二级债券市场信息获取与可转债融资

doi:10.16381/j.cnki.issn1003-207x.2023.0387

摘要/Abstract

摘要：

二级债券市场流动性摩擦是影响债券发行、定价以及企业融资决策的重要因素。本文基于二级债券市场信息不对称，构建了可转债债权人需承担信息获取成本的均衡模型，并给出了企业证券定价、最优破产时机、最优转换时机以及企业融资策略的解析解。研究结果表明，债券合约提高可转债的转换率会导致二级市场中低质量债券的交易量增加，但会降低二级市场可转债整体的流动性。而随着二级市场信息获取成本的增加，企业的最优杠杆率呈现出“U”型的非单调变化。本研究丰富了企业可转债融资理论，为企业融资决策提供有益参考。

关键词: 可转债, 信息不对称, 信息获取成本, 资本结构

Abstract:

In 2017， the China Securities Regulatory Commission provided a richer path for companies to flexibly use different bond financing tools to seek innovative development. It revised its refinancing policy to encourage listed companies to use convertible bonds， a composite bond financing tool， to improve their capital structure. In recent years， the convertible bond market has been constantly developing and the market size continues to grow， which improve and enrich the research in the field of convertible bond financing to create the prerequisites. Although the convertible bond market is in a state of continuous development and is an enrichment of corporate financing tools with policy support， there are also unfavorable factors such as insufficient liquidity and imperfect price discovery function in the secondary bond market. At present， the research on convertible bonds mostly focuses on how bond financing affects firms' business decisions under the friction of the secondary bond market. However， there is little literature to explore quantitative research on how the contractual terms of convertible bonds affect the liquidity and trading volume of the secondary bond market. Against the background， the information asymmetry of investors is modelled with respect to the recovery rate of firms in bankruptcy， taking into account factors such as insufficient liquidity in the secondary market. There are both high-quality companies and low-quality companies on the market， and the recovery rates of these companies in bankruptcy are different. At the same time， when selling bonds in the secondary market， convertible bondholders will need to engage in costly information-gathering and then construct the information-gathering strategy of convertible bondholders. Then， an equilibrium model is constructed and analytical expressions of the equilibrium pricing of corporate securities， the optimal bankruptcy time， the optimal conversion time， and the corporate financing strategy under the information asymmetry of the secondary bond market and the information acquisition of convertible bond holders are obtained. It is found that the higher conversion rate of convertibles increases the trading volume of lower quality bonds in the secondary market， while reducing liquidity. As the cost of information acquisition increases， the optimal leverage of the company will show a U-shape. The research of this paper enriches the theory for the financing of convertible bonds and provides a useful reference for the corporate governance.

Key words: convertible bonds, information asymmetry, cost of information access, capital structure

中图分类号:

F830

甘柳, 蔡颖俐, 徐明玉, 谭英贤. 二级债券市场信息获取与可转债融资[J]. 中国管理科学, 2025, 33(9): 22-32.

Liu Gan, Yingli Cai, Mingyu Xu, Yingxian Tan. Information Acquisition in Secondary Market and Convertible Bond Financing[J]. Chinese Journal of Management Science, 2025, 33(9): 22-32.

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