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论文编号：	13477
作者编号：	2320200477
上传时间：	2022/12/3 15:48:19
中文题目：	JS证券咨询公司的可转债定价模型之改进研究——以楚江转债为例
英文题目：	Research for convertible bond pricing model improvement of JS securities consulting Inc.-Chujiang convertible bond as an example
指导老师：	齐岳
中文关键字：	楚江转债；Black-Scholes模型；风险溢酬；价格偏离
英文关键字：	Chujiang convertible bond；Black-Scholes model；risk premium；Price deviation
中文摘要：	摘要 可转换债券作为一种特殊的债券，持有人既能够像一般企业债一样取得利息，又可以在将来的一个特定时间内,按照有关条款转化为企业流通股。使得可转债既具备了债券稳定收益率的特点，又具有期权的特点。 JS证券咨询公司基于Black-Scholes模型开发了我国可转债的定价分析模型。结合我国可转债的市场背景，本文研究发现了JS公司模型的不足之处：（1）纯债价值计算时贴现率选择过高，带来纯债理论价值偏低，（2）模型未体现可转债末期利息补偿和转股的互斥性，（3）模型未考虑市场情绪；以上不足导致使用JS现有模型得出的理论价值可能出现大的偏离。理论价值偏低时，投资者可能错失良好投资机会；理论价值偏高时，可能会误导投资者。 根据我国可转债的真实信用风险很低的事实背景和成分定价法原理，本文提出了对JS公司可转债定价模型的改进对策：（1）纯债贴现改用基准无风险利率+固定风险溢酬作为贴现率，（2）利息补偿和转股权二选一，（3）定性考虑投资者情绪。改进模型计算得出的理论价值更接近市场价格,能更好的指导投资者。 作为实证检验，本文使用JS公司的改善定价模型对楚江转债发行上市日和上市后18个月的序列数据实证研究，结果显示尽管改善模型算出的理论价值和市场价格仍有一定偏离，但偏离度比现有模型明显改善，平均降低4%。又扩大选取20只可转债样本，选取截面数据实证检验，结果也显示改善模型能明显提高理论价值和市场价格拟合度，结论和楚江转债一致。本文主要创新点：（1）引入无风险利率+风险溢酬作为纯债贴现率，（2）根据成分定价法原理，末期利息和转股权价值取Max计入可转债理论价值。通过改善，投资者更易识别潜在的可转债投资机会，发行人也可以创新设计发行条款。
英文摘要：	Abstract Convertible bond is a special type of bond,bond holders are entitled to convert those bonds with set conditions in the future,that feature makes convertible holders not only entitled to receive interests and principle like common bonds but also be conferred a free option of converting the bonds to stocks. JS securities consulting inc.,developed convertible pricing model adapted for China based on Black-Scholes model.in conjuction with the unique characteristics of Chinese convertible bond,this thesis points out where JS model can be improved:(1)discount rate applied for bond part is too high,that leads to low estimation of bond value,(2)the current model doesn’t take the exclusivity between last period interest and convertible right,(3)the current model doesn’t factor in market emotions;when convertible part is deeply out of money,bond theoretical value is lower-biased,investors might lose potential opportunities.under normal conditions,the problems will lead to upward-biased theoretical value when we price Chinese convertible bond using JS company model,in consequence,it will mislead investors to some extent. Based on problems spotted,whereas the credit risk of Chinese convertibles is virtually very low, recalling the derivation of Black-Scholes model,the thesis put forward 3 solutions:(1)risk free rate plus risk premium as the discount rate for bond part,(2)Max the interest of last period and convertible value,then factor into theoretical value,(3)qualitatively take market emotion into account.by means of the improvements,it makes the theoretical value from JS company model fit more closely with market price. As empirical test,By means of sequence analysis for Chujiang convertible bond in the span of 18 months since it’s listed on the exchange,I find the a degree of deviation between market price and theoretical value,but the fitness is better than current model by 4%,then I sample 20 convertible bonds from the market in active transaction and select the cross-section data to analyze further,the conclusion is basically consistent with Chujiang convertible bond.the main innovations in this thesis are:(1)devise risk free rate plus a fixed risk premium as the good proxy for discount rate to bond part,(2)max the last period interest in convertible bond’s life and convertible value into theoretical value.with the improvements,it’s easier for investors to spot profitable investment opportunities of convertibles,also enables listed companies to innovate in convertible provisions.
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