肖毅的论文07-06-26【荐】.docVIP

（2007级） 本科生学年论文 可转换公司债券若干问题探析 学 院 ： 财经学院 专 业： 财务管理 学 生 姓 名： 肖毅 班 级： 07—1 学号 0340240126 指导教师姓名： 张德容 职称 教授 职称 最终评定成绩 2010 年 6月摘 要 可转换公司债券是一种兼有债务性与期权性的中长期混合金融工具，拥有非常丰富的经济特性，对于健全债券市场，拓宽融资渠道发挥着显著的功能。公司使用可转换债券筹集外部资金既是作为普通债券的替代，增加转换特性来降低利息率从而保持现金流量，也是以转换条款建立“延迟股权”，通过转换，以高于现行股票的价格出售。公司发行可转换债券是为了减少由于股东和管理者以及股东和债权人之间冲突所引起的代理成本，为了降低由发行普通债券带来的高额预期财务危机成本和普通股发行中经常出现的严重负面公告效应，以及在投资者和管理者对公司面临的风险认识不同时，使其价值不易受公司风险变化的影响。由于选择权的存在，使得可转债成为一种兼有债券和期权特性的复合衍生品种，其价值形态相当复杂。可转债的价值应该由普通债券价值和期权价值两部分组成,而期权价值的确定是可转债定价中最困难,也是其最重要的内容。文章借鉴了布莱克—舒尔斯模型对期权进行定价。 关键词：可转换债券；期权；布莱克—舒尔斯模型 ABSTRACT Convertible bond is a long-time mixed financial tool which has the feature of both debt right and time right. It has a very rich economical character. It shows a remarkable function for sounding the loan market and enlarging the investment loan ways. There are two reasons why firms use convertible bond to raise external capital. First, convertible bond serves as alternative to straight bond, employing a conversion feature to buy down the coupon rate and thus preserve cash flow. Second, the conversion provision sets up ‘delayed equity’ to be ‘sold’, via conversion, at a price higher than the current stock price. We find that firms issue convertible bond in order to mitigate agency costs caused by conflict between the shareholders and management as well as the shareholders and bondholders, in older to attenuate the high expected costs of financial distress associated with a debt issue and reduce the large negative announcement effects that typically occur with common equity issues. In order not to make its value affected much by changes in company risk when investors and management differ as to the risk of a company. Convertible bond is a new fin