可转换债券上市首日溢价的实证分析

选取可转换债券发行条款作为研究对象,从实证角度分析可转换债券发行条款设计对最终市场表现的影响.重点在于寻找条款设计差异与可转换债券上市收盘价溢价之间的统计关系.笔者选取了国内市场上22只可相互比较的可转换债券作为样本,建立回归模型得出了能够刻画条款设计与上市收盘价溢价之间统计关系的回归方程.定量分析的结果显示:可转换债券的市场价格仍然主要由其理论价值决定;适当提高可转换债券的票面利率、期限、到期偿还等条款能有效地提升可转换债券的市场价格.运用所建立模型估算可转换债券的上市收盘价溢价也较为准确,证明模型具有一定的预测功能,可以为投资决策提供参考.

Empirical Study on the Premium Rate of First-day Traded Price of Convertible Bond

Clauses-designing of convertible bond is the main object of this article. Its final effect upon exchange market is analyzed by an empirical study, which ultimately reveals the relationship between clause-designing and the premium rate of the price on the first day. The authors select 22 pieces of comparable convertible bonds in domestic market as a sample pool, and design a regression model. Results demonstrate that market price of convertible bond is primarily determined by its value. In this case, proper designing in coupon rate, duration, or setting additional clauses, such as interest compensation clause and unconditional redemption clause, could significantly improve the premium of price on the first day. Moreover, it is precise to appraise the premium of price on the first day with the regression model, which proves that this model turns out to be a valuable reference for investors.