或有可转换债券的定价和公司资本结构

Pricing of contingent convertible bonds and capital structure

假设公司收益流服从算术布朗运动,考虑包含或有可转换债券(CCB)的公司资本结构问题,计算公司证券均衡价格,分析公司破产概率、公司收益风险与公司资本结构之间的数量关系.结果表明:CCB不但显著降低破产概率,减小管理者"资产替代"动机,而且吸收公司大部分风险,大幅提升公司总价值;CCB的收益率差价明显高于普通债券;公司收益流与市场正(负)相关程度越高,公司总价值越小(大).

This paper assumes the cash flow follows an arithmetic Brownian motion and discusses the capital structure that includes contingent convertible bonds（ CCB）. We provide equilibrium prices of corporate securities and show the relationship among ruin probability,business risk and optimal capital structure. We find that CCB not only lowers ruin probability,but also decreases the risk-shifting incentive of managers and has most of the risk faced by the firm. In this way,CCB significantly increases the firm＇s value and has higher yield spreads than straight bond. If a firm earns more / less whenever the market is in recession / boom,the value of the firm gets lower / higher.