新兴的信贷衍生商品证券化市场

本文译自The Banker2001年7月号The Birth of a NeW Market一文,编译过程中有一定的补充和删节.资产证券化本来是成熟市场处理不良资产的重要手段之一,信贷衍生商品则是随着衍生商品技术的发展和市场规模的扩大而产生的新型金融工具,其价值日益受到重视.目前,金融工程师正致力于将资产证券化与信贷衍生商品结合起来,即通过对信贷衍生商品进行证券化提高资产的流动性,同时为投资者提供能满足其特殊需要的投资对象.尽管信贷衍生商品市场还处于发展的初期,但已展现出所有银行资产都能够证券化的诱人前景.当然,其中蕴含的高风险也对风险管理者提出了严峻的要求.     

ON IMPROVING THE PERFORMANCE OF THE MARKET MODEL

Data on 4,087 securities from 1988 to 1990 are used to test the relation between market model R² and trading volume. Eliminating high-volume observations increases R² by about 10 percent, confirming results previously reported. This study indicates that this improvement is possible by eliminating a small number of observations. It also indicates that this relation between R² and volume is unrelated to firm size.     

EMPIRICAL TESTS OF THE EFFICIENCY OF THE CURRENCY OPTION MARKET

Tests of a hedge and a rational boundary of the efficiency of the currency option market are conducted in this study. These tests use transactions data and account for the effects of currency and option bid/ask spreads, synchronization of option prices and underlying exchange rates, market depth, execution lags, and transaction costs. Currency options, unlike domestic stock options, exhibit continuous dividends. The nature of the option and of the data set employed makes the immediate exercise lower bound test one of the purest tests of market efficiency to date. Results reported here indicate no ability to earn abnormal economic or riskless arbitrage profit for the period when these tests are conducted.     

THE EFFECT OF MARKET CONDITIONS AND RISK CLASSIFICATIONS ON MARKET MODEL PARAMETERS

This article reports the results of tests used to detect shifts in market model parameters during bull and bear market conditions. The evidence indicates that the parameters exhibit nonstationarity during market advances and market declines for certain predetermined stock groups. Specifically, the parameters of stocks in high-risk and low-risk classifications behave as if they are affected by the alternating forces of bull and bear markets.     

国际金融衍生品市场分析

自1848年美国第一个期货交易所（芝加哥期货交易所）创立至今，衍生品市场已经有了160多年的历史。而纵观这160多年的发展历程，我们能清晰的认识到它的发展并不是一帆风顺。就像任何其他新生事物的出现一样，都需要经历一个由被怀疑到被认可、不成熟到成熟的过程。早期的衍生品市场因为缺乏制度的规范遭受过投机商的挑战，还曾数度被政府法令限制交易。     

市场有效理论及我国股票市场有效性的实证检验

我国股票市场近年来出现的一系列事件引发了人们的深刻思考,而传统的资本市场理论已无法圆满地解释我国股票市场现有的发展程度、发展阶段及有效性等问题.为此,本文提出了市场有效性理论.利用该理论,作者通过抽样统计,对我国股票市场的有效性进行了实证分析.本文的重点在于研究我国股票市场的发展层次即其有效性层次.首先通过随机游程和股价自回归检验方法得出了我国股票市场处于弱型有效的结论,然后针对目前关于有效性层次方面的争论,用事件研究法阐述了如下观点:我国股票市场目前正处于弱型有效市场层次,但并不具有半强型有效市场的特点.     

消费市场与商业银行的业务创新

我国商业银行推出消费信贷业务是一个顺应潮流的重大战略选择,其意义是多方面的.本文主要使用新古典经济学消费者行为模式和信息经济学的分析方法,借助消费者行为模式对国内消费市场现状从外部设定和内部设定两个方面进行分析,突出了外部设定变化对消费者行为的影响;使用信息经济学分析方法,重点指出了信息不对称是商业银行开展消费信贷的一大基本制约因素,从而论证金融创新必须以如何解决信息不对称为主题.本文的分析结论是:在解决信息不对称问题上,尽管仍离不开政府的作用,但银行的主角地位不容质疑;具体讲,创新的主题是大力推进消费信贷业务并使其尽快形成可盈利的业务规模.     

THE INFORMATION CONTENT OF ORDERS ON THE SAUDI STOCK MARKET

Using order data for the Saudi Stock Market (SSM), we employ a new specification of an existing vector autoregressive (VAR) model to assess the information content of a newly submitted order. As predicted by the asymmetric information models, we find that larger and more aggressive orders are more informative. Private information is more important for infrequently traded stocks. Compared with previous findings, our findings imply the presence of much asymmetric information on the SSM. The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably.     

THE EFFECT OF THE WPPSS CRISIS ON THE TAX-EXEMPT BOND MARKET

The 1983 default of the Washington Public Power Supply System (WPPSS) was the largest municipal default. Some writers contend that the default affected the entire municipal bond market. This study examines the effect of key WPPSS-related events on the general municipal market, tax-exempt public power district bonds, and WPPSS bonds, respectively. The results show that although certain events significantly affected all WPPSS bonds, these events did not affect the general municipal bond market or non-WPPSS public power bonds. The use of a standard event-time methodology with daily bond prices (as opposed to monthly yields) appears to provide a more powerful test of the effect of a municipal crisis on the tax-exempt bond market.     

THE EFFECTS OF COMPLEX CAPITAL STRUCTURE ON THE MARKET VALUES OF FIRMS

The familiar Modigliani and Miller risk class model is the basis of a test for differences in value between simple and complex capital structure groups of firms. Cluster analysis, using market risk measures and debt-equity ratio as input, provides the method for obtaining the risk class sample of firms. Crosssectional tests at three annual dates are made on twenty-six simple and twentysix complex capital structure firms. For all periods examined, the complex capital structure firms are valued lower than the simple capital structure firms. Possible explanations for the results include failure of the arbitrage mechanism and the presence of certain costs associated with different types of capital structures.