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Table 6 Analysis of mispricing

From: DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks

Variables

MAPE

t-value

\(constant\)

−0.0037**

(−2.25)

\(maturity\)

0.0012***

(3.01)

\(credit\)

0.0107***

(28.11)

\(amount\)

0.0001***

(26.28)

\(turnover\)

0.0025**

(2.05)

\(volatility\)

0.1617***

(59.30)

\(Dequity\)

0.0128***

(14.28)

\(Dbalanced\)

0.0027***

(3.89)

\(Dbond\)

−0.0119***

(−20.99)

\(Dbull\)

0.0143***

(18.87)

\(Ddirectionless\)

−0.0202***

(−11.46)

\(Dbear\)

0.0309***

(29.62)

\(Ditm\)

−0.0001

(0.59)

\(Datm\)

0.0001***

(2.80)

\(Dotm\)

0.0034***

(−34.93)

\(Dfin\)

−0.0163

(−13.54)

  1. Table 6 reports the results of the regression analysis. The mispricing is measured by MAPE defined in Eq. 43. \(maturity\) is the time to maturity in years, the numerical values for credit ratings are: \(AAA=1\), \(AA+=2\), \(AA=3\), \(AA-=4\), \(A+=5\), \(A=6\), \(amount\) is the daily average trading amount and \(turnover\) is the daily average turnover. \(volatility\)) is the volatility of underlying stock return. \(Dequity\) is a dummy variable that equals one for an equity-liked convertible bond and zero otherwise. \(Dbalanced\) is a dummy variable that equals one for a balanced convertible bond and zero otherwise. \(Dbond\) is a dummy variable that equals one for an bond-liked convertible bond and zero otherwise. \(Dbull\) is a dummy variable that equals one if the trade is executed in bull market and zero otherwise. \(Dbear\) is a dummy variable that equals one if the trade is executed in bear market and zero otherwise. \(Ddirectionless\) is a dummy variable that equals one if the trade is executed in direction-less market and zero otherwise. \(Ditm\) is a dummy variable that equals one for a in-the-money convertible bond and zero otherwise. \(Datm\) is a dummy variable that equals one for a at-the-money convertible bond and zero otherwise. \(Dotm\) is a dummy variable that equals one for an out-of-the-money convertible bond and zero otherwise. \(Dfin\) is a dummy variable that equals one if the issuer is a financial firm and zero otherwise. ***, ** and * denote significance at 1%, 5%, and 10%, respectively. The sample period is from January 01, 2010 through June 30, 2021 and includes 125,306 observations