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可转换债券现有研究模型多建立在投资者理性范式之下,较少考虑投资者异质信念的影响,易造成可转换债券定价偏差,市场上所存在的众多异象如推迟(或提前)赎回至今也未能获得良好的解释.将行为金融理论引入可转换债券定价模型之中,采用投资者的后悔厌恶来表征投资者的异质信念,构建了投资者异质信念下可转换债券定价模型,重点探讨了异质信念对可转换债券赎回策略的影响.理论模型及数值实验结果均表明可转换债券发行者的后悔厌恶情绪是可转换债券推迟(或提前)赎回的一个重要原因.
Most existing research models of convertible bonds are established under the rational paradigm of investors, with less consideration of the influence of investors’ heterogeneous beliefs, easily lead to the pricing deviation of convertible bonds, and many images in the market such as postponing (or early) Redemption so far failed to get a good explanation.Behavior finance theory into the convertible bond pricing model, the use of investor regret aversion to characterize the heterogeneous beliefs of investors to build a diversified bond investors under the belief Pricing model and focuses on the impact of heterogeneous beliefs on the redemption strategy of convertible bonds.The theoretical model and numerical experiments show that regret aversion of convertible bond issuers is an important role in the deferral (or early) redemption of convertible bonds the reason.