| 摘要: |
| 可转债是一种兼具债权与股权双重性质的复杂金融衍生品，发行人与投资者均可以利用各项条款来满足自身投融资的需求。本文以光大转债（113011）为例，将GARCH模型应用于未设有回售条款的可转债估值分析，并引入回售条款与稀释因子，加上已有的赎回条款对模型估值结果进行修正。研究结果显示：修正前，基于GARCH模型分析的理论价与实际价相比普遍存在低估；修正后，虽有误差但较修正前明显减小。最后，根据研究结论得出若干启示供我国可转债定价与可转债市场发展参考。 |
| 关键词: 可转债定价；GARCH模型；稀释因子 |
| DOI： |
| 分类号:F832.2 |
| 基金项目: |
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| An Empirical Study on the Pricing of Convertible Bonds under GARCH Model |
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YAO Ai-ping，DING Xiao-wen1,2
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1.Institute of Intelligent Finance and Digital Economy，Southwest University;2.College of Economics and Management，Southwest University
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| Abstract: |
| Convertible bond is a kind of complex financial derivative with the dual nature of debt and equity.Both issuers and investors can use various terms to meet their own investment and financing needs.The overall situation of Chinas capital market is quite different from that of foreign countries，which makes the applicability of the current foreign related theoretical results tested.This paper takes Guangda convertible bond (113011) without resale clause as an example to make an empirical study on the theoretical price of convertible bond，considering dilution factor and redemption clause，and introduces resale clause in the process of empirical study to explore whether the theoretical price and actual price of convertible bond can be improved by the modification of the model after such artificial introduction for approaching.After getting the theoretical values of the two models before and after modification，the theoretical results of each convertible bond in one year are calculated and compared with the actual market price dynamically. |
| Key words: Pricing of Convertible Bonds；GARCH Model；Dilution Factor |
