I have not posted anything for quite a while because I was working on a book that I like it very much. I have finished it finally! And I also had a lecture on last Friday about Greenspan's book, The age of Turbulence. That was a very special book club, in which, all members are women. I have a lot to say about the lecture, but for now, I am going to talk about Convertible Bonds, CB.
A couple of years ago, when people (in Taiwan) did not know very well about CB, I traded CB quite a lot, and made some money. The only reason that I made money is, people don't know anything about CB, and think it was a low liquidity, exotic instrument. So its price was underestimated, until it was converted to common shares or it was put.
Low liquidity is not a serious problem, but lack of information was, and still is. People don't know where to get the required information, and even if they know, they are not able to manipulate it.
I built a CB system several years ago in the company. But now, I am out on my own, so I don't have Reuters or Bloomberg, and I don't have a team to maintain the database either.
Fortunately, a lot of firms have found the merits of CB and joined the market. Although they have taken all the fruit in the lower branches, they somehow provide happy free data.
Yesterday, started from these free data, I set up a free CB worksheet. It is easy to maintain, and no pains. The spread sheet is dirty and quick, so it is not fancy at all, but you have almost every thing. By the way, it is real time.
The only thing I did is to take a free CB list form the securities house, and build a excel spreadsheet with DDE functions. That’s all.
A couple of years ago, when people (in Taiwan) did not know very well about CB, I traded CB quite a lot, and made some money. The only reason that I made money is, people don't know anything about CB, and think it was a low liquidity, exotic instrument. So its price was underestimated, until it was converted to common shares or it was put.
Low liquidity is not a serious problem, but lack of information was, and still is. People don't know where to get the required information, and even if they know, they are not able to manipulate it.
I built a CB system several years ago in the company. But now, I am out on my own, so I don't have Reuters or Bloomberg, and I don't have a team to maintain the database either.
Fortunately, a lot of firms have found the merits of CB and joined the market. Although they have taken all the fruit in the lower branches, they somehow provide happy free data.
Yesterday, started from these free data, I set up a free CB worksheet. It is easy to maintain, and no pains. The spread sheet is dirty and quick, so it is not fancy at all, but you have almost every thing. By the way, it is real time.
The only thing I did is to take a free CB list form the securities house, and build a excel spreadsheet with DDE functions. That’s all.
13 comments:
Hi~ I'm very appreciate your investment viewpoints and articles!
Would you teach me about the "DDE"? and the detail of How to set up a "CB trading worksheet"?
I've tried to make a "CB trading worksheet" before.
But without auto update >_<''.
So , it is useless!
Best Regards!
My email is
hudson0629@gmail.com
Hudson兄您好，
歡迎來小站流覽，也很高興您不嫌棄我的文章。
Excel DDE連動需要有一個可以製造DDE資料流的看盤軟體，例如Bloomburg，路透社等。國內的看盤軟體有聲達的股市大亨。
股市大亨是收費軟體，但如果你在其合作券商開戶，就可以免費使用。我用的就是這個軟體。
要連動就是把股市大亨的報價畫面，整個拉進Excel就行了。就是滑鼠按著不放，拉進Excel即可連動。
如果您還有任何問題，歡迎隨時提出來，我會就我所知告訴您，請不要客氣。
另外，不一定要用英文溝通啦，我用英文寫部落格只是為了訓練自己，一方面練英文，一方面練思考，尤其是投資上的思考，如果我不能用英文表達，表示我的想法很可能只是中文詞語上的堆砌，而不具讓不同語言乘載的邏輯性。要提醒自己是不是有邏輯上的問題。
總之，歡迎您。不過我比較懶，很少寫文章是真的:)
linx兄您好～
其實我才67年次，直接叫我的名字就好了～
我所認識成功的投資人，都很懶 >_<'不過我很清楚這不是真的「懶惰」，而是為了要寫出邏輯思考嚴密的文章，都是需要花很多功夫和時間醞釀的！
你的文章都很有內容，使我增加了許多過去沒見過的知識，真的值得一而在再而三的讀它！再次感謝您的分享！
我本身不是學金融財經的，只是對股票投資很有興趣，假如問了蠢問題還請多多包含！
那就謝謝您了，歡迎隨時提出問題，大家一起討論。
Hi Linx:
Could I share that where to get free dadabas ?
Many thanks for your kindness!
Tyler
Dear Tyler,
The free database can be retrieved from the Mega Securities website http://bond.emega.com.tw/.
All the clients of Mega Securities are eligible to get these data.
Cheers,
Dear Linx:
Many thanks for you sending me a lot of free happiness.....
Around 2003, I use web inquiring function of excel to link yahoo web data base to update the CB price when I copied some CB information from a book. One year later, most those CB information become ineffective so that I stop to "watching" CB.
So nice to hear from you about the free information.
As you mentioned that "Although they have taken all the fruit in the lower branches", what kind of fruit they take? Are they very dangerous to 散戶? How to avoid their attack?
Cheers
Tyler :)
Dear Tyler,
I am pleased to learn that you are interested in CB and that you have made your own trading program by Excel. Your investment must be very profitable.
By "they have taken all the fruit in the lower branches", I meaned that there is no easy money in CB any more. You have to buy them with fair prices.
That is, we may not make big money by trading CB along. But the fair prices also imply that we may not lose big money either.
You can not be attacked with fair prices.
That is my personal opinion.
Comments welcome.
只是個過路客，算是Hudson的朋友，看到你們對話中，你的這一句話：
You can not be attacked with fair prices.
怎麼說呢？即便是CB，而且是fair priced的CB，如果買進價格是遠高於債券價值，那麼，價格的波動可能還是很大的，畢竟那就相當於股權。
換個角度，即便是以低於債券面額的價格買進，還是有可能因為公司債信嚴重惡化而遭受極大的損失。
畢竟，不太可能發生的事情，與，不會發生的事情，本來就是兩回事。這不也是黑天鵝事件所討論的核心命題之一嗎？
或許您的fair prices有特殊的定義，如果是那樣的話，我倒是很有興趣進一步瞭解。否則，只是因為是「合理價格」，就可以放心，似乎，與金融操作的本質嚴重背離。
Jack Lin
Jack兄說得極有道理，即使買在fair也有賠錢的可能。我想，我不應該用attacked這個字，而且在用fair時，還混雜了接近或低於債券面額的想法，這實在是有問題。感謝您的指正，讓我對自己的說法，有更嚴謹的修正。
容我在這裡補充一下原本的意思:買在fair，至少沒有買到over-priced的permernant loss問題。
另外fair一般是用B-S去算出來的，沒有考慮fat tail的問題，而黑天鵝事件，有正面的，也有負面的。在fair的價位，買進一些選擇權，等候正面的異常波動出現；而股價上的負面黑天鵝事件，靠fixed income來cover，似乎就與槓鈴策略的概念頗為接近。
當然，fixed income部分本身也會受到黑天鵝事件的衝擊，除非是公債。所以，即使是大型績優公司的CB，其安全性也無法和公債相題併論。
但是否要以fair，而且在有適當程度的債券面額保護的價位下買進大型績優CB，以等待正面波動，我覺得仍然是個值得討論的問題。
過去我用這個策略的經驗是還可以(但不能擔保以後永遠都沒有問題，沒錯，火雞的1000天)。不過，我的真正問題出在我會在一時找不到「大型績優」公司的情況下，逐步把Credit條件放寬，且越放越寬，以為不會出事，但最後終於還是碰上了Default事件。這又是另一個投資紀律上的問題了。
最後，差點忘了說，歡迎Jack兄:-)
哈～看到linx和Jack精彩的回覆，讓我忍不住想要問幾個問題？
例如我今天用106.8元買進(61253)廣運三的可轉債，可轉換價格45.3（預計7/31起調整為39.4）
今天廣運的收盤價是42.1
按照一般所說的fair price指的是
(100000/45.3)*42.1=92936也就是說這檔CB的fair price是92.9元嗎？
若是用B-S模型的話fair price又是多少呢？
另外我付了106.8元買，是否代表我多付出了將近15％的溢價呢？
Hudson您好，
很高興再次見到你的留言:-)
92.9不叫fair，而是parity。fair就是CB的理論價值，考慮了選擇權、put、及reset等因素所計算出來的。一般以二元樹數值方法或蒙地卡羅法計算。計算出來的數值，每個人多少都會因所用的參數不同，而略有不同，但不會差太多。
目前國內許多的博碩士論文都有這方面的研究，我隨手在網路上就找到一篇:http://www.csie.ntu.edu.tw/~lyuu/theses/thesis_r91723053.pdf。
各家法人機構實務上都有自己寫的程式。市場上也有專門算國內CB的套裝軟體，但我沒用過。
financialcad有CB評價的function，您可以試用看看:www.fincad.com
其實沒有這些評價工具也不致於影響CB之投資，你大致上可以抓你花13元左右(106-93=13)去買這個選擇權+put+reset...等是否值得。
只要公司不倒閉，基本上這個投資架構就是以有限的成本去拿一個上檔無限的機會。就看你願意花多少的代價。
Hudson, Linx:
先謝謝Linx對我先前發言的回應。
看到你們討論ＣＢ，也發表一下淺見：
1. 61253是96年7月發行，15億，已被轉換數不過數百張。若全數轉換，對股本稀釋比例甚高。在進行公司評價時應考慮這部分的稀釋效果。
2. 61253發行時的原始轉換價是50元，去年除權息之後調為45.3元。其發行條件中的向下修正條款並未動用到，所以如果除權除息日前一天的股價低於45.3元的話，轉換價格還會再往下調，（也就是ｌｉｎｘ提到的reset。請自行參照廣運三公開說明書312頁轉換價格調整辦法）也就是，廣運三所附的選擇權比表面上看來更有價值。
因為有轉換價格重設條款，所以計算合理價格就變得更為困難。不過，可以先假設沒有重設條款，計算出選擇權價值，可以把所計算出的選擇權價值當成被相當程度低估的，從而去推論合理價值。
純粹就我個人看法，不用算大概都知道，這可轉債的市價是大幅低於理論價值。
可是，台灣CB市場有趣之處也在於此：這些被低估的CB總是一直維持被低估的狀態。尤其因為台灣特有的交易稅，以致於建構一個套利模式根本是不可能的。
我個人的看法是，除非覺得發行公司是值得投資的標的，否則，很難從中獲利。當然，換個角度，如果所看中的公司有便宜的CB可以買，那就是天賜良機了。
Jack Lin
Post a Comment