关于我国可转换债券定价的实证研究  

An Empirical Study of Convertible Bonds

作　　者：赖其男[1] 姚长辉[1] 王志诚[1] 

机构地区：[1]北京大学光华管理学院,北京100871

出　　处：《金融研究》2005年第9期105-121,共17页Journal of Financial Research

摘　　要：本文在我国可转债市场快速发展的背景下,针对深沪两地上市公司发行的可转债条款进行系统研究,以拓展可转债价值分析的方法。本文从国内外可转债定价模型的发展演进来思考适合我国可转债的定价思路,针对我国可转债市场与条款设计的特殊性,综合考虑各种模型的应用条件、参数估计等因素,来选择最适合我国可转债特色的定价模型。根据我国可转债条款的特殊性,将模型作适当调整,针对2005年1月至3月间,深沪上市公司可转债的理论价格做实证研究,然后与模型观测期内可转债的市场价格进行比较。结论是,从平均价格水平来看,模型理论价值略低于实际市场价格,而且拟合度很好,误差率在1％以内。这一结论与其他学者的研究结论有很大的不同。The authors studied on China＇ s convertible bonds issued in Shanghai and Shenzhen markets trying to look for an appropriate method for pricing China＇ s convertible bonds from existing models. According to the special clauses of China＇s conveaible bonds, the authors adjusted the pricing model and applied it to an empirical research on the difference between the theoretical value based on the model and the market price from January to March, 2005. The conclusion is that, from the average price level, the theoretical model has a very good simulation effect on the market price of China＇ s convertible bonds, and the theoretical value is a little bit lower than market price. The study result is completely different from the research conclusion made by other scholars on the same topic.

关 键 词：可转换债券 定价模型 二叉树方法 特别向下修正条款 期权 

分 类 号：F832.51[经济管理—金融学]