THE INFORMATIONAL CONTENT OF BOND RATINGS

This paper explores the risk structure of interest rates. The focus is on whether yields on industrial bonds indicate that market participants base their evaluations of a bond issue's default risk on agency ratings or on publicly available financial statistics. Using a non-linear least squares procedure, the yield-to-maturity is related to Moody's rating, Standard and Poor's (S&P) rating, and accounting measures of creditworthiness such as coverage and leverage. Market yields are found to be significantly correlated with both the ratings and a set of readily available financial accounting statistics. These results indicate (1) that market participants base their evaluations of an issue's creditworthiness on more than the agencies' ratings and (2) that the ratings bring some information to the market above and beyond that contained in the set of accounting variables. The paper also asks whether the market views Moody's and Standard and Poor's ratings as equally reliable measures of risk or whether the market attaches more weight to one agency's ratings than the other. Finally, the hypothesis that the market pays more attention to the accounting measures and less to the ratings if the rating has not been reviewed recently is tested.     

我国资本市场的发展对我行的影响及其对策

改革开放20年来,中国资本市场不断发展壮大,为我国经济的平稳增长、融资体制的变革和国有企业改革的深入进行做出了重要贡献,也影响到社会经济生活的方方面面,尤其是给作为间接融资主体的商业银行带来了很大的冲击.债券市场、股票市场的发展不仅改变了我行的外部经营环境,也极大地影响了我行的资产业务、负债业务和表外业务.为此,在中国加入WTO之际,我行必须积极筹划,制定合理战略及具体应对措施,在竞争更为激烈的市场中获得优势.本文从对资本市场的现状和发展趋势的阐述出发,在具体分析对我行业务发展影响的基础上,提出了我行的应对思路和具体措施.     

THE EFFECTS OF BANK CONSOLIDATION ON RISK CAPITAL ALLOCATION AND MARKET LIQUIDITY

We investigate the effects of financial market consolidation on the allocation of risk capital in a financial institution and the implications for market liquidity in dealership markets. An increase in financial market consolidation can increase liquidity in foreign exchange and government securities markets. We assume that financial institutions use risk‐management tools in the allocation of risk capital and that capital is determined at the firm level and allocated among separate business lines or divisions. The ability of market makers to supply liquidity is influenced by their risk‐bearing capacity, which is directly related to the amount of risk capital allocated to this activity.     

试论商业银行业务与资本市场业务的耦合

耦合原指两个或以上的体系或运动形式之间通过各种相互作用而彼此影响以至联合起来的现象,本文借以表示商业银行通过资本市场进行业务创新.在金融自由化、全球化趋势不可阻挡的大背景下,我国面临金融深化的迫切需要.笔者先简介了国外商业银行业务与资本市场业务耦合的背景与现实,同时说明我国商业银行通过资本市场进行创新的必要性.随后提出耦合的基本思路,包括商业银行自身通过资本市场进行直接融资,在业务对象选择和业务品种开发上密切与资本市场的联系;通过中间业务加强对资本市场的渗透,加大国际化步伐等.最后强调要为商业银行的创新提供必要的政策环境和制度支持.     

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.     

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.     

风劲好扬帆--李青原博士解读大力发展资本市场

"这是在党的文件中第一次用一整段谈到‘资本市场'的问题!现在,我们已经没有什么可争论的了,需要的就是实践."身为中国证券监督管理委员会规划发展委员会办公室主任的李青原博士,谈到十六届三中全会公报中关于大力发展资本市场的论述时,非常认真地对记者说了这番话."而目前,资本市场的当务之急就是解决股权割裂的问题,解决全流通的问题."     

FINANCIAL ACCOUNTING REPORTS: A MARKET MODEL OF DISCLOSURE: A REPLY

Walker in his Comment appears to disagree with the explicandum and attempts to prove this with alternative explicans. It is a case of post hoc, ergo propter hoc. The development of a normative model or theory requires the choice of a number of assumptions. These observations or statements are themselves theory laden. Nevertheless deductions drawn from the model are either correct or incorrect according to the laws of logic.     

FINANCIAL ACCOUNTING REPORTS: A MARKET MODEL OF DISCLOSURE: A COMMENT

In a recent paper Bird and Locke concluded "that a freely operating market for accounting information, unencumbered with disclosure requirements, can work efficiently". The purpose of this Comment is to explain why this conclusion is unjustified. In particular it argues that our present understanding of the socalled 'Market' for information is so limited that no presumption, either for or against the efficiency of this market, can be given unequivocal theoretical support.     

THE INFORMATIONAL CONTENT OF FORWARD RATES: FURTHER EVIDENCE

Using single-equation estimation techniques, researchers have generally found that forward rates have little ability to predict future spot rates. In this paper, Generalized Least Squares is used to estimate simultaneously the forecastive ability of multiple forward rates. It is discovered that current forward rates significantly predict future spot rates for various rate maturities up to twelve months ahead. Also found are instances in which the Treasury bill market does not conform to the weak form of market efficiency.