CB(전환사채)의 투자효율성에 관한 실증연구

CB(Convertible bond) is mezzanine security that have the characteristics of bonds and stocks. From theperspective of investors, the purpose of the research is to empirically investigate the degree of investmentefficiency of CB and to suggest efficient investment plans. The research method investigated the maturityinterest rate, conversion price, and conversion date for CB, and then linked it with daily stock pricefluctuations after the conversion date to determine the degree of investment efficiency and stock conversioneffect of CB. As a result of the study, it was analyzed that the ratio of the conversion price exceededdays was only about 1/4 of the conversion date, so the investment efficiency was low. The conversionday yield was -6.3% on average and the maturity day yield was -5.2% on average, showing a minus returnon average, which was calculated differently from investor expectations. It was analyzed that the numberof stocks with a minus conversion day is 2.4 times greater than the number of plus stocks and 3.7 timesmore than the number of plus stocks with a minus maturity return, so the expected return on stock conversionof CB is low. The research contribution was derived from the problem that the expected rate of returnof CB is not high, and it is that the investor's point of view when purchasing CB was established.