上市公司可转换债券资本成本的实证研究

Empirical Study on Convertible Bonds in Listed Companies

可转换债券是具有债券和期权性质的衍生金融工具。其在未转换为股票前,由于票面利率比较低,在不考虑转股失败的财务风险时,资本成本确实很低。当发生转换时,其资本成本就不能简单的用票面利率来衡量,还要考虑转换后的股权成本。本文建立了一组模型,并按一定标准选取了样本公司作为研究对象,最后进行了模型检验。结果表明,我国上市公司的可转债资本成本普遍偏高,其大小与发行后股票价格的波动、转股价格的设计等直接相关。

Convertible bonds are Derivative Security between debt and common equity. Before transforming to shares, cost of capital is indeed low. Because nominal interest rate is lower when financial risk is not included. As transforming to shares, convertible bond on cost of capital is not simple measured by par interest rate. Cost of equity should be included. In this paper, a series of theoretical convertible bond model on the cost of capital is created. And samples of listed companies are chosen as an object of study by criterion. At last, this text does model test, The results demonstrate that convertible bonds on cost of capital is general high in listed companies of China. The magnitude is relative to the fluctuate of shares price and transforming shares price.