The Pricing Study And Empirical Analyse Of The Convertible Bonds Of China

The overpricing or underpricing of Convertible Bonds will affect the financing cost to issuers and the profit of the investors. The Convertible Bonds maket of China is developing quickly nowadays. It is necessary to choose a suitable model to Convertible Bonds pricing of Chinese market.This thesis firstly reviews the development of convertible bonds in the world, by analyzing the research on convertible bonds. After carefully analyzing the property of convertible bonds, structure of value and detailed provisions, this thesis research on the intrinsic bonds, options and their combined value. To the value of bonds, market interest rate containing risk is used for discounting pricing; while to the value of options, classical Black-Scholes model are employed for pricing. Moreover, this thesis mainly revises the model by quantifying all the provisions, such as put provision, call provision and so on.In order to check the veracity of convertible bonds'value, this thesis selects 12 convertible bonds from Shanghai and Shenzhen security markets, empirically studies China's convertible markets. This thesis concludes that the theoretical price calculated by the model presented by this thesis is very close to the real price in the market. Although some of convertible bonds in some special industries are underestimated by the market, as a whole, the thesis's model can explain the value structure of the convertible bonds, and be used to fairly precise pricing of convertible bonds.In order to lead practice, this thesis use return model to caculate the relativity of theories price and market price.In the end provide some advice to the convertible bonds market of china.