城投债对地区产能过剩的影响：促进还是抑制*

在构建城投债影响产能过剩的理论基础上，以我国2004-2016年地级市面板数据为样本，本文检验了城投债影响产能过剩的具体效应和相关机制。研究发现：城投债与地区产能过剩之间呈现U型关系；其中城投债对产能过剩的影响在中西部地区、南方地区、大城市和金融危机爆发后更为显著；机制检验表明，地方政府借助城投债压低工业用地价格和投资交通基础设施会加剧产能过剩，且压低工业用地价格带来的效应更为严重。因此，本文从适度控制债务规模、改善体制激励措施和完善要素定价机制等方面提出相应建议。     

Do mutual fund flows affect the French corporate bond market?

We study whether investors’ withdrawals from mutual funds affect corporate bond prices. As mutual funds have become major players in the financial markets, they are likely to exert downward pressures on asset prices when facing investors’ redemptions, particularly in the less liquid markets such as corporate bonds. We use a novel dataset on the French bond funds and show that both flows in and out of mutual funds lead to a significant effect on the corporate bond yields. This effect is asymmetric as redemptions provoke a change in yields of greater magnitude than inflows. Moreover, all corporate bonds are not equally affected by investors’ withdrawals from funds: The more a bond is detained by funds, the higher the impact of redemptions on its yield. These three results are robust to various changes in econometric specifications.     

Which Factors Affect Bond Underwriting Fees? The Role of Banking Relationships

The question of which factors are relevant in determining bond underwriting fees is empirically investigated by analysing 2,202 bond issues completed by European firms during the 1993 – 2003 period. Four major results emerge from the analysis. First, the introduction of the single currency in 1999 has generated an increase in competition among banks, and, as a result, a reduction in underwriting fees. Second, a strong relationship with the issuer's main bank reduces the level of underwriting fees. Third, new issuers are charged with lower underwriter fees relative to firms that have completed issues without building any strong relationship with a bank. Fourth, higher reputation banks charge lower underwriting fees. The implications of these findings are also discussed.     

Impact of the global financial crisis on Islamic and conventional stocks and bonds

This study explores the impact of the global financial crisis (GFC) on Islamic and conventional stock and bond indices in 11 Islamic and eight non‐Islamic countries. We find that there are benefits of Islamic stocks during the GFC, particularly during the early stage of the crisis because Islamic institutions are prohibited from holding sub‐prime mortgage securities and derivatives. The strongest benefits of Islamic stocks are in the UK and USA. We conclude that there are benefits of risk reduction and stability for Islamic stocks during a financial crisis, although not necessarily during a global recession.     

A structural framework for modelling contingent capital

This paper develops a structural model of contingent capital. In contrast to existing approaches we explicitly link the firm’s total payout to its cost of debt, leading to a total payout that is linear in—as opposed to proportional to—asset value. In the special case that asset value evolves as affine geometric Brownian motion we derive closed-form expressions for limiting (i.e. perpetual) bond values. The proposed model is flexible, so that it can be used to gauge the relative merits of different variations of contingent capital, and parsimonious, so that it is relatively easy to implement in practice. An empirical example using data from the Canadian banking sector is provided that illustrates how the model can generate insights into problems that are of interest to both regulators and issuers of contingent capital (e.g. what range of conversion prices would be consistent with regulatory guidelines, and how expensive is contingent debt over this range).     

The demand for eurozone stocks and bonds in a time-varying asset allocation framework

This paper analyzes the short and long-run demand for traditional financial asset classes in eleven founding eurozone members. Our sample period starts from the introduction of euro till 2017. We calculate the welfare losses stemming from ignoring the demand for domestic and eurozone equities and bonds, for various levels of risk aversion. Our results show that the bonds of eurozone countries are, in general, desirable for short-run only. However, in Ireland, Portugal and Spain the bonds are desirable for both short-run and long-run investment horizons. Stocks exhibit both short-run and long-run desirability for all countries except Greece. The Greek stocks are desirable for short- run only.     

Preferential Regulatory Treatment and Banks' Demand for Government Bonds

The purpose of this paper is to analyze the impact of preferential regulatory treatment on banks' demand for government bonds. Using unique transaction‐level data, our analysis suggests that preferential treatment in microprudential liquidity and capital regulation significantly increases banks' demand for government bonds. Liquidity and capital regulation also seem to incentivize banks to substitute other bonds with government bonds. We also find evidence that this “regulatory effect” leads banks to reduce lending to the real economy.     

A generalized algorithm for duration and convexity of option embedded bonds

This article derives a generalized algorithm for duration and convexity of option embedded bonds that provides a convenient way of estimating the dollar value of 1 basis point change in yield known as DV01, an important metric in the bond market. As delta approaches 1, duration of callable bonds approaches zero once the bond is called. However, when the delta is zero, the short call is worthless and duration of callable will be equal to that of a straight bond. On the other hand, the convexity of a callable bond follows the same behaviour when the delta is 1 as shown in Dunetz and Mahoney (1988) as well as in Mehran and Homaifar’s (1993) derivations. However, in the case when delta is zero, the convexity of a callable bond approaches zero as well, which is in stark contrast to the non-zero convexity derived in Dunetz and Mahoney’s paper. Our generalized algorithm shows that duration and convexity nearly symmetrically underestimate (overestimate) the actual price change by 11/10 basis points for ± 100 basis points change in yield. Furthermore, our algorithm reduces to that of MH for convertible bonds assuming the convertible bond is not callable.     

中国上市公司可转债发行动因:“后门权益”VS“代理成本”

本文以中国上市公司2002—2008年发行的可转债为研究样本进行实证研究,发现可转债发行公告的财富效应与该可转债实现转股可能性的预期正相关,具体而言,与发行公司的成长机会、财务困境风险水平正相关,并且与整体股市的状况也紧密相关。进一步结合可转债退市的分析表明,中国上市公司可转债融资是一种典型的后门权益融资。实证研究的结果不支持基于代理成本的动因假说。     

盲校初中语文课堂教学改革之我见

盲校语文教学效率不高主要有以下原因,盲文与汉字的转译带来的系列问题(如难以确定具体的音调、没有汉字的音形意结合;盲文阅读的速度慢、盲文书写的速度不快),这些因素严重制约了盲校语文活动的有效开展,突出表现在文言文和诗歌教学、课堂时间不足、课堂练习难以开展等。