投资者异质信念下可转换债券赎回策略

Call strategies of convertible bonds under investors heterogeneous belief

可转换债券现有研究模型多建立在投资者理性范式之下,较少考虑投资者异质信念的影响,易造成可转换债券定价偏差,市场上所存在的众多异象如推迟(或提前)赎回至今也未能获得良好的解释.将行为金融理论引入可转换债券定价模型之中,采用投资者的后悔厌恶来表征投资者的异质信念,构建了投资者异质信念下可转换债券定价模型,重点探讨了异质信念对可转换债券赎回策略的影响.理论模型及数值实验结果均表明可转换债券发行者的后悔厌恶情绪是可转换债券推迟(或提前)赎回的一个重要原因.

Most of the existing pricing models for convertible bonds are based on the framework of rational investors, which ignore the impact of heterogeneous investors, resulting in valuation inaccuracy and being difficult to explain some abnormal phenomenon in the market such as convertible bonds underpricing or call late （early）. Under the framework of behavioral finance, this paper uses the regret aversion to stand for the heterogeneous beliefs of investors, and a revised pricing model is constructed subsequently. Focusing on the call strategy, we analyze the impact of investors＇ heterogeneous beliefs on the convertible bonds. Results of theoretical model and numerical simulation both point out the regret aversion of convertible bonds issuers could explain call strategy of convertible bonds late（early） properly.