权益分类	功能权益	普通用户	{{item.name}}会员
{{category.name}}	{{benefitItem.name}}

Empirical Studies on Exercises of the Japanese Convertible Bonds.

日本可转换债券行权的实证研究。

基本信息

批准号：
08630092
负责人：
TANIGAWA Yasuhiko
金额：
$ 1.28万
依托单位：
Osaka University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
1996
资助国家：
日本
起止时间：
1996 至 1997
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08630092/
关键词：
Convertible Bonds Voluntary Conversion Financial Derivatives Tobit Analysis Trading Volume Riskless Arbitrage Initial and Maintenance Margins (無リスク)裁定機会ロジット分析

项目摘要

Our empirical studies on convertible bonds (CB) that the Japanese firms have issued inside and outside Japan from 1985 to 1995 have found the followings :a) CB's looked as an American Option, have been voluntary exercised even when it didn't seem to be optimal for investors,b) Identities (their reason) for exercises are (i) large institutional investors and/or securities houses (to avoid price changes that their large transactions would cause), and (ii) securities houses (to appropriately control CB inventories providing necessary liquidity to the market as market markters, and as current or future syndicate leaders in issuing markets). Their different motives for conversions than individual investors may explain the puzzle a).c) The first conversion occurs while trading volume is large and prices of CB are mostly higher than its parity value. Subsequent conversions follow when trading volumes are low and CB prices are near its parity value. This suggests that identities and their reasons for conversion between these two cases are different.d) In primary markets, the conditions of issues such as coupon rates and conversion prices have been rather inflexible, and quota occurred to equate supply with demand. Due to this inflexibility of a adjusting effective price of an issue, and to a rule requiring an issue must be distributed among large numbers of investors, we observe high trading volumes during one to two years after the issue, but quickly decreases thereafter.e) Not only in the late 1980's but also in recent year, CB prices seem to be too low compared with its stock prices, as if there had been riskless arbitrage opportunities. However, it depends on costs for short selling of stocks, especially possible payments of maintenance margin, whether there were actually riskless arbitrage opportunities or not.

我们对1985 - 1995年日本企业在国内外发行的可转换债券（CB）进行了实证研究，发现：a）可转换债券看起来像一种美式期权，即使对投资者来说似乎不是最佳选择，也是自愿行使的，B）身份（i）大型机构投资者及/或证券公司（以避免其大宗交易可能导致的价格变动），以及（ii）证券公司（适当控制可换股债券库存，作为市场营销者以及发行市场当前或未来的银团领导者，为市场提供必要的流动性）。他们与个人投资者不同的转换动机可以解释这个问题a）。c）第一次转换发生在交易量很大并且可转换债券的价格大多高于其平价的时候。随后的转换是在交易量较低且可转换债券价格接近其平价时进行的。这表明这两种情况的身份和转换原因不同。d）在一级市场，发行条件如票面利率和转换价格相当不灵活，配额的出现使供应与需求相等。由于发行有效价格的这种可调整性，以及发行必须在大量投资者中分配的规则，我们观察到发行后一到两年内的高交易量，但此后迅速下降。e）不仅在20世纪80年代后期，而且在最近几年，可转换债券的价格似乎与其股票价格相比过低，就好像存在无风险套利机会一样。然而，这取决于卖空股票的成本，特别是可能支付的维持保证金，是否真的有无风险套利机会。