的基本概念入手,分析了可转债的价值特征及其价值影响因素。在此分析基础上,本文尝试将可转债的价值拆解为纯债券价值和期权价值两部分,并依此形成一种新的金融互换产品,进而阐述该产品的交易过程和相关合约的模拟条款及该产品对我国证券市场发展的现实意义。 上述拆解形成的金融产品付诸实施的关键是如何对其价值进行评价。故此本文尝试将Longstaff和Schwartz的估值方法与传统的折现法相结合,分别对拆解形成的期权价值和纯债券价值进行定价,最终将两部分价值加总即得出可转债的价值。本文以示例说明了上述方法,同时依据该定价方法对我国上市交易的19只可转债进行了实证研究。通过实证研究本文得出了一些有关我国可转债市场的现状分析。更多还原

【Abstract】 Convertible bonds are the bonds that are issued by a company, according to the due course of law, and that can be changed into shares of the company under the appointed conditions during a certain period . This kind of financial instrument, which combines the characters of bonds and stocks together, gets extensive attentions of investors and factors all around the world since it’s issued. In our country, The issue of convertible bonds starts in 1992, and the market of convertible bonds had made great progress in issuing amount and issuing scale in more than ten years since that time.Firstly, This paper reviews the development of convertible bonds at home and abroad, and summarizes the researches on the valuation of convertible bonds done by the foreigners and Chinese since the seventies of the 20th century. Then, this paper presents the basic conception of convertible bonds, and analyzes the characters of the value of CBs and the factors having influence on its value. Based On the analysis above, this paper tries to disassemble the value of convertible bonds as two parts: one is the value of the straight bonds and the other is the value of options. So according to the disassembling, this paper gets a swap, and describes the trade course and relevant clause of the swap, and then presents its meaning to the development of our security market.The key to put the swap into practice is that we must know how to estimate its value properly. So this paper tries to combine the valuation method of Longstaff and Schwartz with DCF, and then to use the methods to evaluate the value of options and straight bonds. So adding the two parts, we will get the value of convertible bonds. Using the methods above, this paper analyzes the current situation of the convertible bonds market in China through the pricing of 19 listed convertible bonds. And through the analysis above, this paper gets some viewpoints about the market.更多还原