可转债投资者的转股行为是理性的吗?——中国市场的实证研究

Do the Convertible Bonds Holders Exercise Rationally?Evidence from China's Securities Markets

可转债的实际转股行为是否与金融学理论的预期相一致是金融学所关注的问题之一。本文应用上海证券交易所的数据对可转债投资者的转股行为进行研究,研究发现中国市场存在投资者的非理性转股的现象,有32%的实际转股违背投资者的理性选择,而大部分的非理性转股可能是个人投资者所为。进一步的研究显示,中国市场可转债的转股没有表现出星期效应;可转债的非理性转股的显著影响因素是标的股票的历史收益与股价水平,这与投资者可能具有的前景理论偏好相一致。

Whether the real convertible bonds exercise behavior is consistent with the classic financial theory is one of the important issues of financial research. Using the data from Shanghai Stock Exchange, we find there are irrational exercises in Chinese securities markets. 32% of daily exercises data disobey the rational hypothe- sis, and most of the irrational exercises may be done by individual investors. We do not find the weekly pattern of option exercises. Moreover, irrational exercises are statistical significantly triggered by the underlying stock price attaining its highest level over the past 52 weeks and by high historical returns of the underlying stock, which consistent with the prediction of the prospect theory.