可转债契约条款及相关者利益保护研究  

The Terms of the Convertible Bond and Stakeholders Profit Protection

作　　者：闫华红[1] 董旭 

机构地区：[1]首都经济贸易大学会计学院 [2]中电投财务有限公司

出　　处：《财政科学》2016年第1期43-58,共16页Fiscal Science

基　　金：国家社科基金(15BGL059)资助项目的报告

摘　　要：可转换公司债券在我国债券市场中发行规模很小,一方面,可转债发行条件较为严格,使很多上市公司难以发行可转债;另一方面,可转债条款之间存在冲突,使上市公司有所顾虑。本文在总结可转债发行现状和条款的基础上,首先分析了在逆势市场下可转债的回售条款和转股价向下修正条款冲突的原因,其次采用实验研究法测试Delta套利模型对可转债持有人的利益保护作用。实验结果表明Delta套利模型能够实现可转债持有人利益的自我保护,该方案可以解决可转债三方利益的冲突。尽管目前采用融券做空个股的费率较高,影响了套利的结果,但是待市场推出个股期权后,Delta套利模型能够更加保护可转债持有人的利益。Convertible bonds are small to the total amount of bonds issued in our market. On one hand, restrictions make it difficult to issue convertible bonds of listed companies. On the other hand, there is a conflict between the terms of the convertible bond, about which listed companies are worried. In this pa- per, we use descriptive statistics to summarize the status and the terms of the convertible bond issued, and analyze the cause of conflict between putable and resettable conversion prices in the contrarian market. Be- sides, we also use experimental research method to test effects of protecting interest for the holders of con- vertible bonds thought Delta arbitrage model. Experimental results show that the holders of convertible bonds can protect themselves thought the Delta arbitrage model and that case can solve the interest conflict of convertible bonds tripartite. Although the results of arbitrage are affected by the higher trading rates of short selling, the holders of convertible bonds can protect themselves through Delta model after the market launch of stock options.

关 键 词：可转换公司债券 契约条款 Delta静态对冲 

分 类 号：F810.5[经济管理—财政学]