可转换债券的最优发行策略设计  

Design of Optimal Strategy for Convertible Bond Issuance

作　　者：王竹芳[1] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2005年第12期1192-1195,共4页Journal of Northeastern University(Natural Science)

基　　金：辽宁省自然科学基金资助项目(002012)

摘　　要：综合考虑可转换债券发行条件中所涉及的相关因素,以公司总价值最大化为目标,建立了转换速率与公司资产变化量之间的关系模型.运用泛函变分原理,求出最优转换速率,并且进一步得到可转换债券的最优发行策略,为可转换债券发行条件的设计提供了一种新的方法.以首钢转债为例,利用该方法分析了票面利率和最优转股期限对初始转股溢价率的影响,得出的结论与发行公司对可转换债券发行条款的实际运用一致,证明了该方法的有效性.Considering the factors related to the issuance of convertible bond, a modal is developed to express the relationship between conversion rate and asset variation of the firm issuing the bond with the maximization of the firm＇ s gross assets taken as the objective. The functional calculus is introduced to determine the optimal conversion rate so as to optimize the issuance strategy of convertible bond, thus offering a new way for the design of original indenture for convertible bond. For example, the way proposed is applied to the SHOUGANG convertible bond to analyze the influence of coupon rate and optimal conversion period on the conversion premium rate. A conclusion is drawn that in this way the result of such an analysis is practically in agreement with the issuance indenture for the convertible bond and that its effectiveness is therefore verified.

关 键 词：可转换债券 发行条件 最优策略 泛函 变分法 欧拉方程 

分 类 号：F830[经济管理—金融学]