컒맺뿉햮막볛뗷헻쳵뿮짨볆듦퓚뗄컊1쳢폫탞헽붨틩 뾵뎯럦 횣헱쇺 ꎨ쿃쏅듳톧뷰죚쾵 뢣붨쿃쏅 361005ꎩ ퟷ헟볲뷩ꎺ 횣헱쇺, 쓐ꎬ1966쓪3퓂돶짺ꎬퟦ벮뢣붨ꎬ몺ퟥꎬ쿃쏅듳톧뺭볃톧풺뢱풺뎤ꆢ뷌쫚ꆢ늩떼ꎬ뺭볃톧ꎨ뷰죚톧ꎩ늩쪿ꎬ쿃쏅듳톧횤좯퇐뺿훐탄뎣컱뢱훷죎ꎬ뢻늼삳쳘룟벶퇐뺿톧헟ꆣ퓚맺쓚췢릫뾪랢탐뗄톧쫵뾯컯짏랢뇭쇋냙폠욪톧쫵싛컄ꎬ돶냦쇋22늿ꎨ몬뫏ퟷꎩ훸ퟷꆣ 뾵뎯럦ꎬ쓐ꎬ1977쓪6퓂돶짺ꎬퟦ벮뢣붨ꎬ몺ퟥꎬ쿃쏅듳톧뷰죚쾵뷰죚릤돌랽쿲늩쪿퇐뺿짺ꎬ퓚맺쓚췢릫뾪랢탐뗄톧쫵뾯컯짏랢뇭쇋7욪톧쫵싛컄ꆣ 떥캻ꎺ쿃쏅듳톧뷰죚쾵 춨톶뗘횷ꎺ쿃쏅듳톧뷰죚쾵 폊헾뇠싫ꎺ361005 솪쾵뗧뮰ꎺ0592-5920921ꎬ13328311066 E-mailꎺzlzheng@ 쓚죝쳡튪ꎺ뿉햮막볛룱뗷헻쳵뿮짨볆뗄믹놾풭퓲쫇튪쪹뿉햮쫇뫬샻놣뮤뗄ꎬ튪쪵쿖헢튻쒿뇪ꎬ뇘탫붫막볛룱뫍막욱볛룱뷸탐춬뇈샽뗷헻ꆣ컒맺뿉햮랢탐맽돌훐막볛룱뗷헻쳵뿮뛔쿖뷰뫬샻ꆢ퓶랢뫍엤막뗄뒦샭냬램퓚튻냣쟩뿶쿂믹놾럻뫏뫬샻놣뮤뗄풭퓲ꎬ떫퓚쿖뷰뫬샻쫽뛮뷏듳ꎬ퓶랢뫍엤막뇈샽뇈뷏룟뗄쟩뿶쿂ꎬ뇘탫룹뻝룼뿆톧뗄랽램살뗷헻막볛룱ꆣ 맘볼듊ꎺ막볛룱ꎻ뿉뮻햮좯ꎻ뫬샻놣뮤 Abstract: The designing principle of convertible bond’ conversion price adjustment term is payout protected. To achieve this aim, the conversion price and the stock price must be adjusted in proportion. Under normal condition, the conversion price adjustment term is consistent with the payout-protected principle, but this is not the case when the cash dividend is large and the new issue ratio is high. Key words: conversion price; convertible bond; payout-protected 1 룐킻쇖몣쳡릩쇋뫜뫃뗄붨틩ꆣ
뿉햮헽훰붥돉캪컒맺놾쫐뎡짏튻훖훘튪뗄죚랽쪽ꎬ컒맺뿉햮랢탐맽돌훐뗄쳵뿮짨볆튲쯦ퟅ헢튻맽돌늻뛏췪짆ꆣ늻맽ꎬ컒맺뗄뿉햮쒿잰죔좻늻쫇튻룶틑놻뛠쫽훐킡춶헟쫬쾤뗄춶욷훖ꎬ웤쳵뿮짨볆튲폐탭뛠짐듽췪짆뗄뗘랽ꆣ놾컄뻍쒿잰컒맺뿉햮훐막볛쳵뿮뗄짨볆쳡돶훊틉ꎬ놾컄죏캪룃쳵뿮뗄짨볆늢캴췪좫쪵쿖뿉햮뫬샻놣뮤뗄릦쓜ꎬ탨튪뷸탐튻뚨뗄룄뷸ꆣ 튻ꆢ뿉햮막볛룱뗷헻뫬샻놣뮤탔훊뗄샭싛틀뻝 뿉햮랢탐훐뚼믡폐튻룶막볛룱뗷헻쳵뿮ꎬ룃쳵뿮맦뚨죧맻퓚뿉뮻햮좯듦탸웚볤쓚릫쮾폐럖뫬믲엉쾢ꆢ랢탐탂막믲엤막ꆢ쯍막믲퓶막놾뗈쟩뿶ꎬ막볛룱붫ퟶ돶쿠펦뗷헻ꎬ2틔놣횤뿉햮뗄볛횵늻믡쫜펰쿬ꎬ벴뿉햮쫇뫬샻놣뮤뗄ꆣ헢튻쳵뿮뗄샭싛틀뻝죧쿂ꎺ 폃F뇭쪾쏀쪽막욱웚좨뗄볛횵ꎬS뫍E럖뇰뇭쪾막욱볛룱뫍횴탐볛룱ꎬλ뇭쪾막뇈샽ꆣ짨 Qt=λSt,E=λE ()()Q*폃S뇭쪾웚좨떽웚믲횴탐쪱막욱뗄볛룱ꎬ쓇쎴 **max0,Q−E=λmax0,S−E ()()Q틲듋ꎬ튪놣횤늻듦퓚컞럧쿕쳗샻믺믡ꎬ뇘탫폐 FλS,τ,λE=λFS,τ,E ()()짏쫶뚨샭뿉틔폃살뷢쫍뿉햮뗄뫬샻놣뮤탔훊ꆣ볙짨뿉햮뗄쏦횵쫇100ꎬ횻튪퓚쯍막ꆢ퓶ꆢ퓶랢ꆢ엤막틔벰엉쿖뷰뫬샻쪱붫막볛룱뫍막욱볛룱뷸탐춬뇈샽뗄돽좨뒦샭ꎬ뿉햮뻍쫇뫬샻놣뮤뗄ꎬ틲캪 100100100FS,τ,E=λFS,τ,E=FλS,τ,λE ()()()EEλE튲뻍쫇쮵횻튪뿉햮뗄막볛룱뫍막욱볛룱춬뇈샽뗷헻ꎬ쓇쎴쯍막ꆢ퓶ꆢ퓶랢ꆢ엤막틔벰엉쿖뷰뫬샻뛔뿉햮볛룱늻믡폐펰쿬ꆣ 뛾ꆢ컒맺뿉햮막볛룱뗷헻쳵뿮듦퓚뗄컊쳢 틔쿂쫇컒맺뿉햮랢탐훐튻룶뗤탍뗄막볛룱뗷헻쳵뿮ꎺ죧맻퓚뿉뮻햮좯듦탸웚볤쓚릫쮾폐럖뫬믲엉쾢ꆢ랢탐탂막믲엤막ꆢ쯍막믲퓶막놾뗈쟩뿶ꎬ막볛룱붫ퟶ돶쿠펦뗷헻ꎬ웤볆쯣릫쪽캪ꎺ 쯍막믲릫믽뷰퓶막놾ꎺP= P ꇂꎨ1ꎫnꎩ10 퓶랢탂막믲엤막ꎺP=ꎨPꎫAkꎩꇂꎨ1ꎫkꎩ 10솽쿮춬쪱뷸탐ꎺP=ꎨPꎫAkꎩꇂꎨ1ꎫnꎫkꎩ 10엉쾢ꎺP= PꎭDꎻ 10웤훐ꎺP 캪뗷헻뫳막볛ꎬP 캪돵쪼막볛ꎬn 캪쎿막쯍뫬막믲퓶막놾쫽ꎬA캪랢10탐탂막볛믲엤막볛ꎬk 캪쎿막퓶랢탂막믲엤막쫽ꎬD 캪쎿막엉쾢뛮ꆣ뗷헻횵놣쇴킡쫽뗣뫳 2 Merton, Robert C., 1992, Continuous-Time Finance, Basil Blackwell Ltd: 263-64.
3솽캻ꎬퟮ뫳튻캻쯄짡컥죫ꆣ 짨볆짏쫶쳵뿮뗄쒿뗄쫇쪹쯍막ꆢ퓶ꆢ퓶랢ꆢ엤막틔벰엉쿖뷰뫬샻뛔뿉햮볛횵늻믡폐펰쿬ꎬ벴튪죃뿉햮쫇뫬샻놣뮤뗄ꆣ떫뺭맽ퟐ쾸췆쟃뿉틔랢쿖ꎬ짏쫶뛔쿖뷰뫬샻ꆢ퓶랢뫍엤막뗄뒦샭냬램늢늻쓜놣횤뿉햮쫇뫬샻놣뮤뗄ꎬ샭평죧쿂ꎺ 짏쫶쳵뿮뛔쿖뷰뫬샻뗄뗷헻뛔뿉햮막좨볛횵뗄펰쿬캪 100100EFS−D,τ,E−D=FS−D,τ,E−D()()EDEEDESD1D/S100()100()=FS,,EF,,EESE−DE1−D/E()()1−D/S()>FS,τ,E죧맻S>E,>1()1−D/E()1−D/S()=FS,τ,E죧맻S=E,=1()1−D/E()1−D/S()<FS,τ,E죧맻S<E,<1()1−D/E() 평듋뿉볻ꎬ엉쿖뷰뫬샻잰막욱볛룱뗍폚풭살뗄막볛룱쪱,엉쿖뷰뫬샻믡쪹춶헟쫜쯰ꆣ막욱볛룱룟폚풭살뗄막볛쪱ꎬ엉쿖뷰뫬샻믡쪹춶헟믱샻ꆣ늻맽평폚컒맺막욱쫐뎡쒿잰쿖뷰뫬샻웕뇩뫜뗍ꎬ뛠쫽릫쮾늻엉쿖뷰뫬샻ꎬ쯹틔쿖뷰뫬샻뗄헢훖뗷헻랽램펰쿬늻듳ꆣ떫쯦ퟅ컒맺막욱쫐뎡뗄훰늽췪짆ꎬ붫믡폐풽살풽뛠뗄릫쮾엉랢쿖뷰뫬샻ꎬ뫬샻쫽뛮튲믡풽살풽룟ꎬ쓇쪱엉쿖뷰뫬샻뗄막볛룱뗄뗷헻랽램펦캪Eꇁ(S-D)/S = Eꇁ(1-d)ꎬ웤훐d캪쿖뷰뫬샻싊ꆣ럱퓲뿉햮뻍늻쫇뫬샻놣뮤뗄ꆣ 짏쫶쳵뿮뛔퓶랢뫍엤막뗄뒦샭뛔뿉햮막좨볛횵뗄펰쿬캪 S+AkE+Ak100()()100EF,τ,=F+Ak,τ,E+()()E+Ak()11E+Ak()1+kES+Ak1Ak/S100()100()=FS,τ,E=F,τ,EESEAkE1+Ak/E()()1+Ak/S()>FS,τ,E죧맻S<E,>1()1+Ak/E()1+Ak/S()=FS,τ,E죧맻S=E,=1()1+Ak/E()1+Ak/S()<FS,τ,E죧맻S>E,<1()1+Ak/E() 평듋뿉볻ꎬ내쿖탐뗷헻냬램ꎬ퓶랢믲엤막잰막욱볛룱뗍폚풭살뗄막볛룱쪱, 퓶랢믲엤막믡쪹춶헟믱샻ꆣ막욱볛룱룟폚풭살뗄막볛쪱ꎬ퓶랢믲엤막믡쪹춶헟쫜쯰ꆣ춬퇹ꎬ떱퓶랢믲엤막뇈샽뇈뷏뗍쪱ꎬ짏쫶쳵뿮믹놾짏쓜놣횤뿉햮쫇뫬샻놣뮤뗄ꎬ랴횮퓲늻쫇ꎬ듋쪱막볛룱뗄뗷헻랽램펦캪Eꇁ(SꎫAk)/S(1+ Ak)ꆣ 3엊횦뮨탂룖랰막럝폐쿞릫쮾뿉뮻릫쮾햮좯짏쫐릫룦쫩
ퟮ뫳ꎬ떱퓶랢ꆢ엤막폫쯍막믲릫믽뷰퓶막놾춬쪱랢짺쪱ꎬ막볛룱뗄뗷헻랽램펦캪Eꇁ(SꎫAk)/S(1+ Ak)(1+n)ꎬퟜ횮헆컕튻룶믹놾풭퓲ꎺ막볛뫍막볛룱뇘탫춬뇈샽뗷헻닅쓜놣횤뿉햮쫇뫬샻놣뮤뗄ꆣ 죽ꆢ뷡싛 놾컄룸돶쇋뿉햮막볛룱뗷헻짨볆뗄샭싛틀뻝ꎬ컒쏇횤쏷쇋튪놣횤뿉햮쫇뫬샻놣뮤뗄ꎬ막욱볛룱뫍막볛룱뇘탫내쿠춬뇈샽뗷헻ꆣ컒맺쿖탐뿉햮뗄막볛룱뗷헻쳵뿮뛔퓶랢ꆢ엤막뫍쿖뷰뫬샻뗄뗷헻뚼늻싺ퟣ짏쫶풭퓲ꆣ컒쏇횤쏷쇋퓚쿖뷰뫬샻쫽뛮뫜킡믲퓶랢뫍엤막뇈샽뫜킡뗄쟩뿶쿂ꎬ짏쫶뗷헻냬램믹놾럻뫏뫬샻놣뮤뗄풭퓲ꎬ랴횮퓲늻싺ퟣꆣ 틲듋ꎬ쯦ퟅ컒맺막욱쫐뎡뗄췪짆ꎬ엉랢쿖뷰뫬샻뗄릫쮾풽살풽뛠ꎬ엉랢쫽뛮튲믡풽살풽룟ꎬ퓚뷱뫳뿉햮막볛룱뗷헻뗄짨볆훐펦힢틢틔짏컊쳢ꆣ쇭췢떱릫쮾퓶랢뫍엤막뇈샽뇈뷏룟쪱막볛룱뗄뗷헻튲펦내헕놾컄쳡돶뗄랽램살뗷헻ꆣ ퟮ뫳ꎬ놾컄뗄퇐뺿뛔뿉햮뗄쪵횤럖컶훐막욱볛룱쫇럱탨튪뢴좨뗄컊쳢폐닎뾼틢틥ꎬ튻냣쟩뿶쿂ꎬ죧맻뿉햮쫇뫬샻놣뮤뗄ꎬ막욱볛룱뻍늻탨뢴좨ꎬ랴횮퓲튪ꆣ 닎뾼컄쿗ꎺ [1] Merton, Robert C., 1992, Continuous-Time Finance, Basil Blackwell Ltd: 263-64. [2] 엊횦뮨탂룖랰막럝폐쿞릫쮾뿉뮻릫쮾햮좯짏쫐릫룦쫩
