Investor behaviour and reaching for yield: Evidence from the sterling corporate bond market

We provide evidence on how corporate bond investors react to a change in yields, and how this behaviour differs in times of market‐wide stress. We also investigate ‘reaching for yield’ across investor types, as well as providing insights into the structure of the corporate bond market. Using proprietary sterling corporate bond transaction data, we show that insurance companies, hedge funds and asset managers are typically net buyers when corporate bond yields rise. Dealer banks clear the market by being net sellers. However, we find evidence for this behaviour reversing in times of stress for some investors. During the 2013 ‘taper tantrum’, asset managers were net sellers of corporate bonds in response to a sharp rise in yields, potentially amplifying price changes. At the same time, dealer banks were net buyers. Finally, we provide evidence that insurers, hedge funds and asset managers tilt their portfolios towards higher risk bonds, consistent with ‘reaching for yield’ behaviour.     

试论中国国债的创新与发展

中国国债在国民经济发展中发挥了重要作用,为社会主义经济建设聚集了大量资金,为全面实施财政政策和货币政策提供了保证,应从改变国债利率、增加国债品种及优化国债期限结构等方面发展中国国债市场。     

Debt Issue Costs and Issue Characteristics in the Market for U.S. Dollar Denominated International Bonds

This paper analyzes the issue costs and initial pricing of bonds in the international market. In particular, we investigate the determinants of three components of issue costs: underwriter fee, underwriter spread (the difference between the offering price and the guaranteed price to the issuer), and underpricing (the difference between the market price and the offering price). Total underwriter compensation increases with the bonds' credit risk and maturity, but it is insignificantly related to issue size. Interestingly, underwriters appear to price some issue characteristics directly (by adjusting the fee) and other characteristics indirectly (by setting the guaranteed price). The two compensation components (fee and spread) are negatively related to each other. We provide evidence that this trade-off is consistent with income tax considerations, as well as with two-tier pricing by underwriters. We find no evidence of underpricing.     

香港发行人民币债券的效应与对策分析

在香港发行人民币债券，既是香港特区政府多年来的愿望，也是人民币国际化的重要一步，因此具有极其重要的意义。本文通过在香港发行人民币债券对内地和香港的积极作用和消极作用的分析，提出了在港发行人民币债券应注意的问题以及相关对策建议。     

Should more local governments purchase a bond rating?

We investigate whether issuers that choose to forgo a bond rating suffer an interest cost penalty greater than the cost of the rating. We use estimated ratings provided by Moody’s Investor Service to proxy for what the rating would have been if it had been purchased. We find that the primary factors associated with an issuer’s decision to purchase a rating are the rating expected by the issuer and the extent to which an issue is marketed locally. After controlling for self-selection bias, we find that the issuers that forgo a rating do not suffer an interest cost penalty.

浅议我国股票发行制度改革及对券商的影响

本文论述了我国股票发行制度从额度审批制到核准制,又到保荐人制的演变过程及其影响。同时阐述了券商投行在新的保荐制度下的应对策略。     

From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

对我国企业债券市场失衡发展问题研究

在融资工具中,企业债券在微观和宏观方面都有着独特的作用,本文将我国企业债券市场的发展相对失衡的实际情况与国际发达资本市场进行了比较,对我国企业债券市场发展的制约因素进行了分析,并在分析的基础上从发行制度、流通市场、信用评级等方面提出了改革建议。     

The tax (dis)advantage of a firm issuing options on its own stock

It is common for firms to issue or purchase options on the firm's own stock. Examples include convertible bonds, warrants, call options as employee compensation, and the sale of put options as part of share repurchase programs. This paper shows that option positions with implicit borrowing—such as put sales and call purchases—are tax-disadvantaged relative to the equivalent synthetic option with explicit borrowing. Conversely, option positions with implicit lending—such as warrants—are tax-advantaged. I also show that firms are better off from a tax perspective issuing bifurcated convertible bonds—bonds plus warrants—rather than an otherwise equivalent standard convertible.     

可转换债券市场价格与其基准股票市盈率关系初探

本文试图探讨可转换债券市场价格与其基准股票市盈率间的关系。从理论上分析,市盈率作为一个较易获得的市场指标,包含了上市公司增长机会(growth opportunity)的信息,反映了投资者对未来股价上升的预期。同时可转换债券的价格对其基准股票价格未来上升的可能性十分敏感,因此市盈率与可转换债券市场价格间应存在一定关系。但根据对上海证券交易所转债的实证分析得到:目前我国转债的市场价格与其基准股票市盈率间的关系并不显著,因而市盈率指标不能作为判断转债投资价值的有效依据。