新债上市后估值如何变化

在报《可转债首日定深度解析及投资机会转债研究系（三中我发自220年3以上日较估转比较高转债，后通会更的表，文们针这一象进步讨。1.1、低估转债案例图1正川转债上市际价格vs理论价（单元）

图2惠城转债上市后际价格vs理论价（单元） wid， wid，如上我观两转在上日后00交日实价和论格变化其理定由评级债为考本风向定（体可转债首定：度析投资转研系（三）到。在上日估转此有可出实价向论价收的（图也有可能市日后实价格和理价格持此的差距（图2我们步判部低转有际价向论格敛趋势低转相于他转债此有好现原因。因此们接的究关注个题：转债市之估会何变，估债过段时后高吗？低估债市之收多少自估提？低估债估修需多久修的度多。图3：2021年以来转市后当天收盘时实价格理论价格vs60交易日际价格-理论价格（单位：）wi，我们用转实格-模价格来刻转债估值平，我们造图的点图，每个点都应一转债，横是上日时实际价格风向标型价纵是60个易以实际模价散点反了债估水平在前0交日变化图蓝的是yx，色线是的趋势。这个点告我于大分债的转可会持低估的转维低不我们以点趋势斜是于1这就表示分债现实价格理价靠的化散图上估债实际格理价收的趋会明。、低估转债在上市日后收益多少有来自于估值提升？图4：上市后当天收盘高低估vs60交易日理价格变化（单位：）wid，转债格变化=转论价变化+转估化首先们注上后60个交日债论格化是会到市的低估影转在市后论价的化市的体估水和债应股价决中债格变影最。如上我发，市当天高低和债市理价变相关性不大。图5上市后当天收盘高低估vs60交易日实价-理论价格变（风同评级（单位：元）wid，而转估变和市的高估关则高这些市低的债在估值上提比明得实价向论格近们以认低债上市日后益多来估值提升。、低估转债的估值修复需要多久？图6：上市后n个交易实际价格-理论价格变2020年以来上市（单元）35 3 25 2 15 1 05 003691215182124273033363942454851545760636669727578均值 中位数wid，我们定义低估转债：日实价-论格<2我们了220年来有的估债后n交易实价-论平均数中数变情用观低估债值修路我发最初的0交日这数会经一迅上的程到3-0交日，实际价格理论价的提达到最大，此变动明显，也是说史数告诉我到后40个日时估债完了值修的程。、对于一个低估10元的转债，历史来看预期收益如何？图7：上市后当天收盘高低估vs40交易日实价格变化（单位：）wid，如上轴是市实际风标型纵是40个易以的转债际化况我们趋线斜来画预收。2021以，一势的斜为-.3，就一个估10的债我们可预它未得3.5的益。2、市场数据表1：近日转债日成交额以及成交量数据日期成交金额(亿元)债券余额(亿元)成交量(亿)2022/4/18917.937749.08545.692022/4/191226.077745.91704.152022/4/201401.477774.90817.962022/4/211275.987776.39760.972022/4/221072.637782.06728.482022/4/25999.387762.22647.852022/4/261222.37779.80774.892022/4/2713257785.12812.972022/4/281317.777784.83756.372022/4/291445.847783.96865.61wid，图8：近日转债日成交额wid，表2：近日转债市场价数量分布日期9090-100100-110110-120120-130130-140140-150>1502022/4/18067415979228482022/4/19067314782297522022/4/20067215881218512022/4/21068016867226492022/4/220681170722010412022/4/250814514944165342022/4/260916513140175352022/4/270815112356188392022/4/2808157116571810372022/4/290611413971211042wid，图9：近日转债市场价分布wid，表3：风向标转债估值（单位：元）日期AAAAA+AAAA-A+2022/4/22117.35119.26120.12121.04121.172022/4/25116.25117.91118.98119.36119.432022/4/26116.60118.53119.57119.93120.002022/4/27117.55119.96120.71121.52121.552022/4/28117.89120.22121.04121.54121.662022/4/29119.03121.45122.40122.93123.09wid，图10：风向标转债估值化图（单位：元）wid，本周向估指为3.0相于上涨1.8债场估在现了大度上。3、转债组合跟踪偏债型组合消费板块组合低价转债组合双低组合风向标低估+动量组合风向标组合大金融板块组合新能源链组合平衡型组合大科技板块组合周期板块组合机构定价权组合稳增长组合低溢价组合偏股型组合年初至今年收益率季收益率月收益率周收益率中证转债年初至今年收益率季收益率月收益率周收益率wid，图11：低溢价率组（位：元） 图12：双低组合（单位元）wid， wid，图13：风向标组（单：元） 图14：风向标+动量组（单位：元）wid， wid，图15：偏股型组（单：元） 图16：平衡型组合（单：元）wid， wid，图17：偏债型组（单：元） 图18：低价组合（单位元）wid， wid，图19：大科技转债组单位：元） 图20：周期转债组合（位：元）wid， wid，图21：大金融转债组单位：元） 图22：消费转债组合（位：元）wid， wid，中证债周跌为04股组有好现周现前策偏股组（.71溢价1.4,长组（.92跌策略偏型1.0,消板组-101,低转组-0.64、新发转债表5：新发转债情况跟踪代码名称类型发行规模(亿元)方案进展进展公告日300692中环保可转债8.642022-5-62022-5-06603477巨星牧可转债10.02022-4-52022-4-25600496精工构可转债20.02022-4-22022-4-22603609禾丰份可转债15.02022-4-22022-4-22000589贵州胎可转债18.02022-4-22022-4-22002398垒知团可转债3.962022-4-12022-4-21000723可转债35.92022-4-02022-4-20300725药石技可转债11.52022-4-02022-4-20002982湘佳份可转债6.42022-4-92022-4-19603638艾迪密可转债10.02022-4-52022-4-15603058永吉份可转债1.462022-4-42022-4-14002753永东份可转债3.82022-4-82022-4-08601881中国河可转债78.02022-3-42022-3-24002234民和份可转债5.4证监核/意册2021-9-14002430杭氧份可转债11.37证监核/意册2022-3-04688026洁特物可转债4.4证监核/意册2022-3-11688219会通份可转债8.5证监核/意册2022-3-17688096京源保可转债3.5证监核/意册2022-3-17688595芯海技可转债4.2证监核/意册2022-3-17000703恒逸化可转债30.0证监核/意册2022-3-26601865福莱特可转债40.0证监核/意册2022-4-07601878浙商券可转债70.0证监核/意册2022-4-13300933中辰份可转债5.7证监核/意册2022-4-19600075新疆业可转债30.0证监核/意册2022-4-21605189富春织可转债5.7证监核/意册2022-4-23603901永创能可转债6.11证监核/意册2022-4-26wi，5、条款跟踪、赎回条款表6：强赎条框触发情跟踪转债代码转债简称赎回条款赎回起始日触发进度进度条11354.SH石英债15/301302020/5/0630/30100.0012804.SZ利尔债20/301302019/4/2320/23100.0011360.SH新星债15/301302021/2/1915/21100.0012805.SZ尚荣债15/301302019/8/2115/18100.0012306.SZ斯莱债15/301302021/3/2315/15100.0012307.SZ鹏辉债20/301302021/4/2620/20100.0012307.SZ天能债15/301302021/4/2715/19100.0012307.SZ同和债20/301302021/5/0620/20100.0011358.SH寿仙债15/301302020/2/1515/27100.0011358.SH火炬债15/301302020/2/0230/30100.0012807.SZ游族债15/301302020/3/2715/15100.0012807.SZ远东债15/301302020/3/2715/26100.0011357.SH春秋债15/301302020/0/2015/30100.0011357.SH起步债15/301302020/0/1624/30100.0011357.SH东时债15/301302020/0/1530/30100.0012307.SZ飞凯债15/301202021/6/0315/24100.0012807.SZ太极债15/301302020/4/2715/25100.0012807.SZ英联债15/301302020/4/2715/30100.0011356.SH新春债15/301302020/9/1415/22100.0011356.SH君禾债15/301302020/9/1015/20100.0012808.SZ华锋债15/301302020/6/1015/15100.0012703.SZ盛虹债15/301302021/9/2730/30100.0012808.SZ鸿达债15/301302020/6/2215/15100.0012308.SZ朗新债15/301302021/6/1515/23100.0012308.SZ高澜债15/301302021/6/1615/15100.0012303.SZ利德债15/301302020/5/2015/15100.0012809.SZ新天债15/301302020/7/0615/15100.0011354.SH金能债15/301302020/4/2015/15100.0012809.SZ恩捷债15/301302020/8/1715/20100.0011354.SH荣晟债15/301302020/2/0315/21100.0011353.SH文灿债15/301302019/2/1615/19100.0012703.SZ国微债15/301302021/2/1730/30100.0012804.SZ盛路债15/301302019/1/2315/30100.0011353.SH鼎胜债15/301302019/0/1615/17100.0012804.SZ华通债15/301302018/2/2115/15100.0012303.SZ晶瑞债15/301302020/3/0530/30100.0012302.SZ英科债15/301302020/2/2430/30100.0012302.SZ蓝晓债15/301302019/2/1715/26100.0012302.SZ精测债15/301302019/0/0815/20100.0012303.SZ联得债15/301302020/7/0115/22100.0012302.SZ长信债15/301302019/9/2330/30100.0012301.SZ溢利债15/301302019/6/2615/15100.0012304.SZ红相债15/301302020/9/1828/30100.0012301.SZ万顺债15/301302019/1/2815/20100.0012304.SZ天铁债15/301302020/9/2530/30100.0012801.SZ金禾债15/301302018/8/0715/15100.0012802.SZ兄弟债20/301302018/6/0420/25100.0012300.SZ国祯债15/301302018/5/3015/30100.0012304.SZ应急债15/301302020/0/1616/30100.0011800.SH嘉元债15/301302021/9/0130/30100.0012305.SZ聚飞债15/301302020/0/2015/15100.0012305.SZ飞鹿债15/301302020/2/1115/15100.0012802.SZ太阳债15/301302018/6/2815/15100.0011362.SH伯特债15/301302022/1/0530/30100.0012803.SZ天康债15/301302018/6/2827/30100.0012305.SZ思特债15/301302020/2/1615/15100.0012305.SZ美联债15/301302021/1/0715/17100.0011362.SH彤程债15/301302021/8/0230/30100.0011362.SH傲农债15/301302021/9/1615/30100.0012803.SZ金农债15/301302018/9/1715/15100.0011361.SH美诺债15/301302021/7/2015/15100.0011361.SH韦尔债15/301302021/7/0526/30100.0011361.SH金诚债15/301302021/6/2930/30100.0012306.SZ苏试债15/301302021/1/2715/18100.0012809.SZ奥佳债15/301302020/9/0230/30100.0012303.SZ通光债15/301302020/5/0826/30100.0012308.SZ万转215/301302021/6/1715/23100.0012701.SZ希望债15/301302020/7/0930/30100.0011005.SH伊力债15/301302019/9/2315/15100.0013201.SH18化EB15/301302019/4/2515/21100.0012700.SZ模塑债20/301302017/2/0820/20100.0012814.SZ日丰债15/301302021/9/2715/28100.0011006.SH天路债15/301302020/5/0615/15100.0011006.SH川投债15/301302020/5/1515/15100.0011302.SH华钰债15/301302019/2/2015/23100.0011302.SH明泰债15/301302019/0/1615/24100.0012309.SZ一品债15/301302021/8/0329/30100.0012700.SZ湖广债15/301302019/1/0415/22100.0012311.SZ三角债20/301302021/1/3029/30100.0012814.SZ润建债15/301302021/6/1515/15100.0012311.SZ万讯债15/301302021/0/1415/20100.0011301.SH小康债15/301302018/5/1115/19100.0012812.SZ齐转215/301302021/2/2615/18100.0012810.SZ联创债15/301302020/9/2115/18100.0012813.SZ洁美债15/301302021/5/1015/18100.0012310.SZ震安债15/301302021/9/2230/30100.0011007.SH精达债15/301302021/2/2515/17100.0013201.SHG峡B115/301202020/4/1315/17100.0011303.SH嘉泽债15/301302021/3/0115/15100.0012309.SZ天壕债15/301302021/6/3015/24100.0011305.SH节能债15/301302021/2/2726/30100.0011352.SH维格债15/301302019/7/3015/15100.0011352.SH联泰债15/301302019/7/2915/30100.0011352.SH台华债15/301302019/6/2115/15100.0012308.SZ海兰债15/301302021/6/1715/16100.0012810.SZ华统债15/301302020/0/1615/15100.0012810.SZ蓝帆债15/301302020/2/0315/20100.0011350.SH艾华债15/301302018/9/1015/27100.0011004.SH福能债15/301302019/6/1415/19100.0012810.SZ楚江债15/301302020/2/1015/15100.0012811.SZ中矿债15/301302020/2/1730/30100.0012702.SZ中钢债15/301302021/9/2715/30100.0011004.SH广电债15/301302019/1/0323/30100.0011304.SH晶科债15/301302021/0/2930/30100.0011304.SH旗滨债15/301302021/0/1515/20100.0012308.SZ九转215/301302021/6/2521/21100.0012310.SZ昌红债15/301302021/0/0815/