Research On Pricing Efficiency And Its Influencing Factors Of China's Listed Convertible Bonds

Convertible corporate bonds as one of the hybrid financial derivatives,since the capital market in China in 1991,after more than 20 years of development has become an important part of the capital market?Because of its debt and equity characteristics,the capital market financing function plays an important complementary role,so favored by the issuer and investors.Therefore,the correct assessment of the value of convertible bonds is not only related to the success of corporate finance or not,but also related to the investment interests of investors and the normal development of capital markets.In this paper,the partial differential equation is used to study the theoretical price of convertible bonds;and then from the convertible bond market in China to select five convertible bonds as a sample for the actual pricing;finally,the theoretical price and the actual price of comparative analysis,to analyze the efficiency of pricing and pricing on the factors that have an impact.This paper is divided into six chapters,can also be summarized as the three most.First of all,on the basis of the development of convertible bonds in China on the basis of the composition of the convertible bonds introduced.The characteristics,value composition and influencing factors of convertible bonds are expounded.It is considered that the pricing of convertible bonds is divided into part of the value of pure bonds and part of the value of options.Secondly,we introduce the traditional pricing formula of convertible bonds: B-S model,binary tree model,and introduce their strengths and weaknesses,respectively,then we introduce the option pricing model selected in this paper: B-S pricing model with dilution effect,that is the dilution factor variables are introduced in the pricing of the additional option terms of the convertible bonds,the options are respectively priced,and then the partial value of the option is summed.Finally,we select five convertible bonds to carry out empirical research.Using the software to find the sample convertible bonds listed on the day and after listing for three consecutive months of the theoretical price,and compare it as a sample with the actual price.The introduction of the convertible bond turnover,the underlying stock market price and the option of the remaining time and other factors on the degree of deviation from the regression analysis,to study the impact of various factors on the degree of deviation.Empirical study found that although the theoretical price and the actual price trend is basically similar,but there is still a big deviation between the two,the deviation of the option value is the main factor leading to the deviation of the value of the convertible bond.This paper argues that the reasons for the divergence of the price of convertible bonds are: On the one hand,the issue of convertible bonds is harsh,the number of small enough to play a convertible bond market role.On the other hand,the objective market system is imperfect,lack of short machine and market maker mechanism,at the same time should also strengthen the education of investors,to avoid irrational behavior.At the end of the article,some suggestions are put forward for the perfect development of convertible bond market in China.