Wealth effects of convertible-bond and warrant-bond offerings: a meta-analysis

The literature on wealth effects associated with the announcements of convertible-bond and warrant-bond offerings is reviewed. The findings of 35 event studies, which include 84 sub-samples and 6310 announcements, are analysed using meta-analysis. We find a mean cumulative abnormal return of?1.14% for convertibles compared with?0.02% for warrant bonds, the significant difference confirming a relative advantage for warrant bonds. Abnormal returns for hybrid securities issued in the USA are significantly more negative than those issued in other countries. In addition, issuing hybrid securities to refund debt does not seem to be favoured by investors. Finally, several factors identified as important by theory or in prior research are not significant within our cross-study models, suggesting that more evidence is needed to confirm whether they are robust.     

The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach

Sovereigns mainly issue inflation-linked bonds (ILB) in order to save money. More than 15 years’ experience with this financial instrument in the United States has led to the conclusion that these bonds are characterized by low liquidity issues. Recently, various papers have started to analyze the impact of liquidity on ILB yields. This paper develops a new strategy for estimating the liquidity premium based on Campbell and Shiller's (1996) hypothetical ILB yields. We find significant effects of ILB-specific liquidity measures for the United States, the United Kingdom and Canada. Based on these findings, we derive the liquidity premium in ILB yields, liquidity-adjusted estimates for the break-even inflation rate and the inflation risk premium. In the United States, for instance, the average of the liquidity premium is 0.56%-points, and the average liquidity-adjusted break-even inflation rate and inflation risk premium amount to 2.67%-points and 0.22%-points, respectively.     

论我国政府融资格局变化中国债的重要性

从国债产生之初,古今中外经济学者对国债的效应进行了大量的理论与实证研究.从我国1979年经济体制改革以来的政府融资格局变化的过程入手,分析融资格局变化过程中各种融资方式的变化,通过国债与其他融资方式的比较,分析国债在此过程中的重要性,在目前严峻的金融形势下尤其显得重要.     

Collective bargaining under perfect information. The negotiation of national agreements

We structurally estimate a perfect information bargaining model of collective negotiations using data on national agreements for Spain. The model is a stochastic model of sequential bargaining in which we allow for the possibility of negotiations ending without agreement, a common feature in the data. Delays in equilibrium are the result of uncertainty about the surplus to be divided among the players and not of information asymmetries. The model fits the data well regardless of the limitations imposed by the parametric specification adopted. Our results show that agents are patient and that the advantage from proposing is large.JEL Classification: J50, C73, C78We thank Fabian Marquez, Sergio Santillan and Jose Maria Zufiaur for helping us to create the data base on Spanish National Agreements. We also thank Cesar Alonso, Juanjo Dolado, Gautam Gowrisankaran, Maia Guell, Antonio Merlo and participants at the 1999 European Meeting of the Econometric Society for very helpful comments. Jose E. Galdon thanks financial support from the following institutions: European Commission for a TMR Marie Curie Fellowship, Spanish Ministerio de Ciencia y Tecnologia for project BEC2002-00954 and Spanish Ministerio de Educacion, Cultura y Deporte for project PR2004-0057. He also thanks the hospitality of STICERD (LSE) and the IR Section (Princeton University) where part of this work was completed. The usual disclaimers apply.     

银行持债行为影响国债市场的实证研究

本文从2003年银行间国债市场的回购利率和国债收益率的角度出发,同时结合货币政策对银行的资金调节作用,对银行持债行为与国债市场之间的关系进行了实证研究,从而揭示出银行持债行为对国债市场的重大影响作用,并得出有关债券市场的三个基本结论。     

Debt rescheduling and the choice between bonds and loans for LDCs' foreign debt

This paper examines less developed country (LDC) borrowers' choice of financing methods. I devleop and test the hypothesis that ex-ante consideration of rescheduling affects LDC borrowers' choice between bonds and commercial loans. Banks can monitor and distinguish between permanent and temporary shocks, while bondholders cannot. Therefore, debt rescheduling based on the nature of economic shocks is feasible with loan financing. Our empirical findings indicate the debt rescheduling is considered exante in LDC lending. In addition, default risk and contract size affect the choice of financing instruments.     

借鉴美国经验 完善我国债券结算代理业务

我国债券结算代理业务发展迅速,但也逐渐暴露出结算机制不够完善、客户服务意识不强、产品单一等问题。借鉴美国经验,本文建议建立以中央对手方（CCP）和净额结算为基础的债券结算机制,完善证券托管清算机构组织模式,培育独立评级机构,发展机构投资者,发挥行业自律组织的作用,建立以客户为中心的服务体系。     

关于三月浮息债负利差产生的原因与投资建议

该文基于Shibor报价工作实践,首先从投资者类型、债券流动性等多角度列举了浮息债定价的影响因素,分析了当前3M_Shibor浮息债利差持续为负的原因,然后在探讨归纳3M_Shibor的定价机理和阐释近期Shibor报价新特征的基础上,对3M_Shibor中期走势进行展望,并就投资3M_Shibor浮息债时需关注的问题予以提示。     

基于KMV模型的地方政府债券信用风险问题研究

借助于KMV模型的思想建立了地方政府债券信用风险模型,进一步探讨了模型的概率分布形态以提高模型的预测精度;并在确定预测标准后,针对2009年已发行地方政府债券的部分省市计算了各地安全发债规模。研究表明,基于KMV模型的地方政府债券信用风险模型具有很强的应用性和很好的推广前景;实践中,在对发债主体进行科学选择的基础上,通过该模型能实现对发债规模的控制,达到防止其发生信用风险的可能;同时,所选样本省市(除新疆外)的预测安全发债规模和实际发债额是合理的和安全的。因此,应建立一套科学规范的地方政府债券风险防控机制,以保证地方政府债券的健康发展。     

The impact of news,oil prices,and global market developments on Russian financial markets1

This paper analyses the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets depends upon the degree of financial liberalization. The higher the degree of financial liberalization, the stronger is the impact of US stock returns on Russian financial markets. In addition, banking reform and interest rate liberalization efforts seem to dictate the globalization of Russian stock markets, while it is the progress in liberalizing securities markets and non‐bank financial institutions that matters more for the globalization of Russian bond markets.