| The Convertible Bond (hereafter referred to as CB) is a kind of financial derivative, which has double attributes -debt and equity. Due to its peculiar attributes, the development of CB in China accords with the country's plan to develop bonds market energetically after its accession to the WTO. Besides, CB provides a rational method of balancing the supply and demand of the fund. However, since Shenzhen Baoan Group issued the first real CB of our country in 1992, only 17 enterprises have issued 18 CBs. Comparing to the total number of the listed corporations-1224, the number of CB is so small that CB has little impact on the capital market in China. On such an issuing scale, CB can only be regarded as a channel of supplementing, and does not play a big more role to the improvement of the capital market structure.WTO requires that each member open its market including the capital market to one another. BNP PARIBAS PEREGRINE made a further investigation on the question of Chinese accession to the WTO. In its "Study of Chinese Capital Market" (2001), it referred to: "Objectively, the current situation of Chinese capital market does not keep up with the international capital circulation. As far as the investment in China is concerned, the continuous large portfolios are suitable. But the market has not been opened." After China entered WTO, each field faces the challenges of linking with the international standards. The Chinese capital market should accelerate this process in the main three aspects-supervisory system, legal system as well as listed company management system. As for the equilibrium of efficiency and fair, the capital market should primarily guarantee fairness now. A good market environment is not only an essential condition of entering WTO, but also a foundation on the basis of which the capital market could develop at ahigh speed in future. There are such many places that require improving at present as very high market costs, the prevalence of speculating, the unbalance of market, great difference between supply &demand and weak capital product, etc.This thesis proceeds with respective interest mechanisms of three main bodies in the market (Government, Fund-raiser and Investor). From the independent perspective, we give great consideration to the pattern of three interests and propose that we should follow the train of thought on the question of pricing CB: Currently, we should build an excellent system, which can produce a fair environment, and then seek a pricing mode that could be accepted by the three parts in capital market. With the beginning of qualitative analysis, we suggest that because the pricing model should inflect the reality of China, indiscriminately imitating the foreign model in pricing of CB in our country is not fit. Thus, we propose that we should adopt three-step model in the process of pricing CB's. We introduce a system variable to the model to adjust the traditional pricing model, and hope that the new model includes more market information. Then, we choose 4 CBs to finish empirical analysis. At last, from the quantitative angle, we get a reasonable result.This article consists of four major parts: Outline, Pricing method research, Empirical analysis and Several conclusions & proposals. The innovations mainly lie in: ① First time we demarcate the development course of CB market in our country and divide the span of ten years into three stages - Exploring, Standardizing and Perfecting. ② In economic development, there is a proverb - Efficiency comes first, and then the balance. We think that's not always true and have suggested that the right way to develop CB market should put the Fair problem on primary position in present and then Efficiency. ③ Now, the economy of our country is on the transitional period during which the system exerts very strong influence on the capital market. We introduce a system factor tothe traditional CB two-step pricing model in order to adjust the theoretical pricing to accord it with reality of the Chinese capita... |
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