The Empirical Research Of Convertible Bonds Pricing Of China

Convertible bond is a kind of financial derivative security with the characters of both bond and stock options.With the development of domestic security market,the convertible bond has become an important financial instrument for listing companies and investment variety.Then,the research of the convertible bond pricing arises.However,the traditional pricing models have many disadvantages,such as harsh assumptions and incomplete factors.Therefore,this paper tries to explore a new way to discuss the pricing of convertible bonds.In the first chapter,we firstly introduced the research background,research significance and research contents.Then in the second chapter,we further sorted out the development and the study of convertible bonds pricing at home and abroad,and introduced three pricing methods—the two-binomial-tree model,the B-S pricing model and the Monte Carlo model,pointing out the limitations of these former methods.Then in the third chapter,by linking with the qualitative and quantitative analysis,the paper analyzed the sensitivity of the seven determinants through the two-binomial-tree model,and proved up the influencing range and degree to the convertible bond pricing.And in the fourth chapter,the paper made empirical analysis through the historical data,with the econometrics method,successfully established the pricing model of the first exchange day by using PLS regression method,and verified the effect of this model.Furthermore,through the analysis of the panel data,it built up the convertible bond exchange pricing model basing on the fixed-effects model,and verified the effectiveness of the model as well.