摘要
本文分析了可转债申购的影响因素。回归估计结果表明:中签率和转债上市首日的报酬是影响可转债申购收益率的决定性因素,发行规模、申购资金规模对可转债申购收益率的影响也不容忽视。转债申购后未必马上抛售,持有一段时间可能有更好的收益,特别是在牛市环境下。转债申购要根据当时的市场环境、投资者预期收益率、转债自身价值、资金成本等多重因素决策。
This paper analyses the influencing factors of the convertible bonds purchase, which regression estimation results show that the success rate and the reward of convertible bonds on the first listed day are the determinants af- fecting the rate of return of the convertible bonds. But the issue of scale, the size of the funds purchasing the convert- ible bonds also has some effect on the rate of return of the convertible bonds purchase. It is statistically estimated that since 2012, the average online purchase armualized rate of 27 new issuing convertible bonds is 4.043%, while the pur- chase annualized average rate of return trader the net with leverage is 12.417%. The purchase arbitrage under the net for institutional investors is an effective investment strategy. The average rate of return under the net of the newly convert- ible bonds after listed 10 trading days is 16.86%, which is slightly higher than that of the first day. After the purchase of convertible bonds, they are not immediately sold, but those holding the convertible bonds for a short time may have a better return, especially in the bull market. The purchase of convertible bonds should be decided according to the market environment, the investors expected return rate, the value of the convertible bonds, the value of the con- vertible bond, the capital cost and other factors.
出处
《金融发展研究》
北大核心
2015年第10期37-42,共6页
Journal Of Financial Development Research
基金
"上海市教委085工程建设项目金融学"资助
关键词
可转债
申购收益率
中签率
杠杆
convertible bonds, purchase rate of return, success rate, leverage
