光大证券研究·2026-02-24 23:03Core Viewpoint - The article discusses the upcoming "Two Sessions" period in China and its historical impact on the convertible bond market, indicating a pattern of initial declines followed by significant gains in the days following the sessions [4][5]. Group 1: Market Trends - The "Two Sessions" will take place on March 4 and 5, 2026, with the convertible bond market entering a critical phase shortly before this event [4]. - Historical data shows that from 2018 to 2025, the median cumulative increase of the China Convertible Bond Index from T+2 to T+12 days is 0.57%, following a drop of -0.45% at T+2 [4][5]. - In the same period, the success rate of buying on T-6 and selling on T+12 is 83.3%, indicating a strong historical performance during this timeframe [4]. Group 2: Investment Strategies - Lower-rated, small-cap, and low-priced convertible bonds tend to yield excess returns during the "Two Sessions" period, with median cumulative increases of 1.46% for AA-rated bonds and 2.25% for small-cap bonds by T+12 [5]. - The current median conversion premium in the convertible bond market is 35.8%, indicating a high valuation compared to historical levels [5][6]. - The market is characterized by a "double high" scenario, where high valuation risks coexist with favorable calendar effects, suggesting short-term trading opportunities while cautioning against long-term risks [6]. Group 3: Recommendations - Investors are advised to maintain moderate positions and adjust their holdings to maximize returns, especially those with larger capital [6]. - The article suggests that the stock market currently offers better value compared to convertible bonds, as evidenced by higher median cumulative increases in major stock indices compared to the convertible bond index [6].