Recognition versus disclosure of finance leases: Evidence from Japan

This study examines whether credit market participants—bond investors and credit rating agencies—treat recognized and disclosed finance leases differently when assessing firms’ credit risk in Japan. I use firms’ credit risk, measured by bond spreads and credit ratings, to investigate the relations between recognized versus disclosed finance lease obligations and firms’ credit risk following the adoption of Statement No. 13, Accounting Standard for Lease Transactions. For a sample of firms issuing new bonds, I find that, unlike recognized finance leases, disclosed finance leases are not associated with bond spreads. Moreover, the associations between recognized versus disclosed finance leases and bond spreads are substantially different. Conversely, recognized and disclosed finance leases are associated with credit ratings and are processed similarly when credit ratings are determined. Taken together, my results suggest that the sophistication of capital market participants influences their credit risk assessments of recognized versus disclosed finance leases.     

MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model that combines an accessible part taking into account the evolution of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed‐form formulas for the probability that the default occurs at critical political dates in a Markovian setting. Moreover, we introduce a generalized density framework for the hybrid default time and deduce the compensator process of default. Finally, we apply the hybrid model and the generalized density to the valuation of sovereign bonds and explain the significant jumps in long‐term government bond yields during the sovereign crisis.     

A hybrid information approach to predict corporate credit risk

This study proposes a hybrid information approach to predict corporate credit risk. In contrast to the previous literature that debates which credit risk model is the best, we pool information from a diverse set of structural and reduced‐form models to produce a model combination based on credit risk prediction. Compared with each single model, the pooled strategies yield consistently lower average risk prediction errors over time. We also find that while the reduced‐form models contribute more in the pooled strategies for speculative‐grade names and longer maturities, the structural models have higher weights for shorter maturities and investment grade names.     

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。     

Beyond Single-Factor Affine Term Structure Models

This article proposes a new approach to testing for the hypothesisof a single priced risk factor driving the term structure ofinterest rates. The method does not rely on any parametric specificationof the state variable dynamics or the market price of risk.It simply exploits the constraint imposed by the no-arbitragecondition on instantaneous expected bond returns. In order toachieve our goal, we develop a Kolmogorov-Smirnov test and applyit to data on Treasury bills and bonds for both the United Statesand Spain. We find that the single risk factor hypothesis cannotbe rejected for either dataset.     

Short sales, price pressure, and the stock price response to convertible bond calls

The announcement of a convertible bond call is associated with an average contemporaneous abnormal stock price decline of 1.75% and an ensuing price recovery in the conversion period. A price fall and the subsequent recovery suggest price pressure as the explanation for the announcement effect. However, in general the option to convert is not exercised early and hence, the increase in the number of shares outstanding does not occur at the announcement date. Instead, this paper argues and provides evidence that hedging-induced short selling causes at least part of the short-run price pressure.     

高强钢筋与高强混凝土的匹配问题

介绍了钢筋混凝土匹配问题研究的重要性,基于对钢筋混凝土结构发展的简述,对钢筋与混凝土的匹配问题进行了初步探讨。通过对普通钢筋与普通混凝土、普通钢筋与高强混凝土、高强钢筋与普通混凝土的粘结锚固性能分析,介绍了钢筋与混凝土之间的粘结匹配关系,对高强度钢筋与高强度混凝土而言,不存在两者不匹配的问题。     

我国企业债券市场发展的深层次思考

我国企业债券市场相对于规模庞大的国债市场和正在蓬勃发展的股票市场来说,存在着规模小、地位低、市场化不高、品种单一及流动性差等缺陷。产生这些缺陷的原因,在于我国目前还存在诸多制约企业债券发展的因素,比如法律法规不完善、发行制度存在缺陷、社会信用制度不健全以及发债企业自身的问题等等。有鉴于此,可以考虑通过修正和完善相关法律法规:从制度安排入手,在发行制度、交易制度、市场准入制度、信息披露制度等诸方面进行改革,为企业债券的发展拓展出较为广阔的空间;通过产权改革,塑造真正的企业债券市场主体;提高企业债券信用程度;调整企业债券的期限结构,不断进行品种创新,满足不同投资者的投资需求;增强企业债券的流动性,促进债券市场健康发展。     

制度环境的改善与我国房贷证券化的推进

实行房贷证券化,能够积极有效地推动银行和金融市场的发展,增强国家宏观政策施行的效果,从而促进经济社会的发展。借鉴美国等模式的经验,推进我国房贷证券化,需要构建适合我国MBS发展模式及其体制建设,为住房抵押贷款证券化提供发展空间,创造发展环境。     

美、日地方公债制度的比较研究及其借鉴

随着经济的发展和政府职能由管理型向服务型的转变，地方政府在提供公共产品方面的财政支出规模也随之扩大。为了解决地方政府资金供需之间的矛盾，允许地方政府发行债券已是大势所趋。对美、日发达国家地方公债的发行情况进行研究，会对我国地方政府发行公债有所启示。