【摘要】 可转换债券折价的原因是金融学的一个未解之谜。本文应用中国市场的数据对解释可转债折价的投资者群体差异假说和流动性假说进行了实证检验。研究发现中国市场可转换债券的平均折价为10．2%,可转换债券的折价程度与到期时间、股票换手率、股票账面市值比具有显著的相关关系,可转换债券市场收益率和股票收益率之间的关系弱于理论预期,这些现象支持投资者群体差异假说;本文没有发现支持流动性假说的进一步证据。更多还原

【Abstract】 The underpricing of convertible bonds has been a puzzle in the finance literature.The paper investi- gates the differential clienteles and liquidity hypothesis in Chinese convertible market by using large sample a- nalysis.The empirical study shows that the theoretical values for the analyzed convertible bonds are on average more than 10.2 percent higher than the observed market prices.The underpricing has significant relationship on maturity,stock turnover and stock book-to-market ratio,and the relationship between convertible bond return and stock return are weaker than theoretical prediction.All these evidences support the differential clien- teles hypothesis,but there is no evidences to support the liquidity hypothesis.更多还原