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可转换债券承销与赎回的博弈分析 被引量:1

Underwriting and Calls of Convertible Bonds
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摘要 通过对HarrisandRaviv模型进行改进,将债券的赎回价格非0化,并在改进的模型中考虑到债券赎回的公告期。新模型得出了一些结论:1通过投资银行赎回债券将向市场和投资者传递负面的信息,因而通过投资银行赎回债券所导致的股票价格下降程度要比直接赎回债券所导致的股票价格下降的程度要大;2在直接赎回债券之前,并且赎回债券之前的转换期权价值(即转换价值与赎回价格之差)小于直接赎回债券以前的转换期权价值时,可以决定通过投资银行赎回债券;3股票价格的下降程度、支付给投资银行的佣金与转换的期权价值是负相关的。 By the improvement Harris and Raviv's model, we consider a nonzero call price and a call notice period, and draw a conclusion:(1) The use of underwriters conveys negative information, consequently the stock price decline is greater for underwritten than for nonunderwritten calls;(2) underwritten calls are made earlier and when the conversion option is less deep in molley; (3) underwriting commissions and the stock price decline associated with a call are negatively related to the extent thatthe conversion options in the money before the call.
出处 《系统工程理论方法应用》 2004年第3期234-238,共5页 Systems Engineering Theory·Methodology·Applications
关键词 非对称信息 可转换债券 信号传递博弈 asymmetric information convertble bond signaling games
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参考文献4

  • 1[1]Harris M, Raviv A. A sequential signalling model of convertible debt call policy [ J]. Journal of Finance, 1985,40: 1263-1281.
  • 2[2]Datta S, Iskander-Datta M E. New evidence on the valuation effects of convertible bond calls[J]. Journal of Financial and Quantitative Analysis, 1996,31: 295-307.
  • 3[3]Ofer A R, Natarajan A. Convertible call policies : An empirical analysis of an information-signalling hypothesis[J]. Journal of Financial Economics, 1987,19: 91-108.
  • 4[4]Rasmusen E. Games and information: An introduction to game theory[M]. Oxford ,UK ,Basil Blackwell, 1989. 107.

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