我国债券型开放式基金申赎行为的实证研究

债券型基金和偏股型基金的投资对象有所不同,在其申赎行为的影响因素上也自然有所不同。文章对影响我国债券型基金申购和赎回的主要因素进行了实证研究,结果表明在我国债券型基金的投资者中存在着"处置效应",也即是投资者倾向于赎回高收益率基金而持有低收益率基金,但并不存在收益率越高、净赎回越多的"赎回困惑"现象。另外,市场利率对债券型基金的申购和赎回也有重要影响。     

债务结构优化与企业创新——基于企业债券融资视角的研究

本文在我国保持宏观杠杆率基本稳定及实施创新驱动发展战略的现实背景下,从债券融资的视角,探讨债务结构优化对企业创新的影响。研究发现,债券融资与企业创新之间显著正相关,表明债券融资优化企业债务结构、提升企业创新能力的积极作用占据主导地位。进一步研究表明:(1)债券融资能够通过降低整体债务融资成本并延长整体债务期限促进企业创新;(2)债券融资对于银行贷款存在溢出效应,即企业通过债券融资,还能降低银行贷款利率、延长银行贷款期限,进而促进企业创新;(3)产品市场竞争和代理问题会在一定程度上削弱债券融资对企业创新的促进作用;(4)不同类型的债券对企业创新能力的作用存在异质性,债券发行的便利性是其影响企业创新的一个重要因素。     

金融全球化时代国家货币的命运:过去、现在与未来

主权意义上的国家货币是近代历史的产物。在19世纪,经济民族主义、国内统一市场、军事财政改革、新工业技术共同建构出现代国家货币。而金融全球化冲击着国家货币与货币主权,呈现出一个市场,一种货币的时代特点。这一特点的根源仍然在于国家货币的历史结构。但是,国家货币仍将在未来相当长的一段时期内是国际货币格局的主导形态。     

Bond pricing in a hidden Markov model of the short rate

Abstract. We consider a diffusion type model for the short rate, where the drift and diffusion parameters are modulated by an underlying Markov process. The underlying Markov process is assumed to have a stochastic differential driven by Wiener processes and a marked point process. The model for the short rate thus falls within the category of hidden Markov models.     

非金融企业债务融资工具非公开定向发行研究

为促进银行间债券市场需求的差异化、多样化,活跃市场交易、推动市场发展,中国银行间市场交易商协会于2011年4月29日发布《银行间债券市场非金融企业债务融资工具非公开定向发行规则》。这是我国银行间债券市场发行方式上的一大创新。本文在对银行间债券市场发展历程进行回顾的基础上,对非公开定向发行的主要特点与运行制度安排进行了详细分析。比较了非公开定向发行与公开发行的六点差异。在此基础上,本文列举了推出非公开定向发行方式的四点重要意义。最后,本文对发展中应予重视的五类风险进行了系统剖析。     

中国信用风险缓释工具创新试点最新进展

信用风险缓释工具（CRM）是2010年我国债券市场最重要的信用风险管理创新工具,它将短期融资券、中期票据等信用类债券的信用风险剥离定价,并转移给愿意承担风险的投资者。本文通过对CRM试点过程中存在的投资主体单一、市场机制不完善及外部环境建设滞后等问题进行了深度剖析,并有针对性地从投资者培育、信用评级与定价、做市商机制、交易信息披露、信用事件处理、以及监管会计税收法律制度建设等方面提出政策建议,以利于CRM市场的可持续发展。     

Firm Shutdown During the Financial and the Sovereign Debt Crises: Empirical Evidence from Portugal

This paper examines Portuguese firms’ survival over the business cycle and investigates whether the effect of firm size varies across the phases of the cycle and with the type of shock associated with periods of economic contraction. Our results show that smaller firms are more likely to shut down than larger firms. Within each size band, however, we found that during the two crises examined, micro firms experienced hazards of closing (relative to large firms) at least similar to those observed in the pre-crisis period, while medium-sized firms were found to have been more vulnerable during the financial crisis period but showed more resilience during the sovereign debt crisis. The results suggest that during the sovereign debt crisis, firms faced a higher probability of closing than they did during the financial crisis.     

The dynamic interactions among the stock,bond and insurance markets

This paper explores the lead–lag relationships and the dynamic linkages among stock, insurance and bond markets in the developed countries. This is the first empirical study which sheds light on the extent and magnitude of the association among these financial markets used by the Granger causality test of Toda and Yamamoto (1995), generalized impulse response approach, and generalized variance decomposition in a multivariate setting. Our empirical results illustrate that there are indeed various patterns of dynamic relationships. The direction of causality appears to differ across countries. While investigating these interactive relationships under unexpected shocks, there is a one-way significant influence between the life insurance premium and long-run interest rate. These empirical findings serve as valuable applications not only for investors to diversify their risk away as well as to earn the abnormal return, but also for policy-makers to allocate resources more efficiently.     

Margin trading,short selling,and bond yield spread

Using a quasi-natural experiment, this study examines the effects of margin trading and short selling on bond yield spread in China. It finds that both margin trading and short selling can reduce bond yield spread. Additionally, it finds that margin trading lowers firms’ debt ratios and increases their credit ratings, which explains the reduced spread. In other words, margin trading can impact investors’ decisions by revealing positive information about a firm. Another finding is that short selling lowers the bond yield spread by decreasing earnings management, suggesting that short selling has an impact on investors’ decisions through its effect on corporate governance. Our results suggest that margin trading transmits positive information and short selling impacts firms’ policies. These results provide support for future regulations of margin trading and short selling.     

Locational effects and the cost of corporate bonds: the role of information

The public yield spreads of bonds vary widely between Chinese provinces/municipalities, with the average for the highest province double that of the lowest one. Although we find that these patterns are mainly attributable to economic and legal conditions, locational effects like geographic distance and public firm credit ratings also appear to be contributory. We show that these effects are induced by different regional informational environments and are robust to controlling for potential endogenous location choices.