Empirical Analysis On Influencing Factors Of Conversion Premium Rate Of Convertible Bond

After twenty years of development,the Convertible Bond Market has become an important part of China’s Capital Market,there are many research results on convertible bond pricing and its influencing factors.However,the relevant research mainly focuses on the analysis framework of "Convertible Bond Price=Pure Bond Value+Option Price".According to the actual characteristics of convertible bonds,the factors such as redemption terms and resale terms are added.At present,there are few studies based on the framework of "Convertible Bond Price=(Conversion Value)×(1 + Conversion Premium Rate)".The calculation of convertible bond value is relatively convenient.From the perspective of Conversion Premium Rate,the empirical analysis of the influencing factors of Conversion Premium Rate can enrich the pricing theory of convertible bonds,and also provide guidance for the practical operation of market participants,which has particular theoretical and practical significance.Based on the data from May to June in 2021,this paper makes an empirical analysis of the factors affecting the Conversion Premium Rate(CPR)of convertible bonds.This paper argues that Conversion Value,Pure Bond Value,Residual Scale,Stock Volatility,and PB are important factors affecting the CPR of convertible bonds.Pure Bond Value reflects the attribute of debt,and has a positive effect on the CPR.The Multiplicative Inverse of Conversion Value(MIOCV)and the CPR showed a significant positive effect;the reduction of Residual Scale enlarges the role of speculation,which leads to the increase of CPR;PB and Volatility Rate of the corresponding stock are positively correlated with the Conversion Premium Rate.Finally,this paper puts forward corresponding suggestions for investors and issuers.