基于收缩回归的可转债上市首日定价分析

Convertible Bonds′ the First Listing Day Pricing Based on Shrinkage Regression

可转债是一种复杂的金融衍生工具,其定价受到学界与业界的广泛关注.目前主流的TF98定价模型对我国可转债定价的适用性有一定局限.本文利用收缩回归对我国2019年和2020年上市的两百余只可转债建模并分析,对比了回归模型与TF98定价模型的结果,分析了传统定价模型的局限性,并验证了回归模型的定价有效性.本文回归模型的拟合优度大于0.77,回归模型在测试集上的定价精度和定价稳定性明显优于传统定价模型.

Convertible bonds are complex hybrid securities,their pricing model a hot topic in academia and industry.The main theoretical model——TF98 isn′t necessarily suitable for Chinese convertible bonds.This thesis analyses Chinese convertible bonds listed between 2019 and 2020 by using shrinkage regression.The regression results are compared with the traditional model,to clarify the conventional model′s limitations and to validate the regression model.The goodness-of-fit of the regression model is more than 0.77.The pricing accuracy and pricing stability of the regression model are also superior to the traditional model.