上市公司可转债股性对可转债收益的影响——基于中国市场的实证研究

The Effect of Equity-like Characteristic on Convertible Bond Returns--Empirical Research in Chinese Convertible Bond Market

本文以可转债收盘价日收益率与其平价日收益率相关系数的绝对值作为转债股性的表征变量,对由Wind数据库获得的2019年1月至2021年12月的我国转债市场所有公募个券的股性指标进行逐月估计,运用分组分析、Fama-Macbeth回归等方法探究可转债股性与转债预期收益之间的关系。实证结果发现:我国转债市场上的多数转债均具有显著的股性特征。无论是组合还是个券层面,转债股性与预期收益间均存在显著正相关关系,股性指标风险溢酬在稳健性检验下均显著为正。

This article applies the absolute value of the correlation coefficient between the daily yield of convertible bonds'closing price and conversion value as the representative variable of the equity-like property.Based on the data obtained from the Wind database of all publicly offered securities in China's convertible bond market from January 2019 to December 2021,we estimate the monthly equity-like index for individual convertible bonds.Applying group analysis,Fama-Macbeth regression and some other approaches,this article explores the relationship between the equity-like property and the expected return of convertible bonds.The empirical results found that most Chinese convertible bonds have significant equity-like characteristics.Regardless of portfolios or individual securities,there is a significant positive correlation between equity-like property and future returns,the risk premium of equity-like index is always significantly positive under different robustness checks.