A Study Of Convertible Bonds Pricing And Determinants Of China

Convertible bond is hybrid derivative security that has characters of both stock option and bond. With the development of domestic security market in recent years, the convertible bond has ranked among the main financial instruments for listing companies and investment varieties at the second-market. Thus, the appropriate pricing of convertible bond bear favorably on investors and issuers, as well as the healthy development of the convertible bond market.By linking with the qualitative and quantitative analysis, this dissertation studied detailedly the feature, structure and value component, then put forward the important determinants of the convertible bond's price. The paper reviewed and analyzed systemically the relative study documents. By comparing the different pricing method, it pointed out the limitations of the former method. In this paper, by using the CCR two-binomial-tree model, the eight main determinants were taken to sensitively analysis, and the paper proved up the influencing range and degree to the convertible bond pricing. On this basis, it starting with a new point of view based on the market which different with the conventional pricing theory, the paper built up successfully the multi-factor experienced pricing model of the first exchange day by using PLS regression method. And it built up and validated the convertible bond exchange price experienced model.This paper put forward a new method of convertible bond pricing, and had a practical significance. The new pricing model built by this paper would offer instructions to the convertible bond pricing and the investors decision-making.