财务危机成本、赎回失败与可转债最优赎回决策  

Financial distress cost,call failure and optimal call strategy

作　　者：胡援成[1] 周珺[1] 

机构地区：[1]江西财经大学金融发展与风险防范研究中心,南昌330013

出　　处：《系统工程理论与实践》2009年第11期100-111,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70562001;70262001)

摘　　要：在最优停时分析框架下得到了财务危机成本和赎回失败的可转债最优赎回决策动态优化模型.对模型进行静态分析比较结果显示:在财务危机约束下,赎回推迟程度与可转债发行规模、企业价值波动及成长有显著相关关系.通过对2002年至2004年间发行的我国可转债市场实际数据的实证分析,证明了模型的相关结论,并说明了我国可转债赎回策略中存在的财务危机成本阀值效应.得出结论:结合经验上的阀值效应,以我国目前可转债的发行规模和整体股市成长背景而言,可转债立即赎回是合适的.Since there was little research on redemption of convertible bonds in China＇s academic field, under the framework of optimal stopping time theory,this paper constructed a dynamic optimal model of call strategy with considering costs of financial distress and call failure.With the constraint of financial distress,comparative static analysis on the model shows that delay extent of the redemption is significantly correlated with issuing scale,volatility and growth of firm value.Through empirical analysis based on the convertible bonds data from 2002 to 2004,this paper testified the propositions of the model,and also showed that there exists threshold effect of financial distress costs in the call strategy in China.Considering the experiential threshold effect,the conclusion suggests that the calling back of convertible bonds not being delayed is reasonable under the background of issuing scales of convertible bonds and the growing stock market currently in China.

关 键 词：可转换债券 赎回策略 财务危机成本 赎回失败 最优停时分析 

分 类 号：G13[文化科学] G32