一种新的基于公司价值的可转债定价方法

可转债近年来逐渐受到市场的关注,其定价方法也成为理论界研究的重点.传统的可转债定价方法的基本思路是通过建立可转债价值的模型来直接求解可转债理论价格.试图建立一种新的基于公司价值的可转债定价模型,希望通过分析可转债、股票和公司价值三者之间的关系,建立一个关于公司价值的方程,然后通过求解公司价值间接地得到可转债价值的方法,并分析了该方法的理论缺陷.最后,对招商转债进行了实证研究,并将其与市场价格进行比较,指出了理论价格被高估的原因.

New pricing method of convertible bond based on company value

Convertible bond is paid close attention to by the market gradually in recent years and its pricing theory becomes the focal point at the theory circle studies.The basic thought of the traditional convertible bond pricing theory is to construct a value model of convertible bond to solve the theoretic price.Aiming at setting up an equation about firm value through the analysis of relation among convertible bonds,stock and company value and then getting a method to calculate convertible bond value indirectly through solving the company value,this paper sets up a new convertible bond pricing model based on company's value.This paper carries out an empirical research on convertible bond issued by China Merchants Bank,compares the theoretic price with market price and points out the reason of overvalue.