我国上市公司可转债融资研究

华中科技大学硕士学位论文我国上市公司可转债融资研究姓名：梁红丽申请学位级别：硕士专业：企业管理指导教师：何俊德20061030I2002-200420052006IIAbstractAsequityanddebt-complexproducts,convertiblebondssavecostsfromtheFund-raisingside,alsomeettheneedsofthebenefitsandrisksfromtheinvestingside.Convertiblebondsbringoutacompletelynewdirectionforcapitalmarket.Fromyear2002to2004,thescaleofChina'sCBdevelopedrapidly,whileithitrockbottomin2005yearbecauseofthestockreform.Asthesuccessofthestockreforminyear2006,convertiblebondsre-activated;Meanwhile,theOwnershipStructurebecamemorereasonableafterthestockreform,thefinancingoflistedcompaniesaremorerationalandflexible,notonlyfinancingpreferenceshares,Demandforthefinancingofconvertiblebondsaremuchgreater.ItisagainstthisbackgroundweembarkedamorecomprehensivestudyfortheuseofconvertiblebondswhichareofgreattheoreticalandpracticalsignificanceforthedevelopmentoftheChinesemarketandtheinnovativefinancialproducts.Firstly,thethesisanalyzesCB'spropertyandinbeingusingeconomicstheories,andsummarizesthehistoryandstatusinquoofChineseCBfinancing.Thenwecontrastitwiththestatusinquoofdevelopedcountries.Itgivesamacro-analysisoftheflawsoftheChineseCBfinancing,pavingwayfornextresearch.Secondly,thispaperanalysestheadvantagesofconvertiblebondinoptimizingcapitalstructureandgovernanceStructure.Byusingasimulativecase,thethesisquantificationallyanalyzeshowCBaffectsapubliccompany'scapitalstructure.Inthiscase,welaystressonthebasicprocessofitsdilution,taxshieldandfinancialdistressandthedifferenceswithdebtorequityfinancing.Baseit,wedevelopourresearch.Finally,thethesisanalyzethevalueofconvertiblebondsbyusingblack-Scholespricingmodel.Keywords:Convertiblebond,Capitalstructure,Impact,Pricing?___?“v”111.11843NEWYORKERIE[1]20055000[2]20022000225-200522413.5100102000314-2005313151003.328.5(200024219.38166527.42)3.7%200220030433020515027.1.21.2.1(Pitcher,1955Brigham,1966Hoffmeister,1977):(1)“”[3](2)[4]3BrennanSchwartz(Analyzingconvertiblebonds,1981)“”“()()“”“”[5]“”[6]“”[7]“”:[8]BrennanSchwartz(1981):;4“”[10]Jense1986)Stulz(1990)[11](managerialdiscretion)JeremyStein(1992)convertiblebondsasbackdoorequityfinancing[12][13]“”“”DavidMayers(1998)(sequentialfinancing)[14]Isagawa(2000)—[15]MayersLeeLoughran(1998)AbhyankarDunning(1999)51.2.2(1998)“P-R”(2000)(2001)BlackScholes(2001)——(2002)——(2003)BrennanSchwartz(2004)(2005)BS1.31.3.1:6()()Black-scholes1.3.2:(1)2372[16][17]2.18[18]2.2122006571)40%2)70%3)13910042006727201072752%-4%2%2006136=×1+101)5%25%=//2)3)=/20071277.68/100100/7.68=13.0272006727200772720071272010727118P0DnRAP1)P=P0-D2)P=P0/(1+n)3)P=(P0+AR)/(1+R)4)P=(P0+AR)/(1+n+R)980%302080%1012[18]1)2)[19]1)2)3)103%106%4)130%-150%301113[20]1103232070143203.13.1.11843ErieRailway[21]70[22]200550003.1(54%)(27%)()80%153.1:MerrillLynch[23]3.1.2199420052600[24]3.22005BB(NR)61%A19%163.2:MerrillLynch3.3200510%3.3:MerrillLynch3.1.319945001340LYON3.417BB(NR)40%A34%BBB33%(70%)20%3.4:MerrillLynch3.5200515%10%[25]3.5:MerrillLynch183.1.480-90566()11%3.6.:MerrillLynch3.73%97%BBNEC3.7:MerrillLynch193.8:MerrillLynch3.1.41[26]LYONLYONPEPS()DEDS()2[27]19881988BBB(BBB)20BB(BB)3()(IT)()()[28]4()1201002003106350%3.23.2.12090121199185300030%19936199351994l3199210“”2.7%199311500B199664500B108.625%21996519973199712(1.5)(2)1519997199620005()2255320002000225314200143.1200120041231332004330101320043306520051503.12002-052003-072004-052002-062003-072004-052002-082003-082004-072002-092003-082004-072002-102003-092004-082003-022003-092004-092003-042003-112004-092003-032003-122004-092003-052003-122004-102003-062003-122004-11232003-062004-042004-1142006520067278.34273.2.2[29]1200240[30]2LYONPEPS24“”3550.8%-1.5%0.1%-3%70%-80%130%-140%3()AA()[31][27]200216%6%2540%70%80%“”[32]4()510%3.326123“”427():567“”“”“”“”“”284()4.1(1)1)2)29(2)()20002250.8%513.5.4.131999199819976985864709394531.0011.0021.00815.19%16.57%35.88%5.55%6.65%15.04%3315%30135000×0.8%×15%()=16220003.14%135000×(3.14%-0.8%)=3159(40)4.2“”()()31()(1)BrennanSchwartz(1981)()“”“”.“”BrennanSchwartz(1981)“”2BerlyMeans(1933)“”32JensonMeckling(1976)()“”“”Jenson(1986),Stulz(1990)HartMoore(1995)Jenson(1986)“”()Isagawa(2000)“”——Isagawa(2000)Mayers(1998)4.3334.3.11“”EBIT:-2.=-×1-+-×=×1-×-+-=34:×--=-3+1---+×-+-=-=×2:4.22:8:100:2002-09-09:1.8%:5::200299:2003310200799:8.783%,8.52(8.78/1.03),3593896714(8/8.52),EBIT=+20022006,2002631EBIT31:4.3EBITEPSEPS2002-9-3030,866,369.19466,656,7820.06614560,553,4960.055060.011082002-12-3129,724,735.44466,656,7820.06370560,553,4960.053030.010672003-3-3133,548,328.65467,789,3700.07172560,553,4960.059850.011872003-6-3039,049,192.81467,791,0520.08348560,553,4960.069660.013822003-9-3029,149,779.74467,928,3970.06230560,563,4960.052000.010302003-12-3149,296,995.92467,928,3970.10535560,553,4960.087940.017412004-03-3128,687,938.80467,928,3970.06131560,553,4960.051180.010132004-06-3034,600,761.32467,928,3970.07394560,553,4960.061730.012212004-09-3021,509,537.66467,928,3970.04597560,553,4960.038370.00762004-12-31-69,744,370.28467,928,397-0.14905560,553,496-0.12442-0.024632005-03-3116,354,365.22467,928,3970.03495560,553,4960.029180.005772005-06-3027,7