我国可转债价值偏离度的影响因素分析

【作者】 周伟；

【导师】 陈利平；

【作者基本信息】 上海财经大学 ， 金融， 2022， 硕士

【摘要】 随着我国资本市场的不断发展与推进,我国现有的融资手段、融资渠道也在不断地丰富和完善。而在当前背景下,可转债因其特殊的性质与功能,近年来无论在一级还是二级市场,均受到了公司、机构与个人投资者的青睐。自2006年初至2021年底,我国A股成功发行上市的可转债共计429支,合计融资规模9,391.13亿元。然而,可转债由于存在债权、股权的双重属性导致的内嵌转股期权特征,加之如赎回、回售条款等部分较为复杂的条款设计,使得可转债在定价的精确度上存在难度,这主要体现在可转债的理论价值与市场价格的偏离上。对于投资者来说,可转债的价值偏离意味着其在二级市场具备套利机会;对于融资方来说,可转债在一级市场的定价偏离于某种程度降低融资效率、抬升融资成本;对于监管方来说,可转债的价值偏离增大了可转债的炒作空间,不利于市场的持续健康发展。因此,本文在计算可转债的理论价值与市场价格偏离程度的基础上,结合最新市场数据、运用创新性的影响因子,从实证分析层面研究我国可转债价值偏离度的影响因素。本文首先运用文献研究法,总结目前国内外可转债的价值研究理论与文献,从而对可转债市场的价值偏离现象进行探讨。同时,针对已有的可转债定价模型、有关价值偏离影响因素的研究进行归纳,选取附加条款期权的B-S定价模型对我国可转债的理论价格进行定价,计算市场折价程度,并在多元回归模型的构建前提出相关假设。其次,本文利用2006年初至2021年底我国A股市场成功发行的满足特定条件的205支可转债样本,选取发行公司、可转债本身、市场因素三个维度的解释变量进行总体样本的加权最小二乘法回归(WLS)。最后,基于2017年2月再融资新政发布窗口时间节点、可转债信用评级,对样本可转债进行分组回归,分别讨论相关因素对可转债价值偏离度的影响。实证结果表明,我国可转债市场折价现象普遍存在,且可转债的股性、流动性、发行公司的基本面及经营状况、正股发行前的波动率、股市的市场情绪均会对可转债的市场折价程度产生不同的显著影响,且再融资新规、可转债信用等级高低也会给上述影响因子的解释意义带来不同的效应。针对上述实证结果,本文分别为市场投资者、监管方提供建议,为市场监管机构完善市场制度及投资者的投资策略选择提供参考。更多还原

【Abstract】 With the development of China’s capital market,China’s existing financing means and channels are also constantly enriched.In the current context,because of its special nature and function,convertible bonds have been favored by companies,institutions and individual investors in both primary and secondary markets in recent years.From the beginning of 2006 to the end of 2021,a total of 429 convertible bonds were successfully issued and listed in China’s A shares,with a total financing scale of939.113 billion yuan.However,due to the dual attributes of creditor’s rights and equity,the embedded convertible option characteristics of convertible bonds,make it difficult for the pricing accuracy of convertible bonds.For investors,the value deviation of convertible bonds means that they have arbitrage opportunities in the secondary market;For financiers,the pricing in the primary market deviates from a certain extent,reducing financing efficiency and raising financing costs;For regulators,the value deviation increases the speculation space of convertible bonds,which is not conducive to the development of the market.Therefore,based on the calculation of the deviation,combined with the latest market data and innovative influencing factors,this paper studies the influencing factors of the value deviation degree of convertible bonds in China.This paper uses 205 samples of convertible bonds successfully issued in China’s A-share market from the beginning of 2006 to the end of 2021,and selects the explanatory variables of the issuing company,the convertible bond itself and market factors to carry out the weighted least square regression(WLS)of the overall sample.Based on the time node of the new refinancing deal release window in February 2017 and the credit rating of convertible bonds,the sample convertible bonds are grouped and regressed to discuss the impact of relevant factors on the value deviation of convertible bondsThe empirical results show that the discount phenomenon in China’s convertible bond market is widespread,and five factors such as equity and liquidity of convertible bonds will have different significant effects on the degree of market discount of convertible bonds.Besides,new refinancing regulations and credit rating of convertible bonds will also bring different effects to the explanatory significance of the above influencing factors.In view of the empirical results,this paper provides suggestions for market investors and regulators,and provides reference for market regulators to improve market system and investors’ investment strategy choice.更多还原