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.     

On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

This paper investigates the existence of a correction mechanism for mis-pricing between Japanese stock and bond. By this correction mechanism we mean that when deviations occur from the equilibrium levels of the expected return differentials between stock and bond — the risk premium differentials, the market will tend to correct the mis-pricing and bring the expected return differentials back to the equilibrium levels. We assume that the yield spread between the predicted earnings price ratio of stock and the yield to maturity of bond reflects the risk premium between stock and bond, and estimate the equilibrium risk premium differentials and mis-prices between stock and bond by modelling their behaviors with a statistical yield spread model (SYS). Empirical results strongly indicate the existence of the mis-pricing correction mechanism, suggesting the inefficiency of securities markets.     

马铃薯在中国传播的技术及社会经济分析

本文从生物、技术及社会经济的角度考证马铃薯在中国传播的过程，重点对传播条件和传播障碍进行阐述，分析了20世纪中国的社会变迁和科技进步对马铃薯传播的影响，并进一步讨论马铃薯扩种对我国粮食生产和社会生活的作用。     

Do investors in Green Bond market pay a premium? Global evidence

We examine the pricing difference of Green Bonds (GB) and conventional bonds (CBs) in capital markets worldwide. Credit spread is used to observe whether investors would like to pay a premium for GBs over CBs. This study uses panel data regression with hybrid model to analyse daily observations over the period 2016 to 2017. We employ Option-Adjusted spread (OAS) to measure the credit spreads of bonds while controlling for bond specific, macroeconomic and global factors that influence the spread. With the hybrid model used in the panel data analysis, we were able to capture the fixed-effects of variables in a random effect model. We find that GBs are traded at a premium of 63 basis points (BPS), compared with a comparable corporate bond issue. We find that the green label provides issuers an incentive to raise funds through issuing GBs while providing investors an opportunity to diversify their investments returns. Our findings provide several implications to the major stakeholders driving the GB market to scale up the market to finance the required level of global green investment needs. We stress an urgent need to support the growth of the GB market to achieve sustainable development through mitigating climate change challenges.

Abbreviation GB: Green Bond; CB: Conventional Bond; YS: Yield Spread; BPS: Basis Points; OAS: Option-Adjusted Spread; PCSE: Panels Corrected Standard Errors; CPI: Consumer Price Index; GBPs: Green Bond Principles; CBS: Climate Bond Standard     

中国金融垄断的一个例证--实际利差扩大化

随着股份制商业银行的壮大和中小金融机构的兴起以及外资银行的进入，我国国有商业银行一统天下的局面有了很大改观，但是国有商业银行的垄断地位却没有发生根本性改变。国有商业银行依然凭借其垄断地位，直接或间接地获取垄断利润。本从国有商业银行存贷款利差分析入手，阐述了实际利差扩大化的产生机理，指出国有商业银行垄断地位是实际利差扩大化的制度基础，从而表明实际利差扩大化正是我国金融垄断的一个有力证据。     

Eurobond underwriter spreads

We examine the determinants of underwriter spreads on straight/fixed rate Eurobonds issued by US firms between 1990 and 1998. We find that underwriter spreads are influenced by: (i) the governing law as it influences the timely and orderly renegotiation of contract terms, with bonds governed by English law having significantly lower spreads; (ii) the distribution mechanism, with spreads higher on public issues than private placements; (iii) underwriter reputation, with more reputable underwriters charging higher spreads; and (iv) the choice of currency, with spreads higher in the less frequently used currencies and/or in currencies where underwriting activities are more concentrated.     

Risk sentiment and firms’ liquidity in the French market

This paper investigates the impact of risk sentiment on market liquidity by using panel data. We use six risk word lists; uncertain, weak model, negative, legal, opportunity, and environmental & social responsibility word lists to measure the risk sentiment. Concerning the liquidity proxies, we use three measures, quoted spread, effective spread, and adverse selection component. The results indicate that an intensive risk tone and uncertain information in annual reports lead to decreased liquidity. In addition we find that risk sentiment variable impacts the liquidity but not vice versa.     

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION

This paper studies the price‐setting problem of market makers under risk neutrality and perfect competition in continuous time. The classic approach of Glosten–Milgrom is followed. Bid and ask prices are defined as conditional expectations of a true value of the asset given the market makers' partial information that includes the customers' trading decisions. The true value is modeled as a Markov process that can be observed by the customers with some noise at Poisson times. A mathematically rigorous analysis of the price‐setting problem is carried out, solving a filtering problem with endogenous filtration that depends on the bid and ask price processes quoted by the market maker. The existence and uniqueness of the bid and ask price processes is shown under some conditions.     

Quote inefficiency in options markets

In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets, its presence, although not an arbitrage, is a severe market anomaly which we refer to as an inefficient quote. In an empirical study, we report evidence that indicates that in options markets both the frequency and the magnitude of these anomalies are substantial and we document puzzling patterns in their behavior.     

The leverage effect and the basket-index put spread

Benchmark models that exogenously specify equity dynamics cannot explain the large spread in prices between put options written on individual banks and options written on the bank index during the financial crisis. However, theory requires that asset dynamics be specified exogenously and that endogenously determined equity dynamics exhibit a “leverage effect” that increases put prices by fattening the left tail of the distribution. The leverage effect is larger for puts on individual stocks than for puts on the index, thus increasing the basket-index spread. Time-series and cross-sectional variation in the leverage effect explains option prices well.