文档介绍:可转换债券价值拆解及其定价研究
Abstract
Convertible bonds are the bonds that are issued by pany, according to the due
course of law, and that can be changed into shares of pany under the appointed
conditions during a certain period . This kind of financial instrument, bines
the characters of bonds and stocks together, gets extensive attentions of investors and
factors all around the world since it’s issued. In our country, The issue of convertible
bonds starts in 1992, and the market of convertible bonds had made great progress in
issuing amount and issuing scale in more than ten years since that time.
Firstly, This paper reviews the development of convertible bonds at home and
abroad,and summarizes the researches on the valuation of convertible bonds done by
the foreigners and Chinese since the seventies of the 20th century. Then, this paper
presents the basic conception of convertible bonds, and analyzes the characters of the
value of CBs and the factors having influence on its value. Based On the analysis above,
this paper tries to disassemble the value of convertible bonds as two parts: one is the
value of the straight bonds and the other is the value of options. So according to the
disassembling, this paper gets a swap, and describes the trade course and relevant clause
of the swap, and then presents its meaning to the development of our security market.
The key to put the swap into practice is that we must know how to estimate its value
properly. So this paper tries bine the valuation method of Longstaff and Schwartz
with DCF, and then to use the methods to evaluate the value of options and straight
bonds. So adding the two parts, we will get the value of convertible bonds. Using the
methods above, this paper analyzes the current situation of the convertible bonds market
in China through the pricing of 19 listed convertible bonds. And through the analysis
above, this paper gets some viewpoints about