%0 Journal Article
%T 向下修正条款对中国可转债定价的影响<br>Influence of the downward revision clause on Chinese convertible bond pricing
%A 王茵田
%A 文志瑛
%J 清华大学学报（自然科学版）
%D 2018
%R 10.16511/j.cnki.qhdxxb.2018.22.014
%X 中国可转债市场价格普遍高于模型价格，市场存在"可转债溢价"。该文认为向下修正条款可以提高模型定价准确度并减缓溢价现象。该研究采用Tsiveriotis和Fernandes的可转债定价模型，严格引入了向下修正条款以及赎回条款、回售条款、转股条款，分析了向下修正条款对可转债定价的影响。结果表明：引入向下修正条款后，模型定价误差显著下降，减缓了"可转债溢价"现象。研究分析定价影响因素发现：具有较高的转股比率、价值状态和牛市股票波动率的可转债定价准确度较高，到期剩余时间和牛市虚拟变量可以通过影响可转债市场溢价，影响定价误差。<br>Abstract：Chinese convertible bond market prices are higher than model prices, indicating "market premiums" in the market. The paper shows that the downward revision clause may increase the accuracy of model prices and reduce the "market premium". The Tsiveriotis and Fernandes pricing model is used with trigger conditions for the downward revision, call, put and conversion clauses. The downward revision clause reduces the "market premium". High conversion ratio, moneyness and stock volatility in a bull market increase the option value of convertible bonds and reduce the pricing error. Years-to-maturity and market timing are related with the market premiums and affect the pricing error.
%K 可转债定价
%K 向下修正条款
%K 影响因素
%K &lt
%K br&gt
%K convertible bond pricing
%K downward revision clause
%K influential factor
%U http://jst.tsinghuajournals.com/CN/Y2018/V58/I1/108