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论文编号：	8337
作者编号：	2120142475
上传时间：	2016/6/7 20:46:57
中文题目：	我国优先股发行定价研究
英文题目：	On the Pricing of Preferred Stock in China
指导老师：	黄福广
中文关键字：	优先股息差； 违约风险； 流动性风险；利率风险
英文关键字：	dividends spreads of preferred stock; default risk; liquidity risk ; interest rate risk
中文摘要：	在我国不断推进资本市场改革开发与稳健发展的大背景下，金融市场产品不断丰富，2014年11月份，中国农业银行发行了中国境内第一只优先股，拉开了境内市场优先股发行的序幕，随后多家商业银行与大型央企陆续发行优先股融资，我国优先股有较大的发行需求。但由于优先股在我国发展起步较晚，目前市场上优先股定价主要采用逐步缩小询价区间法和市场法的定价方法，缺少指导优先股定价的理论方法，因此本文尝试根据我国优先股条款设计特点，探讨优先股的定价问题。 本文在梳理国外优先股定价理论、债券定价理论以及我国优先股条款特点后发现我国优先股具有较强的债券属性，适合运用债券属性的利差理论来分析优先股的定价。借鉴影响债券利差的主要因素包括违约风险、流动性风险和利率风险，通过理论分析发现违约风险、流动性风险、利率风险同样影响优先股息差。本文通过寻找衡量优先股违约风险、流动性风险、利率风险的代理变量，对影响优先股的息差因素进行实证检验。 通过对优先股影响因素的研究，本文得出了如下结论：信用评级越高的优先股息差越小，发行主体规模越大的优先股息差越小，发行主体资产规模波动越大，优先股息差越大，发行时市场资金面越宽裕，优先股息差越小，优先股投资者中长期投资者占比越高，优先股息差越小，固定利率相对于浮动利率有更小的息差。但宏观经济因素和强制转股条款对优先股的息差没有影响。
英文摘要：	In the context of continuing to promote the development of capital market reform and stable development, financial market products continue to enrich in our country. In November 2014, the Agricultural Bank of China issued first preferred shares in China, a prelude to the domestic market followed by a number of commercial banks and large central enterprises who have issued preferred stock, and preferred stock has greater market potential in China. However, due to China's development started late in preferred stock, preferred stock price on the market at present mainly used the gradually narrow the range of inquiry methods and Markets Act pricing methods, lack of theoretical guidance of preferred stock pricing method, this paper attempts to discuss the pricing on preferred stock according to the terms of preference shares Features in China. In this paper, after carding preferred stock pricing theory at home and abroad, bond pricing theory and the characteristics of preference shares found that preferred stock has a strong bond properties, suitable for using bond spreads theory to analyze the properties of preferred stock pricing. The main factors affecting the reference bond spreads include default risk, liquidity risk and interest rate risk, and the risk of default, liquidity risk, interest rate risk also affect the preferred dividends spreads by theoretical analysis. Establish regression model to measure default risk, liquidity risk, interest rate risk’s influences on preferred stock spreads. Through the above study, this paper draws the following conclusion: the higher the credit rating of the preferred stock, the smaller the dividends spreads, the larger issuers of preferred stock The smaller the dividends spreads, the issue of the size of the greater volatility of assets, the greater dividends spreads, when the issue of market funds face the more well-off, the smaller the dividends spreads, the higher the proportion of long-term investors, the smaller the dividends spreads, fixed rate has smaller spreads to the floating rate. However, macroeconomic factors and mandatory conversion clause has no effect on the dividends spreads.
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