可转换债券发行公司的最优决策  

Optimal Decision-Making of Issuers of Convertible Bonds

作　　者：郑振龙[1] 林海[1] 

机构地区：[1]厦门大学金融系,福建厦门361005

出　　处：《财经问题研究》2004年第11期35-39,共5页Research On Financial and Economic Issues

基　　金：教育部优秀青年教师资助计划"中国信用风险度量和控制模型"项目;教育部人文社会科学研究2003年度博士点基金研究项目(03JB790016);福建省社科"十五"规划(第二期)项目(2003B069)

摘　　要：本文从公司和投资者之间的博弈入手,研究可转债发行后,发行公司在行使调整转股价格的权利和赎回的权利时的决策目标和最优决策行为。分析表明,发行公司的决策目标是以尽可能高的转股价格尽可能早地实现转股,除非面临回售的压力,公司不会主动调整转股价格,调整的幅度仅以保证回售日投资者不回售为限。只要满足赎回条件,公司通常会行使赎回权,以便实现强制性转股,实现尽可能早转股的决策目标。本文得到的5个重要推论对于可转债的准确定价和可转债发行条款的设计均有重大指导意义。By gaming between the issuing company and the investors,this paper analyzes the decision objectives and the optimal behaviors for the company to exert the options of adjusting the strike price and the option of redemption after the issuing of convertible bonds.It is shown that,the decision objectives for the issuing company is to convert the bonds into stocks with the prices as high as possible at the time as early as possible.The company will not adjust the strike price unless it faces the pressure of selling back.The percentage of adjustment is just to prevent the investors from selling back the CBs.If the redemption condition is satisfied,the company will usually exert the redemption option to realize the forced conversion and achieve the goal of conversion as early as possible.

关 键 词：可转换债券 赎回权 转股价调整权 回售权 

分 类 号：F830.50[经济管理—金融学]