摘要
可转换债券可以看成债券、转股权、赎回权、回售权和转股价格调低权五个头寸构成的组合。可转债的内在价值可以近似为max(内嵌债券价值,转股价值),可转债的时间价值等于可转债价值减去其内在价值。在可转债的整个有效期内,转股权不应该提前执行,所以理论上可转债的时间价值是大于0的。对我国可转债市场价格的实证检验,发现可转债出现了时间价值经常性为负的情况,这从一个侧面反映了我国可转债市场定价的低效率。
Convertible bonds can be seen as a portfolio of five positions：bond, conversion option, redemption option, call option, and conversion price correction option. The intrinsic value of convertible bonds is approximate to max （ bond value, conversion value）, and the time value of convertible bonds is the difference of convertible bonds＇ value minus their intrinsic value. The conversion option should not be exercised ahead of time throughout the valid period of convertible bonds, therefore, theoretically, the time value is always positive. Our empirical analysis of Chinese convertible bonds shows that negative time value is often observable, which reflects the low efficiency of the convertible bond market.
出处
《厦门大学学报（哲学社会科学版）》
CSSCI
北大核心
2006年第1期110-117,共8页
Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)
基金
教育部人文社会科学研究博士点基金研究项目(03JB790016)
福建省社科"十五"规划(第二期)项目(2003B069)
