Empirical Study of Convertible Arbitrage

本文採用兩種不同的可轉債評價方法，透過將市價代入模型中以估計可轉債的隱含波動率和避險比率，同時依據所求得的避險比率，分別對三檔國內可轉換公司債進行delta neutral hedge、bull/bear gamma hedge的交易策略測試，期能作為投資人或證券業者在未來執行相關策略時之參考。
由實證結果中整理出以下的結論：(一)元京二(60042)與萬國一(30541)在發行價格上均有被低估的現象，顯示大股東似乎透過壓低可轉債發行價格來獲取上市交易後價格上漲的利潤。(二) 在研究期間內，台灣二(30452)與萬國一均曾發生股價下跌而可轉債抗跌的情形，這反映出可轉債的確具有保護下方風險的弁遄A此外，可轉債抗跌相對造成隱含波動率上漲，因此對於long volatility的可轉債套利者而言，是獲取報酬的絕佳機會。(三)在考慮交易成本之下，僅有萬國一能在每種策略中產生正的報酬，其餘兩者則因為交易成本大幅吞噬獲利而導致績效不佳。(四)本文並未考慮進場時機之選擇以及融券放空之限制，故建議未來相關研究可將此因素納入討論中。

This paper uses two different evaluation methods to estimate implied volatility and hedge ratio of convertible bonds by input their market prices; then we use these hedge ratios to test three different hedging strategies, including delta neutral hedge, bull gamma hedge, and bear gamma hedge, and expect the results can offer investors some useful materials when they try to do the related strategies.
From the empirical results, we can get following conclusions: a) The offering prices of 元京二(60042) and 萬國一(30541) are under-priced, and it seems like the major shareholders take the excess return away by lowering the issuing price after the price of convertible bonds goes up; b) During our research period, the prices of 台灣二(30452) and 萬國一 both remained stable; however, the price of their underlying stocks went down. This situation proves the downside protection of convertibles and will lead to the increase of implied volatility of convertibles, which will be a good chance for arbitragers to get profit. c) When considering costs of transaction, only 萬國一 can make positive return in all the three strategies; on the contrary, due to the high proportion of transaction cost of the other two convertibles, the return of their hedging strategies is not well-performed. d) In this thesis, we do not put timing-selection and limitations of short-selling into consideration, so we are looking forward these factors could be included in future researches.