对我国可转债特别向下修正条款的研究

Research of the strike-price-adjusted provision of Chinese convertible bonds

可转债的特别向下修正条款赋予了发行公司在不同市场股价下调节其股权融资成本的权利,目的是确保债券持有者在债券到期日前尽可能多地实现转股,因此有必要讨论在初始转股价格确定的情况下,应如何设定特别向下修正条款,使债券持有者在到期日前执行转股的概率最大,从而也可以间接地减少回售的可能性.本文根据公司发行可转债的目的,以量化的形式给出了其特别向下修正条款的最优设计方案,通过与真实市场数据的比较可以看出,其结果同实际情况吻合得很好,同时得到了中国大多数可转债的特别向下修正条款在最大化转股概率的同时也可以很好地缓解回售压力的结论.

The strike-price-adjusted provision of convertible bond gives a firm a right that can adjust its cost of financing under different market stock prices.This insures that the bond holders may execute conversion as soon as possible.So it is necessary to analyze how to design the strike-price-adjusted provision of convertible bond to maximize the conversion probability before the expiry time.This paper gave the optimal result of this problem numerically and it is shown that the result fitted the reality very we...