新債上市后估值如何變化

在報《可轉(zhuǎn)債首日定深度解析及投資機會轉(zhuǎn)債研究系（三中我發(fā)自220年3以上日較估轉(zhuǎn)比較高轉(zhuǎn)債，后通會更的表，文們針這一象進步討。1.1、低估轉(zhuǎn)債案例圖1正川轉(zhuǎn)債上市際價格vs理論價（單元）

圖2惠城轉(zhuǎn)債上市后際價格vs理論價（單元） wid， wid，如上我觀兩轉(zhuǎn)在上日后00交日實價和論格變化其理定由評級債為考本風(fēng)向定（體可轉(zhuǎn)債首定：度析投資轉(zhuǎn)研系（三）到。在上日估轉(zhuǎn)此有可出實價向論價收的（圖也有可能市日后實價格和理價格持此的差距（圖2我們步判部低轉(zhuǎn)有際價向論格斂趨勢低轉(zhuǎn)相于他轉(zhuǎn)債此有好現(xiàn)原因。因此們接的究關(guān)注個題：轉(zhuǎn)債市之估會何變，估債過段時后高嗎？低估債市之收多少自估提？低估債估修需多久修的度多。圖3：2021年以來轉(zhuǎn)市后當天收盤時實價格理論價格vs60交易日際價格-理論價格（單位：）wi，我們用轉(zhuǎn)實格-模價格來刻轉(zhuǎn)債估值平，我們造圖的點圖，每個點都應(yīng)一轉(zhuǎn)債，橫是上日時實際價格風(fēng)向標型價縱是60個易以實際模價散點反了債估水平在前0交日變化圖藍的是yx，色線是的趨勢。這個點告我于大分債的轉(zhuǎn)可會持低估的轉(zhuǎn)維低不我們以點趨勢斜是于1這就表示分債現(xiàn)實價格理價靠的化散圖上估債實際格理價收的趨會明。、低估轉(zhuǎn)債在上市日后收益多少有來自于估值提升？圖4：上市后當天收盤高低估vs60交易日理價格變化（單位：）wid，轉(zhuǎn)債格變化=轉(zhuǎn)論價變化+轉(zhuǎn)估化首先們注上后60個交日債論格化是會到市的低估影轉(zhuǎn)在市后論價的化市的體估水和債應(yīng)股價決中債格變影最。如上我發(fā)，市當天高低和債市理價變相關(guān)性不大。圖5上市后當天收盤高低估vs60交易日實價-理論價格變（風(fēng)同評級（單位：元）wid，而轉(zhuǎn)估變和市的高估關(guān)則高這些市低的債在估值上提比明得實價向論格近們以認低債上市日后益多來估值提升。、低估轉(zhuǎn)債的估值修復(fù)需要多久？圖6：上市后n個交易實際價格-理論價格變2020年以來上市（單元）35 3 25 2 15 1 05 003691215182124273033363942454851545760636669727578均值 中位數(shù)wid，我們定義低估轉(zhuǎn)債：日實價-論格<2我們了220年來有的估債后n交易實價-論平均數(shù)中數(shù)變情用觀低估債值修路我發(fā)最初的0交日這數(shù)會經(jīng)一迅上的程到3-0交日，實際價格理論價的提達到最大，此變動明顯，也是說史數(shù)告訴我到后40個日時估債完了值修的程。、對于一個低估10元的轉(zhuǎn)債，歷史來看預(yù)期收益如何？圖7：上市后當天收盤高低估vs40交易日實價格變化（單位：）wid，如上軸是市實際風(fēng)標型縱是40個易以的轉(zhuǎn)債際化況我們趨線斜來畫預(yù)收。2021以，一勢的斜為-.3，就一個估10的債我們可預(yù)它未得3.5的益。2、市場數(shù)據(jù)表1：近日轉(zhuǎn)債日成交額以及成交量數(shù)據(jù)日期成交金額(億元)債券余額(億元)成交量(億)2022/4/18917.937749.08545.692022/4/191226.077745.91704.152022/4/201401.477774.90817.962022/4/211275.987776.39760.972022/4/221072.637782.06728.482022/4/25999.387762.22647.852022/4/261222.37779.80774.892022/4/2713257785.12812.972022/4/281317.777784.83756.372022/4/291445.847783.96865.61wid，圖8：近日轉(zhuǎn)債日成交額wid，表2：近日轉(zhuǎn)債市場價數(shù)量分布日期9090-100100-110110-120120-130130-140140-150>1502022/4/18067415979228482022/4/19067314782297522022/4/20067215881218512022/4/21068016867226492022/4/220681170722010412022/4/250814514944165342022/4/260916513140175352022/4/270815112356188392022/4/2808157116571810372022/4/290611413971211042wid，圖9：近日轉(zhuǎn)債市場價分布wid，表3：風(fēng)向標轉(zhuǎn)債估值（單位：元）日期AAAAA+AAAA-A+2022/4/22117.35119.26120.12121.04121.172022/4/25116.25117.91118.98119.36119.432022/4/26116.60118.53119.57119.93120.002022/4/27117.55119.96120.71121.52121.552022/4/28117.89120.22121.04121.54121.662022/4/29119.03121.45122.40122.93123.09wid，圖10：風(fēng)向標轉(zhuǎn)債估值化圖（單位：元）wid，本周向估指為3.0相于上漲1.8債場估在現(xiàn)了大度上。3、轉(zhuǎn)債組合跟蹤偏債型組合消費板塊組合低價轉(zhuǎn)債組合雙低組合風(fēng)向標低估+動量組合風(fēng)向標組合大金融板塊組合新能源鏈組合平衡型組合大科技板塊組合周期板塊組合機構(gòu)定價權(quán)組合穩(wěn)增長組合低溢價組合偏股型組合年初至今年收益率季收益率月收益率周收益率中證轉(zhuǎn)債年初至今年收益率季收益率月收益率周收益率wid，圖11：低溢價率組（位：元） 圖12：雙低組合（單位元）wid， wid，圖13：風(fēng)向標組（單：元） 圖14：風(fēng)向標+動量組（單位：元）wid， wid，圖15：偏股型組（單：元） 圖16：平衡型組合（單：元）wid， wid，圖17：偏債型組（單：元） 圖18：低價組合（單位元）wid， wid，圖19：大科技轉(zhuǎn)債組單位：元） 圖20：周期轉(zhuǎn)債組合（位：元）wid， wid，圖21：大金融轉(zhuǎn)債組單位：元） 圖22：消費轉(zhuǎn)債組合（位：元）wid， wid，中證債周跌為04股組有好現(xiàn)周現(xiàn)前策偏股組（.71溢價1.4,長組（.92跌策略偏型1.0,消板組-101,低轉(zhuǎn)組-0.64、新發(fā)轉(zhuǎn)債表5：新發(fā)轉(zhuǎn)債情況跟蹤代碼名稱類型發(fā)行規(guī)模(億元)方案進展進展公告日300692中環(huán)保可轉(zhuǎn)債8.642022-5-62022-5-06603477巨星牧可轉(zhuǎn)債10.02022-4-52022-4-25600496精工構(gòu)可轉(zhuǎn)債20.02022-4-22022-4-22603609禾豐份可轉(zhuǎn)債15.02022-4-22022-4-22000589貴州胎可轉(zhuǎn)債18.02022-4-22022-4-22002398壘知團可轉(zhuǎn)債3.962022-4-12022-4-21000723可轉(zhuǎn)債35.92022-4-02022-4-20300725藥石技可轉(zhuǎn)債11.52022-4-02022-4-20002982湘佳份可轉(zhuǎn)債6.42022-4-92022-4-19603638艾迪密可轉(zhuǎn)債10.02022-4-52022-4-15603058永吉份可轉(zhuǎn)債1.462022-4-42022-4-14002753永東份可轉(zhuǎn)債3.82022-4-82022-4-08601881中國河可轉(zhuǎn)債78.02022-3-42022-3-24002234民和份可轉(zhuǎn)債5.4證監(jiān)核/意冊2021-9-14002430杭氧份可轉(zhuǎn)債11.37證監(jiān)核/意冊2022-3-04688026潔特物可轉(zhuǎn)債4.4證監(jiān)核/意冊2022-3-11688219會通份可轉(zhuǎn)債8.5證監(jiān)核/意冊2022-3-17688096京源?？赊D(zhuǎn)債3.5證監(jiān)核/意冊2022-3-17688595芯海技可轉(zhuǎn)債4.2證監(jiān)核/意冊2022-3-17000703恒逸化可轉(zhuǎn)債30.0證監(jiān)核/意冊2022-3-26601865福萊特可轉(zhuǎn)債40.0證監(jiān)核/意冊2022-4-07601878浙商券可轉(zhuǎn)債70.0證監(jiān)核/意冊2022-4-13300933中辰份可轉(zhuǎn)債5.7證監(jiān)核/意冊2022-4-19600075新疆業(yè)可轉(zhuǎn)債30.0證監(jiān)核/意冊2022-4-21605189富春織可轉(zhuǎn)債5.7證監(jiān)核/意冊2022-4-23603901永創(chuàng)能可轉(zhuǎn)債6.11證監(jiān)核/意冊2022-4-26wi，5、條款跟蹤、贖回條款表6：強贖條框觸發(fā)情跟蹤轉(zhuǎn)債代碼轉(zhuǎn)債簡稱贖回條款贖回起始日觸發(fā)進度進度條11354.SH石英債15/301302020/5/0630/30100.0012804.SZ利爾債20/301302019/4/2320/23100.0011360.SH新星債15/301302021/2/1915/21100.0012805.SZ尚榮債15/301302019/8/2115/18100.0012306.SZ斯萊債15/301302021/3/2315/15100.0012307.SZ鵬輝債20/301302021/4/2620/20100.0012307.SZ天能債15/301302021/4/2715/19100.0012307.SZ同和債20/301302021/5/0620/20100.0011358.SH壽仙債15/301302020/2/1515/27100.0011358.SH火炬?zhèn)?5/301302020/2/0230/30100.0012807.SZ游族債15/301302020/3/2715/15100.0012807.SZ遠東債15/301302020/3/2715/26100.0011357.SH春秋債15/301302020/0/2015/30100.0011357.SH起步債15/301302020/0/1624/30100.0011357.SH東時債15/301302020/0/1530/30100.0012307.SZ飛凱債15/301202021/6/0315/24100.0012807.SZ太極債15/301302020/4/2715/25100.0012807.SZ英聯(lián)債15/301302020/4/2715/30100.0011356.SH新春債15/301302020/9/1415/22100.0011356.SH君禾債15/301302020/9/1015/20100.0012808.SZ華鋒債15/301302020/6/1015/15100.0012703.SZ盛虹債15/301302021/9/2730/30100.0012808.SZ鴻達債15/301302020/6/2215/15100.0012308.SZ朗新債15/301302021/6/1515/23100.0012308.SZ高瀾債15/301302021/6/1615/15100.0012303.SZ利德債15/301302020/5/2015/15100.0012809.SZ新天債15/301302020/7/0615/15100.0011354.SH金能債15/301302020/4/2015/15100.0012809.SZ恩捷債15/301302020/8/1715/20100.0011354.SH榮晟債15/301302020/2/0315/21100.0011353.SH文燦債15/301302019/2/1615/19100.0012703.SZ國微債15/301302021/2/1730/30100.0012804.SZ盛路債15/301302019/1/2315/30100.0011353.SH鼎勝債15/301302019/0/1615/17100.0012804.SZ華通債15/301302018/2/2115/15100.0012303.SZ晶瑞債15/301302020/3/0530/30100.0012302.SZ英科債15/301302020/2/2430/30100.0012302.SZ藍曉債15/301302019/2/1715/26100.0012302.SZ精測債15/301302019/0/0815/20100.0012303.SZ聯(lián)得債15/301302020/7/0115/22100.0012302.SZ長信債15/301302019/9/2330/30100.0012301.SZ溢利債15/301302019/6/2615/15100.0012304.SZ紅相債15/301302020/9/1828/30100.0012301.SZ萬順債15/301302019/1/2815/20100.0012304.SZ天鐵債15/301302020/9/2530/30100.0012801.SZ金禾債15/301302018/8/0715/15100.0012802.SZ兄弟債20/301302018/6/0420/25100.0012300.SZ國禎債15/301302018/5/3015/30100.0012304.SZ應(yīng)急債15/301302020/0/1616/30100.0011800.SH嘉元債15/301302021/9/0130/30100.0012305.SZ聚飛債15/301302020/0/2015/15100.0012305.SZ飛鹿債15/301302020/2/1115/15100.0012802.SZ太陽債15/301302018/6/2815/15100.0011362.SH伯特債15/301302022/1/0530/30100.0012803.SZ天康債15/301302018/6/2827/30100.0012305.SZ思特債15/301302020/2/1615/15100.0012305.SZ美聯(lián)債15/301302021/1/0715/17100.0011362.SH彤程債15/301302021/8/0230/30100.0011362.SH傲農(nóng)債15/301302021/9/1615/30100.0012803.SZ金農(nóng)債15/301302018/9/1715/15100.0011361.SH美諾債15/301302021/7/2015/15100.0011361.SH韋爾債15/301302021/7/0526/30100.0011361.SH金誠債15/301302021/6/2930/30100.0012306.SZ蘇試債15/301302021/1/2715/18100.0012809.SZ奧佳債15/301302020/9/0230/30100.0012303.SZ通光債15/301302020/5/0826/30100.0012308.SZ萬轉(zhuǎn)215/301302021/6/1715/23100.0012701.SZ希望債15/301302020/7/0930/30100.0011005.SH伊力債15/301302019/9/2315/15100.0013201.SH18化EB15/301302019/4/2515/21100.0012700.SZ模塑債20/301302017/2/0820/20100.0012814.SZ日豐債15/301302021/9/2715/28100.0011006.SH天路債15/301302020/5/0615/15100.0011006.SH川投債15/301302020/5/1515/15100.0011302.SH華鈺債15/301302019/2/2015/23100.0011302.SH明泰債15/301302019/0/1615/24100.0012309.SZ一品債15/301302021/8/0329/30100.0012700.SZ湖廣債15/301302019/1/0415/22100.0012311.SZ三角債20/301302021/1/3029/30100.0012814.SZ潤建債15/301302021/6/1515/15100.0012311.SZ萬訊債15/301302021/0/1415/20100.0011301.SH小康債15/301302018/5/1115/19100.0012812.SZ齊轉(zhuǎn)215/301302021/2/2615/18100.0012810.SZ聯(lián)創(chuàng)債15/301302020/9/2115/18100.0012813.SZ潔美債15/301302021/5/1015/18100.0012310.SZ震安債15/301302021/9/2230/30100.0011007.SH精達債15/301302021/2/2515/17100.0013201.SHG峽B115/301202020/4/1315/17100.0011303.SH嘉澤債15/301302021/3/0115/15100.0012309.SZ天壕債15/301302021/6/3015/24100.0011305.SH節(jié)能債15/301302021/2/2726/30100.0011352.SH維格債15/301302019/7/3015/15100.0011352.SH聯(lián)泰債15/301302019/7/2915/30100.0011352.SH臺華債15/301302019/6/2115/15100.0012308.SZ海蘭債15/301302021/6/1715/16100.0012810.SZ華統(tǒng)債15/301302020/0/1615/15100.0012810.SZ藍帆債15/301302020/2/0315/20100.0011350.SH艾華債15/301302018/9/1015/27100.0011004.SH福能債15/301302019/6/1415/19100.0012810.SZ楚江債15/301302020/2/1015/15100.0012811.SZ中礦債15/301302020/2/1730/30100.0012702.SZ中鋼債15/301302021/9/2715/30100.0011004.SH廣電債15/301302019/1/0323/30100.0011304.SH晶科債15/301302021/0/2930/30100.0011304.SH旗濱債15/301302021/0/1515/20100.0012308.SZ九轉(zhuǎn)215/301302021/6/2521/21100.0012310.SZ昌紅債15/301302021/0/0815/