公司提前赎回可转债的行为是否可预测?——基于平价期权模型的分析

Are Companies' Behaviors of Calling Convertible Bonds Early Predicable?——The Analysis Based on Model of At-the-money Option

不同于标准期权,可赎回转债的转股条款实际上是一份障碍期权,其障碍水平由赎回条款以及公司的赎回行为所决定。本文依据可转债市场普遍存在延迟赎回现象,对转股权的内在价值进行了重新构建,并最终推导出红利保护下可转债的一个隐含赎回时点的显式模型。实证分析表明,该模型在一定程度上可以捕捉到可转债可能被赎回的市场讯号。

In fact, conversion provision of a callable convertible bond is an barrier option, and it differs from the standard option. The barrier of that option is determined by its call provision and issuer＇s call policy. Based on call delay, a common problem existing in convertible bond market, this paper rebuilds the intrinsic value of a conversion option and finally deduces an explicit model of implied time to call convertible bond with dividend protection. Empirical analysis shows the model can capture the market signals that convertible bonds may be called.