中国可转债定价模型比较研究  

A Comparison of Chinese Convertible Bond Pricing Models

作　　者：郑振龙 竺添晟 陈蓉 ZHENG Zhenong;ZHU Tiansheng;CHEN Rong(Xiamen University)

机构地区：[1]厦门大学管理学院财务学系,福建省厦门市361005

出　　处：《经济学(季刊)》2025年第1期173-190,共18页China Economic Quarterly

基　　金：国家自然科学基金(72371210、72071168)的资助。

摘　　要：本文比较各种可转债定价模型的精度。我们利用五种常见定价模型计算可转债的理论价值,根据可转债市场价格和理论价值的偏离程度构建可转债横截面多空对冲组合,通过各模型多空对冲组合的超额收益率和alpha来比较各种定价模型的精度。研究表明,中国可转债市场平均价格早年被严重低估,近年市场平均错误定价水平呈周期变化。定价模型所用假设越少、对可转债条款考虑越充分越能捕捉市场定价错误,进而能产生更高的多空组合超额收益和alpha。In this paper we compare the accuracy of various convertible bond pricing models.We cal-culate theoretical values of convertible bonds using five common models and construct cross-sectional long-short portfolios based on the deviations between market prices and theoretical values.The accuracy of each model is assessed through the excess returns and alpha of these portfolios.We find that the average price of Chinese convertible bonds was significantly undervalued in earlier years,with recent average mispricing showing cyclical pattern.Models with fewer assumptions and more comprehensive consideration of bond terms better capture market mispricing,leading to higher long-short portfolio excess returns and alpha.

关 键 词：可转换债券 定价模型 收益率预测 

分 类 号：F832.51[经济管理—金融学]