The Effect of Equity-like Characteristic on Convertible Bond Returns
This article applies the absolute value of the correlation coefficient between the daily yield of convertible bonds'closing price and conversion value as the representative variable of the equity-like property.Based on the data obtained from the Wind da-tabase of all publicly offered securities in China's convertible bond market from January 2019 to December 2021,we estimate the monthly equity-like index for individual convertible bonds.Applying group analysis,Fama-Macbeth regression and some other ap-proaches,this article explores the relationship between the equity-like property and the expected return of convertible bonds.The empirical results found that most Chinese convertible bonds have significant equity-like characteristics.Regardless of portfolios or individual securities,there is a significant positive correlation between equity-like property and future returns,the risk premium of equity-like index is always significantly positive under different robustness checks.
NETL
NSTL
万方数据
