【广发金工】如何应对组合中的异动可转债：量化可转债研究之十二

Group 1 - The core viewpoint of the article emphasizes the characteristics and trading behaviors of convertible bonds, particularly focusing on the phenomenon of abnormal trading in this market segment [1][7]. - Abnormal convertible bonds are influenced by factors such as T+0 trading, relaxed price limits, and lower transaction costs, making them more susceptible to speculative trading [8][10]. - The article categorizes abnormal trading in convertible bonds based on special clause triggers, significant price fluctuations, and high turnover rates [2][12]. Group 2 - The performance statistics after significant price fluctuations indicate that if a convertible bond experiences a daily price swing exceeding 10% and closes up by more than 5%, its future performance tends to be weak unless it is in a redemption counting period [3][28]. - Conversely, if a convertible bond closes down by more than 5% after a significant price drop, it shows potential for excess returns, especially if it is in a down-adjustment or repurchase counting period [4][37]. Group 3 - The article outlines event-driven strategies, suggesting a sell strategy for convertible bonds that experience significant price increases after abnormal trading, which has yielded excess returns of 69.5% since 2017 [5][56]. - A buy strategy is proposed for convertible bonds that decline significantly after abnormal trading, particularly those in down-adjustment counting periods, although caution is advised due to high concentration risks [6][61]. Group 4 - The characteristics of abnormal convertible bonds include small market capitalization, low ratings, high valuations, and strong stock characteristics [7][73]. - The analysis reveals that abnormal trading convertible bonds tend to have lower average remaining scales and ratings compared to the overall sample, indicating a distinct profile for these securities [69][70].