可转换债券套利策略研究:中国市场的例子

发布时间：2018-06-29 07:43

本文选题：可转债 + 套利策略　；参考：《管理评论》2017年11期

【摘要】：经典可转换债券套利策略的核心思想是买入可转换债券(可转债)并同时卖出相应份额的标的正股,旨在挖掘可转债市场被低估所带来的投资机会。本文利用改进的Tsiveriotis和Fernandes~([1])可转债理论定价模型,发现在2010年至2014年期间中国可转债在发行日存在显著的低估现象,平均定价误差率约为-6.09%。随后,再利用2010年至2014年期间在沪深市场可交易的共41支可转债和标的正股等日度历史数据,构造了两类可转债套利策略,此两类套利策略分别获得了0.299%和0.263%月度平均收益率。最后,本文还发现可转债套利策略与沪深300股票指数、可转债公募基金和可转债指数的收益率均无显著的相关性,说明可转债套利策略是一种很好的另类投资策略。
[Abstract]:The core idea of the classical arbitrage strategy of convertible bonds is to buy convertible bonds (convertible bonds) and sell the corresponding shares of the underlying stocks at the same time in order to explore the investment opportunities brought by the undervalued convertible bond market. By using the improved Tsiveriotis and Fernandes~ ([1]) convertible bond pricing models, it is found that the Chinese convertible bonds are significantly undervalued during the period from 2010 to 2014, and the average pricing error rate is about -6.09. Then, using the daily historical data of 41 convertible bonds and underlying positive stocks traded in the Shanghai and Shenzhen markets between 2010 and 2014, two types of arbitrage strategies were constructed. The two arbitrage strategies obtained 0.299 percent and 0.263 percent monthly average yield respectively. Finally, it is found that there is no significant correlation between convertible bond arbitrage strategy and Shanghai and Shenzhen 300 stock index, convertible bond public offering fund and convertible bond index, indicating that convertible bond arbitrage strategy is a good alternative investment strategy.
【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金项目(71271136)
【分类号】：F832.51

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