| After the implementation of credit subscription of convertible bonds in 2017,the status of convertible bonds in the financing methods of listed companies increased and the number of issuance increased;Due to the dual attributes of options and bonds,convertible bonds have low risk and high yield,and investors can generally obtain good excess returns.The market scale has gradually increased until the issuance of the new regulations on convertible bonds subscription in 2022.During this period,investors from the beginning of "brainless play new" can make profits,to later found that play new convertible bonds is not 100% profit,or even a loss.Taking Haibo convertible bonds listed on 2020/12/22 as an example,the maximum loss on IPO day was 6.1%.The next day,Yong An convertible bond IPO broke,the largest loss of 3.7percent.This obvious market change requires investors to be "cautious" and consider more market factors in their investment decisions when choosing convertible bonds.Based on the above background,this paper dug out the media market sentiment from financial media news texts.From this perspective,the media market sentiment index(MSI)was used to represent the market investment environment,and combined with convertible bond factors and corporate factors,the influence of media market sentiment on investors’ returns on new convertible bonds was studied theoretically and empirically.Through empirical analysis,this paper draws the following basic conclusions:First,the first-day returns of new convertible bonds are affected by three characteristic factors,including media market sentiment.The characteristics of convertible bonds represented by conversion value(CONP)are the main factors,followed by the influence of media market sentiment(MSI),and finally the explicit and intuitive indicators such as market value size in corporate characteristics.Therefore,adding media market sentiment variables into existing research models can better explain the first-day returns of convertible bonds.Second,among the factors affecting the earnings of the first month after the listing of convertible bonds,the market characteristics represented by media market sentiment(MSI)were obscured and weakened after integrating the characteristics of convertible bonds and companies,while the influence of long-term value factors such as the characteristics of issuing companies and convertible bonds was strengthened.It shows that investors do not need to consider the change of media market sentiment when trading convertible bonds in non-ultra-short term,and the options and bond attributes are the dominant factors.Third,the effective subscription ratio of original shareholders will affect the relationship between the media market sentiment and the returns of convertible bonds,and has a partial mediating effect on the first-day returns of convertible bonds and a complete mediating effect on the returns of the first month.For investors,no matter what strategy they use when investing in convertible bonds,they should first pay attention to the value of the convertible bonds.If the purpose of new convertible bonds is to obtain ultra-short-term returns,they should also pay attention to the real-time media market sentiment.If it is for short-term gain,it does not need to consider the change of media market sentiment.For issuers,it is suggested that listed companies choose the right issuing time according to the market environment and design convertible bonds with their own characteristics,so as to attract investors to actively participate in the investment of convertible bonds and achieve the financing target more efficiently.For regulators,it is suggested to strengthen the supervision of financial media and news,improve the pricing efficiency of the convertible bond market,allow diversified product design of convertible bonds,enhance the diversity of issuing subjects,and pay more attention to the optimization of structure while expanding the market scale. |
