景氣循環與可轉換公司債

Abstract

本文在考慮景氣循環下利用或有求償權模型探討可轉換公司債之評價。發行可轉債後，發行公司選擇最適破產策略來極大化股東權益價值，而債權人則是行使最適轉換權策略使其債劵價值最大。因此，可轉公司債價格可視為一個Nash均衡。此外，本研究還考慮景氣循環變動於模型中，其中景氣循環係以Markov switching model作研究模型之基礎，以分別計算不同景氣狀態下最適轉換與破產決策。本研究數值結果顯示在景氣蕭條時期債權人會將轉換權延後執行，而在景氣擴張時期，則債權人將轉換權提前執行。

This paper takes account of the business cycle and uses a contingent-claim model to price convertible bonds. After issuing a convertible bond, the firm chooses the optimal bankruptcy strategy in order to maximize the value of shareholder equity. The bondholder exercises the optimal conversion strategy in order to maximize the value of the bond. Therefore, the value of convertible bonds is regarded as a Nash equilibrium. Besides, this research thinks over the variation of the business cycle in the model, where the business cycle is based on Markov switching model, computing the optimal decision for voluntary conversion and bankruptcy in different business phase, respectively. The numerical simulation results show that the bondholders will delay converting convertible bonds in recession business phase. In extension business phase, the bondholders will early convert convertible bonds.