可转换债券市场价格与其基准股票市盈率关系初探

本文试图探讨可转换债券市场价格与其基准股票市盈率间的关系。从理论上分析,市盈率作为一个较易获得的市场指标,包含了上市公司增长机会(growth opportunity)的信息,反映了投资者对未来股价上升的预期。同时可转换债券的价格对其基准股票价格未来上升的可能性十分敏感,因此市盈率与可转换债券市场价格间应存在一定关系。但根据对上海证券交易所转债的实证分析得到:目前我国转债的市场价格与其基准股票市盈率间的关系并不显著,因而市盈率指标不能作为判断转债投资价值的有效依据。

On the Relation between Convertible Bond Market Price and its Underlying stock P/E Ratio

The market price of convertible bonds is sensitive to investors' expectations on the future price change of the underlying stocks. P/E ratio includes the information of the issuing companies' growth opportunity and thus reflects investors' expectation on the price variation. We predict that there is a linear relationship between the convertible bonds market price and P/E ratio. However the empirical analysis results on the SSE convertible bonds and P/E data cannot be used as a support.