The Research On Pricing And Arbitrage Of Convertible Bonds Of Listed Companies

Convertible bond is a kind of financial derivative with both bond properties and option.With the development of Chinese capital market,more and more companies and investors have begun to notice convertible bonds.Recognizing the value of this product is an important step to understand this product in depth,so this article studies the pricing,arbitrage of convertible bonds,and investors' conversion behavior.Regarding the pricing of convertible bonds,this article divides convertible bonds into two parts: the value of the pure debt and the value of the option.The part of debt uses the maturity income of corporate bonds with the same maturity and the same credit rating as the convertible bonds.The discount rate is used to discount the future cash flow of the convertible bonds;in the options section,this article is based on the BS model,taking into account the various additional terms of the convertible bonds and the liquidity of price for calculation.The research finds that the current issue of convertible bonds of listed companies in China still has an undervalued problem,but the deviation between the theoretical value and the actual price will decrease over time.In terms of arbitrage of convertible bonds,according to the different style of entire market,this article uses a simple arbitrage strategy to discuss the convertible bonds that have already entered the conversion period and the convertible bonds that have not entered the conversion period.In the study of investor conversion behaviors,this paper classifies the investor's conversion behaviors and finds that there are still a lot of irrational conversion behaviors in the market.The number of daily conversions of these conversion behaviors is concentrated,The small amount can be considered as an irrational decision made by a non-institutional investor.No matter in terms of pricing,arbitrage,or conversion behavior,it shows that Chinese convertible bond market is not an effective market,and it still needs to develope.