可转换债券套利策略研究:中国市场的例子

Convertible Bond Arbitrage Strategy:Case of Chinese Market

经典可转换债券套利策略的核心思想是买入可转换债券(可转债)并同时卖出相应份额的标的正股,旨在挖掘可转债市场被低估所带来的投资机会。本文利用改进的Tsiveriotis和Fernandes^([1])可转债理论定价模型,发现在2010年至2014年期间中国可转债在发行日存在显著的低估现象,平均定价误差率约为-6.09%。随后,再利用2010年至2014年期间在沪深市场可交易的共41支可转债和标的正股等日度历史数据,构造了两类可转债套利策略,此两类套利策略分别获得了0.299%和0.263%月度平均收益率。最后,本文还发现可转债套利策略与沪深300股票指数、可转债公募基金和可转债指数的收益率均无显著的相关性,说明可转债套利策略是一种很好的另类投资策略。

The core idea behind classic convertible bond arbitrage strategy is to take a long position in bonds and a short position in the underlying stocks in an effort to exploit the underpricing of convertible bonds.In this paper,we use the refined theoretical convertible bond pricing model developed by Tsiveriotis and Fernandes^（[1]）to look into Chinese convertible bond market from 2010 through 2014,and conclude that on average,the issued convertible bond suffered about -6.09% pricing error.Then,we construct two types of convertible bond arbitrage strategies using the daily history data of 41 tradable convertible bonds and underlying stock in Hu-Shen convertible bond market between 2010 and 2014,which generate 0.299% and 0.263% average monthly return respectively.Finally,we find that convertible arbitrage strategy is not significantly correlated to Hu-Shen 300 index,convertible bond mutual fund and convertible bond market index,and this implies that convertible bond arbitrage strategy is an excellent alternative investment method.