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可转换债券下修概率预测模型及应用

Convertible Bond Downward Revision Probability Prediction Model and Its Application

作者:任和
  • 学号
    2021******
  • 学位
    硕士
  • 电子邮箱
    ren******com
  • 答辩日期
    2024.05.15
  • 导师
    张晓泉
  • 学科名
    管理科学与工程
  • 页码
    65
  • 保密级别
    公开
  • 培养单位
    051 经管学院
  • 中文关键词
    中国可转债;下修条款;预测模型;估值分析;蒙特卡洛模拟
  • 英文关键词
    Chinese convertible bonds; Downward revision; Predictive model; Value model; Monte-Carlo Simulation

摘要

可转换债券作为一种以债券为基础、融合了多种奇异期权的金融衍生品,因其自身优良性质以及国内金融监管政策对于直接增发股票的限制,成为中国市场重要的定向增发融资替代品,近年来受到投资者的广泛关注。然而,关于中国可转债特有的向下修正条款,针对其行权模式的研究尚不充分,其对于可转债价值的影响也暂无清晰的结论。因此,本研究围绕中国市场所特有的下修条款,探究了发行方行使下修权的策略与模式,通过融合公司基本面数据、可转债及其对应正股的技术性指标、以及发行方过往行为记录三方面的因素,构建了一个逻辑回归模型,用以预测发行公司行使下修权的概率。进一步地,本研究将此模型纳入到一个基于蒙特卡洛模拟的估值框架内,并进而应用于一个以均值回归为基础的投资策略之中,用以研究下修条款对于可转债价值的影响,并评估模型的实际应用价值。本研究发现,发行方面临的财务压力、正股市场的不确定性、以及可转债当前的投资价值等因素,均对于公司的下修行为具有显著的解释效力,考虑了这些因素的下修概率预测,将有效提高可转债理论估值的精确度。这些结果表明,下修条款显著影响了可转债的市场定价和投资者行为。这不仅为可转债的价值评估提供了新的视角,也为投资者制定更为精确的投资决策提供了实用的工具。

As a financial derivative based on bonds and incorporating various exotic options, convertible bonds have become an important alternative for targeted additional financing in the Chinese market due to their inherent advantageous properties and domestic financial regulatory policies limiting direct stock issuance. In recent years, they have attracted widespread attention from investors. However, research on the unique downward revision clause of Chinese convertible bonds and its exercise pattern is still insufficient, and there is no clear conclusion on its impact on the value of convertible bonds.This study examines the unique downward revision clauses in the Chinese market, exploring the issuers‘ strategies and patterns for exercising these rights. By integrating corporate fundamental data, technical indicators of convertible bonds and their corresponding stocks, and issuers‘ past behaviors, a logistic regression model was developed to predict the probability of exercising downward revision rights. This model was then incorporated into a valuation framework based on Monte Carlo simulations and applied to an investment strategy based on mean reversion, to assess the impact of downward revision clauses on bond values and evaluate the model‘s practical utility.This research finds that factors such as the financial pressure faced by issuers, the uncertainty of the stock market, and the current investment value of the convertible bonds have significant explanatory power over the company‘s downward revision behavior. A downward revision probability prediction that considers these factors will effectively improve the accuracy of the theoretical valuation of convertible bonds. These results indicate that the downward revision clauses significantly affect the market pricing and investor behavior of convertible bonds. This not only provides a new perspective for the valuation of convertible bonds but also offers practical tools for investors to make more accurate investment decisions.