基于公司价值的可转债定价实证研究

Empirical Research on Pricing Method of Convertible Bond Based on Company Value

可转换债券近年来发展迅速,其相应的定价研究也成为研究的重点。本文通过构建公司价值、股票价值及可转债价值三者之间的方程,提出了一种新的基于公司价值的可转债定价方法,并在实证研究的基础上,通过一个回归方程对可转债理论价值进行调整。最后,本文通过对12家可转债的理论价格和市场价格进行对比来检验该方法,认为该方法能获得接近于市场价格的可转债理论价格。

With the rapid development of convertible bond, the pricing methods of convertible bond have become the focal point in the theory studies. This paper attempts to set up a new pricing model based on company＇s value, in the light of setting up an equation about firm value through the analysis of relation among convertible bonds value, stock value and company value, and on the basis of the empirical research to set up a linear regression model to adjust the theoretic value. Finally, this paper carries out an empirical research on 12 convertible bonds and compares the theoretic value with market price. The result showed that the pricing method is useful.