可转债首日折价及影响因素分析

Analysis on the First Day Discount and Influencing Factors of Convertible Bonds

选取发行上市的73只可转债样本,使用最小二乘蒙特卡罗方法进行定价,并将理论价格和实际价格比对发现可转债首日折价现象的存在,并且在不同市场情况下,折价幅度有所差异。本文尝试从公司内在价值和市场情绪两个方面解释可转债首日折价成因。通过选出十个财务指标,构建三个综合情绪指标,并对可转债首日折价率与财务指标和情绪指标进行多元回归分析。回归得出公司财务指标和情绪指标对可转债折价率解释效力良好,其中情绪指标解释力度更强。此外发现了在不同的市场情况下,同一指标对可转债折价幅度的影响力度有所不同。

In this paper,73 samples of convertible bonds issued and listed are selected,and the least square Monte Carlo method is used for pricing.Comparing the theoretical price with the actual price,we find that the first day discount of convertible bonds exists,and the discount range is different under different market conditions.This paper attempts to explain the reasons for the first day discount of convertible bonds from two aspects:the intrinsic value of the company and market sentiment.By selecting ten financial indicators,three comprehensive emotional indicators are constructed,and the first day discount rate of convertible bonds,financial indicators and emotional indicators are analyzed by multiple regression.Regression analysis shows that financial indicators and emotional indicators have good explanatory effect on convertible bond discount rate,among which emotional indicators are more powerful.In addition,it is found that under different market conditions,the same index has different influence on the discount range of convertible bonds.