2008年金融風暴後,企業須擴大資本支出並在資市本場中籌措企業所需的營運資金,以確保企業整體營運。目前市場上籌資的管道如向銀行融資、企業本身發行公司債或是現金增資等等。而為追求低成本的舉債管道,因此可轉換公司債(Convertible bond)並成為目前大多數企業最常用的舉債管道之一。 本研究根據Calamos於2003出版的”Convertible Arbitrage”書中介紹的評價方法,以二元樹模型為主要架構,試著推導計算出可轉換公司債理論價格,同時將影響可轉換公司債的因素及實際市場價格與理論價格進行實證分析,以求出影響因素與市場價格及理論價格的相關性。實驗結果發現,股價、到期時間、股價的隱含波動率、轉換價值等皆與可轉換公司債價格呈現正相關性(深度價外除外),但公司的信用評等與可轉換公司債價格並無明顯的相關性。 關鍵字:可轉換公司債、Convertible Arbitrage、二元樹模型
Since the global financial crisis in 2008, the enterprise has had to expand her capital expenditure and raise the working capital from the market to ensure the company herself working well without any problem. The channel for raising money could be bank loans, corporate bonds issuance, the cash increases funding , etc. Nevertheless, to seek a debt with low cost, Convertible Bond has become the most popular measure by the enterprise. The evaluation in this study was based on the book “Convertible Arbitrage” published by Calamos in 2003. Under the binominal tree modeling, it tried to calculate the theoretical price of convertible bond, in the meanwhile, make positive analysis for the influencing factors, marketing price and theoretical price and figure out the relation. It turned out that convertible bond price was positive correlated to stock price, maturity date, volatility, convertible value (deep-out-of-the-price excluded). However, it’s unapparent related to a company’s credit rating. Key word:Convertible Bond、Convertible Arbitrage、Binominal Tree Modeling