發(fā)布時(shí)間：2018-06-20 05:12

  本文選題：可轉(zhuǎn)換公司債券 + 價(jià)格特性　； 參考：《青島大學(xué)》2012年碩士論文

【摘要】：可轉(zhuǎn)換公司債券市場(chǎng)是一國(guó)證券市場(chǎng)的重要組成部分。我國(guó)的可轉(zhuǎn)債市場(chǎng)起步較晚,但隨著我國(guó)證券市場(chǎng)的快速崛起和資本市場(chǎng)的多樣需求,可轉(zhuǎn)債市場(chǎng)也得到了長(zhǎng)足的發(fā)展,并且具有廣闊的發(fā)展空間和快速的增長(zhǎng)潛力。 可轉(zhuǎn)換公司債券是一種混合金融產(chǎn)品。它是一種混合了多種期權(quán)的特殊的公司債券,除最為明顯的轉(zhuǎn)股期權(quán)外,往往還設(shè)有贖回期權(quán)、回售期權(quán),并往往還設(shè)計(jì)有轉(zhuǎn)股價(jià)格向下修正條款。由于債權(quán)和轉(zhuǎn)股期權(quán)的存在,使得可轉(zhuǎn)換公司債券的市場(chǎng)價(jià)格與其債券價(jià)格尤其是其基礎(chǔ)股票價(jià)格存在著相關(guān)性,但由于可轉(zhuǎn)換公司債券組成的復(fù)雜性,尤其是其中某些如轉(zhuǎn)股價(jià)格向下修正條款的不確定性,又使得這些相關(guān)性在不同的時(shí)期、不同的市場(chǎng)環(huán)境中隨時(shí)發(fā)生著變化。 本文從實(shí)證的角度出發(fā),對(duì)近期一年來(lái)可轉(zhuǎn)換公司債券市場(chǎng)與債券市場(chǎng)、股票市場(chǎng)的相關(guān)性進(jìn)行了實(shí)證和分析,以期發(fā)現(xiàn)可轉(zhuǎn)換公司債券當(dāng)前的價(jià)格特性,并為相關(guān)理論研究提供實(shí)證參考資料。也為證券市場(chǎng)投資者提供可轉(zhuǎn)換公司債券投資選擇參考資料。 本文研究驗(yàn)證了近一年來(lái)可轉(zhuǎn)換公司債券的價(jià)格符合純債價(jià)值是向下封底價(jià)格的理論特性,驗(yàn)證了近一年來(lái)可轉(zhuǎn)換公司債券價(jià)格與其股票價(jià)格整體上較高的相關(guān)性,也驗(yàn)證了可轉(zhuǎn)換公司債券價(jià)格較其純債價(jià)值的溢價(jià)空間、可轉(zhuǎn)換公司債券價(jià)格與其股票價(jià)格之間的相關(guān)性受到股票市場(chǎng)變化、債券市場(chǎng)變化的影響,尤其是去年9月的石化轉(zhuǎn)債2.0版事件由于對(duì)可轉(zhuǎn)債市場(chǎng)的基本投資理念形成了沖擊,顯著影響了可轉(zhuǎn)換公司債券二級(jí)市場(chǎng)的價(jià)格。同時(shí),本文的研究從某一角度推證了當(dāng)前市場(chǎng)要求的無(wú)風(fēng)險(xiǎn)收益率水平約為5%的參考數(shù)據(jù)。
[Abstract]:Convertible bond market is an important part of a country's securities market. The convertible bond market in China starts late, but with the rapid rise of the securities market and the diversified demand of the capital market, the convertible bond market has also got considerable development, and has broad development space and rapid growth potential. Convertible corporate bonds are a mixed financial product. It is a special corporate bond mixed with many kinds of options. In addition to the most obvious convertible options, there are also redemption options, return options, and a downward correction clause for the conversion price. Due to the existence of creditor's rights and convertible options, the market price of convertible corporate bonds is related to their bond prices, especially the underlying stock prices. However, due to the complexity of the composition of convertible corporate bonds, In particular, the uncertainty of some of them, such as the downward correction clause, makes these correlations change at different times and in different market environment. In this paper, the correlation between convertible corporate bond market, bond market and stock market in recent years is analyzed from the perspective of empirical analysis, in order to find out the current price characteristics of convertible corporate bonds. And provides the empirical reference for the related theoretical research. Also for investors in the securities market to provide convertible corporate bond investment options reference materials. This paper verifies that the price of convertible corporate bonds conforms to the theoretical characteristics that the value of pure bonds is the downward bottom price in recent years, and verifies the high correlation between the price of convertible corporate bonds and their stock prices as a whole. It also verifies the premium space between convertible corporate bond price and its pure bond value. The correlation between convertible corporate bond price and its stock price is affected by the change of stock market and bond market. In particular, the petrochemical bond conversion version 2.0 event in September of last year has significantly affected the secondary market prices of convertible corporate bonds because of the impact on the basic investment concept of the convertible bond market. At the same time, this paper deduces the reference data of the risk-free return level of about 5% which is required by the market from a certain point of view.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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