可转换债券所含负债与权益的分叉处理法及其案例分析——基于标准期权定价模型的预期价值法

A Bifurcation Approach for the Liability & Equity in Convertible Bond and Case Analysis ——An Expected Value Method Based on the Standard Option Pricing Model

本文借鉴西方可转换债券分叉处理的做法并结合转股可能性因素,提出一种基于标准期权定价模型理论的新分叉处理法一预期价值法。以上海机场转债为例介绍该法的运用并分析了财务效应。研究表明:转债所含的权益价值不为零且大于期权价值;所含的负债价值小于按现行会计原则确认的价值。因此,该法确认的负债、权益价值更能反映经济实质。

By using the reference of the bifurcation approach for convertible bond in Western countries and introducing a factor which measures the probability of a convertible bond being converted into a common stock, this paper proposed a new bifurcation approach for convertible bond-the Expected Value, this new method is based on the theory of Standard Option Pricing Model. We choose Shanghai Airport Convertible Bond as an example to explain how to use this method to bifurcate the value of liability & equity in convertible bond, and we have also analyzed the financial effect after the bifurcation. The study indicates that the equity value in convertible bond is not null but greater than the option's value and the liability value in convertible bond is smaller than the value recognized according to the current accounting principles. Therefore, the recognized value of liability & equity can reflect the economic truth more accurately.