中国上市公司可转换债券非理性转股行为研究

以上海证券交易所上市的30只已进入转股期的可转换债券为样本研究，发现约58.5%的自愿转股行为违背了理性原则。用非参数回归分析法进行实证检验,发现市场流动性并不是影响非理性转股的因素，而隔夜风险、转股损失则是导致非理性转股行为发生的影响因素；投资者的心理因素对非理性转股具有非线性影响：历史收益率对投资者的影响取决于趋势信念和参考点两个因素。此外，非理性转股还受到框定依赖的影响，即当历史收益为正时，高的收益波动会增加非理性转股；而当历史收益为负时，高的收益波动会减少非理性转股。

Research on Irrational Convert Behavior of China's Convertible Bonds

Studying about investor''s voluntary convert behavior with the 30 convertible bonds which listed on the Shanghai Stock Exchange, we find that almost 58.5% of voluntary convert behaviors are inconsistent with the principle of rational exercises. By non parameters regression analysis, the results are concluded as following: First, liquidity in convertible bonds market has no influence on irrational exercises. Secondly, overnight risk and conversion loss are influence factors, and psychological factors have nonlinear effects. Besides, historical rate of return influences investors by trend belief and reference point. When the returns of the underlying stock is positive, high volatility will increase irrational convert behavior, and when the returns is negative, high earnings volatility will reduce irrational convert behavior.