我国上市公司可转换债券融资研究——基于契约设计的视角

作为一种兼具股性和债性的混合型融资工具,可转债的契约条款设计可使其更偏向于股性或债性,本文通过对我国上市公司2002-2008年发行的可转债的主要条款,如发行期限、票面利率、转股期、转股价格、转股溢价率、赎回条款、回售条款、特别向下修正条款等进行分析,发现绝大多数可转债契约设计更偏向于股性,这既有发行人的主观原因,也有监管当局制度约束的客观原因。     

Interest rate risk estimation: a new duration-based approach

Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this article we suggest a new approach, ‘discrete duration’, which significantly improves upon the accuracy of traditional duration methods and achieves a level of accuracy close to the more complex ‘duration-plus-convexity’ measure. In particular, discrete duration performs particularly well for long dated and low coupon rate bonds where the estimation error is impressively close to zero.     

关于债券凸性对冲的构造及检验

债券是人们重要的投资工具之一，在进行投资分析过程中，投资者会运用债券的久期、凸度等指标来衡量债券的利率风险。在投资过程中，投资者可以运用这些指标来构造债券的组合，实现凸性对冲。本文根据凸性对冲的原理：提出了构造债券组合一种方法，并利用最近债券市场的交易数据进行检验，发现确实存在凸性对冲的机会。     

可转债价格与股票价格动态传导关系实证研究——基于多变量协整方法和非对称误差修正模型的检验分析

文章以我国发行的14只可转债自进入转股期至2006年年底的价格数据为样本,运用协整方法和非对称误差修正模型(ECM)对可转换债券价格与基础股票价格之间的动态传导关系进行实证研究。实证结果表明:部分可转债与基础股票价格之间存在长期均衡的协整关系,股票价格领先于可转债价格,其中有些可转债与股票价格之间存在非对称传导现象,而有的可转债与股票价格之间不存在协整关系。     

The impact of convertible debt financing on investment timing

We develop a model to examine the timing of investment decisions in relation to the issuance of convertible debt by firms. Our model shows that when the demand shock has higher volatility, the firm finances the investment cost with high-coupon convertible debt. We find that default occurs earlier for firms that finance with convertible debt rather than with straight debt. We also find that firms with high-growth prospection, high volatility, and low capital costs that issue convertible debt tend to defer investments. Furthermore, we examine the investment decisions in which the convertible debt includes a call provision. We show that firms that use callable convertible debt invest earlier than those that use non-callable convertible debt by using suboptimal coupon payments. The opportunity from the forced conversion increases as the volatility increases. These results are consistent with recent empirical evidence.     

我国银行间债券市场产品创新分析

文章通过对中国和美国债券品种的对比,认为美国债券市场的产品创新主要有两类:一是在期限、利率、利息支付、面值及持有期等债券构成要素上直接创新的产品;二是利用金融工程技术设计出来的债权衍生产品。而我国债券市场由于基础产品不健全、体制不顺及市场分割等原因导致无法进一步进行债券类衍生产品的创新。多层次资本市场的建立需要债券市场更多金融创新支持,而债券市场产品创新演进的过程应该首先是满足市场不断加深的需求,其次是逐步使用现代金融工程技术。文章认为债券市场创新的根本途径有两条:一是大力发展公司债券市场,这是持续进行产品创新的基础;二是发展与股权挂钩的债券创新产品,包括可转化债券、附认股权证的可分离交易债券和可交换债券等。并进一步提出了我国银行间债券市场还应从债券品种、利率、期限等几个方面进行品种创新,进而提高市场交易效率和流动性。     

Long-run abnormal performance following convertible preference share and convertible bond issues: New evidence from the United Kingdom

We study the long-run abnormal performance of a sample of U.K. firms following convertible preference share and convertible bond issues over the period 1982–1996. We are the first to study, as far as we are aware, the long-run stock price performance of firms following convertible preference share issues. Furthermore, our data set has been extracted from original sources and thus mitigates to some extent concerns about data-snooping biases. We measure long-run abnormal performances both prior to and following the issuance of convertible bonds and convertible preference shares and by the method of the issue used. Using a range of metrics to assess the robustness of long-run abnormal performance, we find evidence of pre-offer overperformance and post-offer underperformance using buy-and-hold abnormal returns (BHARs). However, post-offer underperformance is statistically significant in the case of convertible preference share issuers. Implementing a calendar-time approach, we again find underperformance for convertible preference share issuers. We do not find any evidence of long-run stock price underperformance for firms following the issuance of convertible bonds.     

中国可转债市场与股票市场的动态关系研究——基于DCC-MGARCH模型的分析

近年来,DCC-MGARCH模型已经被成熟地运用到对一些金融市场间关系的研究中,运用DCC-MGARCH模型对可转债市场与股票市场间的动态相关系数进行研究,采用全局综合与局部分析的方法,刻画上述两金融市场间相关系数的动态时变特征,结果表明：采用DCC-MGARCH模型对可转债市场与股票市场间关系的研究是有效且可行的。     

The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets

This paper examines the effect of sovereign risk on bond duration. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated Asian sovereign bonds with their Macaulay duration for both investment grade bonds and speculative grade bonds. We find that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for all bonds, regardless of their bond rating and their maturity. Further, the “shortening” effect of sovereign risk on duration gets stronger as bond rating deteriorates and in recessionary conditions. Our findings provide strong support for the importance of adjusting for sovereign risk when bond portfolio managers apply the popular duration measure to hedge interest rate risk.     

双因素可转债定价的非参数方法(离散情形)——基于新的鞅方法

本文基于利率随机过程,通过非参数核估计法,建立了非参数利率期限结构动态模型来研究公司的可转债定价问题;然后,利用公司股票的历史收益率,将Canonical方法引入到可转债定价求解过程中,并由最大化熵原理得到其Canonical风险中性概率分布;最后,根据等价鞅测度定价原理得出可转债的价格。     

基于评级的投资行为和债券市场分割?

文章阐述了分割的债券市场中评级影响市场价格的新渠道,相对于以往的研究,该渠道建立在非制度约束下资产管理行为的基础上。文章选用2005年雷曼债券指数的重新定义公告作为一项准自然实验,该公告宣布自2015年7月1日起,投资级债券的信用评级认证机构由两家评级机构(标普与穆迪)扩充至三家(第三家为惠誉)。原法则下的债券评级选用标普与穆迪评级的最低值,而新法则下是三家评级机构评级的中位数。新法则的实施使一些原先被认定为垃圾级(高收益)的债券在三大评级机构各自的评级水平保持不变的情况下被“机械升级”为投资级债券,从而债券估值发生了变化,其平均异常到期收益率在事件后下降了21个基点。文章发现这种估值变化主要来源于资产类别敏感型机构投资者的债券购买行为,因为他们认为新法则下这些债券是有投资价值的。信誉、法规、指数化和流动性等方面的假设均不能解释这些债券的价格走势及其交易方式。     

我国上市公司选择可转换债券的融资偏好研究

对2001—2004年相关上市公司的实证研究结果表明:公司规模、资产负债率、净资产收益率、流通股比重和每股净资产值五个变量,对公司是否选择可转换债券融资有显著性影响,其中净资产收益率和资产负债率的影响是负向的,其他三个变量的影响是正向的,这一结果表明我国上市公司对可转换债券的选择基本上是理性的。     

基于动态Nelson-Siegel模型的国债管理策略分析

本文研究动态Nelson-Siegel模型在中国国债市场上的定价能力、预测能力和套期保值能力.实证发现动态模型对国债利率的样本内定价效率高,适用于中期债券定价;应用于动态预测未来市场利率,预测效果显著优于其他时间序列模型,超出了传统的无套利均衡模型;采用该模型下的久期向量免疫技术,能为国债组合提供更好的动态套期保值效果.本研究在中国国债组合积极和消极管理策略中具有实用价值.     

制度建设、公司特质信息与股价波动的同步性——基于R~2研究的视角

本文运用中国市场数据,研究了可转债作为内部人信号发送工具的潜在机理,部分解释了发行转债的信息对股价短期变动的影响方向,同时解释了成熟市场和中国等新兴市场的外部投资人在处理转债发行信息方面所具有的差异。     

Strategic analysis of the competitive exercise of certain financial options

Warrants and convertible bonds are claims on the firm which change the outstanding number of common stock shares when exercised or converted. Exercise of such claims in competitive circumstances is modeled here as a noncooperative game played by a continuum of players. First, equilibria of the game are shown to exist by applying results of Schmeidler. Second, the game's equilibria are compared to outcomes that come about when one individual controls the exercise of all the claims, but is constrained to exercise them in one block. The results are analogues of earlier results by one of the authors on the competitive pricing of such claims.     

The tax (dis)advantage of a firm issuing options on its own stock

It is common for firms to issue or purchase options on the firm's own stock. Examples include convertible bonds, warrants, call options as employee compensation, and the sale of put options as part of share repurchase programs. This paper shows that option positions with implicit borrowing—such as put sales and call purchases—are tax-disadvantaged relative to the equivalent synthetic option with explicit borrowing. Conversely, option positions with implicit lending—such as warrants—are tax-advantaged. I also show that firms are better off from a tax perspective issuing bifurcated convertible bonds—bonds plus warrants—rather than an otherwise equivalent standard convertible.     

基于协方差调整的久期——凸度免疫策略分析

众所周知,简单久期—凸度免疫策略中隐含两个假设:水平收益率曲线及其平行变动。针对这两个假设与实际情况不符的问题,本文借鉴Carcano和Foresi(1997)的思想,建立了一个基于协方差调整的一般久期—凸度免疫模型,并用两资产对冲组合和三资产对冲组合进行了具体分析。进一步,我们采用上海证券交易所上市的国债交易数据对一般模型的免疫效果进行了检验,结果显示基于协方差调整的久期—凸度免疫策略比简单久期—凸度免疫策略具有相对较强的免疫能力。     

Convertible bonds issued in the bear market period: evidence from Taiwan

We argue that the behaviour of enterprises might be modified or even changed completely after black swan events occur. We explore why high-tech firms preferred to issue convertible bonds in 2001–2003, the bear market period after the tech bubble in Taiwan. We show that firms issuing convertible bonds are those with low directors’ holding ratio and high debt ratio. Results also reveal that corporate governance was worse in the firms that issued convertible bonds, as revealed by the finding that the directors’ holding ratio of these issuing firms declined considerably. This finding also implies that corporate governance issues become more serious after black swan events.     

Predicting housing prices according to expected future interest rate

In this article, I present a theoretical model for predicting future housing prices as a function of the expected future interest rate, housing depreciation and rent rate. Focusing on the notion of arbitrage, where the returns on investing in housing is equal to the return on bonds, I forecast housing prices in the US as a function of the expected future interest rate on corporate bonds graded at categories AAA or AA. I get that a change in the expected future bond yield will lead to a change in future housing prices.     

对中国可转换公司债券发展路径的评析

中国可转换公司债券的发展经历了探索期、试点期和发展期三个阶段，各阶段具有各自的经验教训。当前利用可转债融资在企业特性、行业选择和发行时机方面存在误区，基于经济理性假设，不同类别的企业以及企业发展的不同阶段，应根据自身的发展战略、市场状况以及融资成本来选择是否采用可转债融资。