我国资本市场可转债定价及后市走势研究

从1992年发行第一只可转换公司债券(以下简称“可转债”)至今,中国可转债市场已经历了二十多年的发展。自诞生以来,中国监管机构对可转债的发行要求不断明确,配套监管措施不断完善,可转债市场迅速发展,发行规模不断提高。然而,在2017年以前,虽然可转债的发行规模增长迅速,但其融资总额占资本市场股权产品总融资规模的比重仍处于较低水平。究其原因,一方面是因为可转债的发行主体仅限于上市公司,股权融资存在较大的不确定性;同时可转债的定价条款过于复杂,市场接受程度较低。随着2017年证监会对可转债产品的审核标准进一步明确,可转债发行规模高速增长,目前已成为资本市场上不可忽视的品种。为确定可转债定价方式,本文以“广汽转债”历年来的市场价格为数据基础,以B-S模型为分析模型,通过实证分析寻求影响可转债定价的主要因素,对未来可转债定价的研究具有一定的借鉴意义。

Research on the Pricing of Convertible Bonds in China's Capital Market and the Trend of Market Outlook

Since the first convertible bond was issued in 1992,China's convertible bond market has experienced more than 20 years of development.Since its birth,China's regulatory authorities have constantly clarified the requirements for the issuance of convertible bonds,and the supporting regulatory measures have been continuously improved.With the rapid development of the convertible bond market,the issuance scale has been continuously improved.However,before 2017,although the issuing scale of convertible bonds increased rapidly,the proportion of its total financing amount in the total financing scale of equity products in the capital market was still at a low level.On the one hand,the main issuers of convertible bonds are limited to listed companies,and there is great uncertainty in equity financing;on the other hand,the pricing terms of convertible bonds are too complex,and the market acceptance is low.With the further clarification of the CSRC's audit standards for convertible bonds in 2017,the issuing scale of convertible bonds has grown rapidly,and has become a variety that cannot be ignored in the capital market.In order to determine the pricing method of convertible bonds,this paper takes the market price of"GAC convertible bonds"over the years as the data basis,takes B-S model as the analysis model,and finds out the main factors influencing the pricing of convertible bonds through empirical analysis,which has a certain reference significance for the future research methods of convertible bond pricing.