Influence of the downward revision clause on Chinese convertible bond pricing

被引：0
|
作者：
Wang Y. [1 ]
Moon J. [1 ]
机构：
[1] School of Economics and Management, Tsinghua University, Beijing
来源：
| 2018年 / Tsinghua University卷 / 58期
关键词：
Convertible bond pricing; Downward revision clause; Influential factor;
D O I：
10.16511/j.cnki.qhdxxb.2018.22.014
中图分类号：
学科分类号：
摘要：
Chinese convertible bond market prices are higher than model prices, indicating “market premiums” in the market. The paper shows that the downward revision clause may increase the accuracy of model prices and reduce the “market premium”. The Tsiveriotis and Fernandes pricing model is used with trigger conditions for the downward revision, call, put and conversion clauses. The downward revision clause reduces the “market premium”. High conversion ratio, moneyness and stock volatility in a bull market increase the option value of convertible bonds and reduce the pricing error. Years-to-maturity and market timing are related with the market premiums and affect the pricing error. © 2018, Tsinghua University Press. All right reserved.
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页码：108 / 112
页数：4
相关论文
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