CAJ | 학술논문

本文应用无套利原理分析了我国可转债价值应满足的理论模型,通过对使用有限差分法和LSM方法求解模型结果的比较,得出LSM方法对可转债价值的计算更为有效;根据我国已有的可转债数据,本文分别就含有两种不同类型附加条款的可转债价值所应满足的边界条件进行了分析,并利用市场数据对其进行了实证研究,得出了我国当前市场对可转债价值存在普遍大幅度高估的现象,同时,根据市场数据分析发现我国曾经出现过的强制性特别向下修正条款所体现的超额价值并未被市场和广大投资者所认知,更由于其限制了公司利用可转债进行融资的灵活性,而使其逐渐淡出可转债市场。
본문응용무투리원리분석료아국가전채개치응만족적이론모형,통과대사용유한차분법화LSM방법구해모형결과적비교,득출LSM방법대가전채개치적계산경위유효;근거아국이유적가전채수거,본문분별취함유량충불동류형부가조관적가전채개치소응만족적변계조건진행료분석,병이용시장수거대기진행료실증연구,득출료아국당전시장대가전채개치존재보편대폭도고고적현상,동시,근거시장수거분석발현아국증경출현과적강제성특별향하수정조관소체현적초액개치병미피시장화엄대투자자소인지,경유우기한제료공사이용가전채진행융자적령활성,이사기축점담출가전채시장。
A convertible bond is a hybrid bond with debt-and equity-features.It is a derivative for which values are derived from the joint values of the debt and equity.The valuation of a convertible bond is difficult because complex relationships exist between debt and equity.Exotic additive terms in Chinese markets are making accurate valuations of convertible bonds even more difficult.The existing literature simplifies the effect of additive terms on the valuation of Chinese convertible bond.The common practice is to add provisions and additive terms in order to address a convertible bond＇s valuation problems in PDE framework.However,this simplification practice is often not applicable to other situations.The goal of this paper is to discuss different contexts and analyze how these contexts may affect the price of different additive terms in Chinese convertible bonds.We modify the valuation model for convertible bonds according to additive terms,and use LSM and Finite-difference Method to calculate the bond value.The first section of this paper introduces a valuation model according to the Tsiveriotis Fernande model.This model separates the value of convertible bond into two parts,cash part and equity part.Under this framework,we deal with conversion rights,call provisions,put provisions and the additive term about modifying provision call levels.Finally,we provide PDE of convertible bond values and its boundary and conditions.The second part introduces the steps of the least-squared Monte Carlo approach and compares this approach with the Finite-Difference method,a popular PDE numerical solution.The result of LSM is very close to that of Finite-difference Method,but the calculation speed of LSM method is quicker than that of Finite-Difference method.The third part is our empirical research of the convertible bond market in China.First we price the existing convertible bonds in China market and compare their market values with theoretical values.Second we modify the value model according to one kind of convertible bonds which has some special terms to modify provision call levels.Third,we discuss and analyze the impact of these terms on the theoretical and empirical values of convertible bonds.Our empirical study shows that most of convertible bonds in the Chinese market have been overvalued.Market data shows that investors in the market do not recognize the values of the compulsory strike-price-adjusted provision for convertible bonds.This provision restricts the financing function of convertible bonds.