Research on Pricing Efficiency of Convertible Bonds in China’s Health Care Industry During Conversion Period Based on the Least Square Monte Carlo Method

Renjie Guo, Haowen Chen, Sanming Zu and Yixuan Yin

Chapter 56 in Economic Management and Big Data Application:Proceedings of the 3rd International Conference, 2024, pp 636-653 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Convertible bonds have become an important investment and financing tool that can not be ignored nowadays. Given the aging trend in China and the prospect of the healthcare industry, this paper makes a pioneering study on the pricing efficiency of convertible bonds in China’s healthcare industry. Based on the Least Square Monte Carlo method, this paper calculates the daily model prices of 27 convertible bonds in the first six months of their respective equity conversion periods using the parameter data at the daily level and analyzes the overall deviation between the model prices and the actual prices of these convertible bonds in this pricing period using the relevant statistics, thus approximately reflecting the pricing efficiency of the convertible bonds in the whole health care industry. The empirical results show that the price of convertible bonds in the whole healthcare industry may be overvalued in the first six months of the conversion period. There is a positive correlation between the rating of convertible bonds and pricing efficiency. During the pricing period, the overall pricing efficiency of each rated convertible bond in the first half period is higher than that in the second half period. Although the pricing efficiency in the second half period is low, there is no further downward trend.

Keywords: Big Data; Information Management; Economic; Data Applications; Blockchain; E-commerce (search for similar items in EconPapers)
JEL-codes: C63 C8 O14 (search for similar items in EconPapers)
Date: 2024
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