A Research Of Convertible Bond Pricing Based On Media Sentiment

The research on the pricing of convertible bonds by academic and practical departments has found that there is an undervaluation of convertible bonds in China.Because the efficient market hypothesis is too simple,it cannot fully explain the phenomenon in the real financial market,and it needs to be studied by the theory of behavioral finance.Investor sentiment is the hot spot of behavioral finance research and has systemic influence on asset price.Investor sentiment will be driven by the media sentiment,which will eventually lead to the change of capital market price through investor behavior.Therefore,this paper use the "spiral of silence" theory to analyze the media sentiment influence on convertible bonds pricing.Based on the expansion of the media sentiment,constructed the least squares monte carlo pricing method,and then using Guangqi convertible bond as a case,empirical test pricing efficiency least square monte carlo method based on the the media sentiment.Finally puts forward countermeasures and suggestions according to the results of the study.The specific research process and conclusion are as follows:(1)Using the theory of "spiral of silence" sentiment analysis of media influence on convertible bonds pricing,and on the basis of the proposed media sentiment index,constructed the least squares monte carlo pricing method based on the expansion of the media sentiment.Indicate that the media sentiment by acting on investor sentiment,which affect the convertible bond issuing company’s stock price volatility and the discount rate,ultimately affect the price of convertible bonds.(2)A case study of Guangqi convertible bond pricing based on media sentiment.Firstly,introduces the background of Guangqi convertible bond issuance,and given the renson of the selection of Guangqi convertible bond.At the same time,the Guangqi convertible bond pricing key factors are introduced.Then,according to the issue of Guangqi convertible bond,make some assumptions.Selected according to the pricing model and assumptions,the real data on the market,based on the expansion of the media sentiment the least squares monte carlo pricing method,pricing the Guangqi convertible bond on the date of issue of the bonds(on January 22,2016)and the listed within a month after trading day(February 4,2016-March 4,2016).Empirical test shows that the issuing date,based on the theory of media sentiment Guangqi convertible bond of 113.67 yuan,undervalued rate was 12.03%,while not considering the underestimate of media sentiment at a rate of 19.94%;Listed after a month,consider media sentiment of Guangqi convertible bond that the theoretical price of the average of 118.57 yuan,undervalued does not appear,but under the influence of media optimism overvalued by 1.62%,and did not consider the media mood underestimated the rate to an average of 7.33%.The pricing of convertible bonds based on media sentiment is more efficient,and the pricing results are closer to the actual market price.(3)In the previous analysis,this paper puts forward countermeasures and suggestions to investors of convertible bonds,issuers company of convertible bonds,news media and regulators.