可转换债券价值低估的影响因素研究

Research on the Determinants of Convertible Bonds Underpricing

本文以中国市场上的35只可转换债券为样本,选取每只可转换债券自发行日至2006年2月的相关数据,采用引入信用风险的二叉树模型对可转换债券的理论价值进行计算,通过市场价格与理论价值的对比,发现中国市场上的可转换债券价值从整体上被低估。进一步研究发现可转换债券是否处于转换期、距离到期日的时间、价值状态、转股溢价以及不同时期等因素对价值低估程度均有显著影响。

This paper takes 35 convertible bonds from Chinese market as a sample and uses the data from the offering day to Feb. 2006 for every convertible bond. The theoretical prices of convertible bonds are calculated with a binomial tree model with credit risk in this paper. By comparing the market prices and the theoretical prices, we find that the prices of convertible bonds in China are underpriced on the whole. Then we discuss the determinants of underpricing and find some distinct factors, which are whether t...