向下修正条款与可转债价值——基于概率预测模型的实证研究  

作　　者：孙秋玲 梁永福 邓荃文 

机构地区：[1]暨南大学产业经济研究院 [2]广东工业大学经济与贸易学院 [3]北京大学汇丰商学院

出　　处：《企业经济》2017年第12期186-192,共7页Enterprise Economy

基　　金：国家自然科学基金重点项目"推动经济发达地区产业转型升级的机制与政策研究"(项目编号:71333007);广东产业发展与粤港澳台区域合作研究中心项目"广东省行政垄断产业的管制体制改革研究"(项目编号:52702497)

摘　　要：可转债是一种兼具股性和债性的新型金融衍生品,可以转换为债券发行公司的股票,通常具有较低的票面利率。在中国,可转债具有特殊性和差异性,而当前基于中国背景的研究大多沿用国外的方法,对可转债条款的差异有所忽略。本文建立了半年期样本和一年期样本的两个备选的Probit概率预测模型,并根据预测的效果,选择更优的选择期限模型作为最终的预测模型。最后对设计的模型进行了有效性、多重共线性和稳健性的检验。其中,对有效性的检验则是通过LSM模型来进行仿真。本文发掘出中国可转债中被前人研究所忽视的向下修正条款,探讨其是否给转债带来价值提升,并建立较为准确的执行概率预测模型,证实其对可转债价值的影响程度。Convertible bonds are a new type of financial derivatives that have the features of both stock and debt. These bonds can be converted into stocks of bond issuers usually with lower coupon rates. In China, the particularities and differences of convertible bonds are often neglected because most of domestic researches are based on the international methods rather than taking China＇s background and the differences of the terms of the convertible bonds between China and other countries into consideration. In this paper, we establish two alternative Probit probability prediction models with half-year and one-year samples. Based on the predicted results, we select a better term selection model as the final prediction model. Finally, the designed model undergoes tests for validity, muhicollinearity and robustness. Among them, the validity is tested through the LSM model for simulation. This paper explores the downward amending clauses in Chinese convertible bonds that are neglected by the predecessors and explores whether it can bring the value increase to the convertible bonds, so as to establish a more accurate model for performing probabilistic prediction and confirming its influencing degree on the value of the convertible bonds.

关 键 词：可转债 向下修正条款 Probit概率预测模型 LSM模型 

分 类 号：F830.91[经济管理—金融学]