短期融资券发行利差结构分析

本文选取175只短期融资券为样本，研究各主要因素对短期融资券发行利差的影响。实证分析发现，短期融资券发行利差具有明显的期限结构，并受到发行规模、央票利率水平、企业性质和重大信用风险事件的显著影响，个另4行业和超大型企业也能享受一定的利差优惠。研究还表明，现阶段在发行人个体层面没有明显的利差结构性差异，表现为发行人财务指标对发行利差的影响不显著。     

Longevity Bonds: Financial Engineering, Valuation, and Hedging

This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice of the reference population index. The article also looks at valuation issues in an incomplete markets context and finishes with an examination of how LBs can be used as a risk management tool for hedging longevity risks.     

基于转股价修正条款的可转债定价

在研究可转债定价问题时考虑转股价修正条款是十分必要的。尤其是在2008年的熊市中,各可转债纷纷调低转股价,转股价修正条款给予投资者保护作用不容忽视。基于AFV模型,本文建立了包含转股价修正条款的定价模型,并利用有限差分法进行数值求解。     

The Valuation of Interest Rate Digital Options and Range Notes Revisited

The aim of this paper is to value interest rate structured products in a simpler and more intuitive way than Turnbull (1995). Considering some assumptions with respect to the evolution of the term structure of interest rates, the price of a European interest rate digital call option is given. Recall it is a contract designed to pay one dollar at maturity if a reference interest rate is above a prespecified level (the strike), and zero in all the others cases. Combining two options of this type enables us to value a European range digital option. Then using a one factor linear gaussian model and the new well‐known change of numeraire approach, a closed‐form formula is found to value range notes which pay at the end of each defined period, a sum equal to a prespecified interest rate times the number of days the reference interest rate lies inside a corridor.     

The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske—Johnson Technique

The Geske–Johnson approach provides an efficient and intuitively appealing technique for the valuation and hedging of American-style contingent claims. Here, we generalize their approach to a stochastic interest rate economy. The method is implemented using options exercisable on one of a finite number of dates. We illustrate how the value of an American-style option increases with interest rate volatility. The magnitude of this effect depends on the extent to which the option is in the money, the volatilities of the underlying asset and the interest rates, as well as the correlation between them.     

Seniority Differentials in High Yield Bonds: Evolution,Valuation, and Ratings

Almost 20 years ago, one of the coauthors of this article published a study that reported finding systematically wider yield spreads on senior corporate bonds than on subordinated bonds with the same credit rating, but issued by different companies. The study also showed that this difference in spreads did not represent a market “anomaly” or failure to price risk correctly, but instead reflected differences in the actual, and hence the expected, loss rates of the securities. And such differences were in turn shown to stem from the practice of the rating agencies—which was abandoned about ten years ago—of rating a given issuer's subordinated debt two “notches” below that of its senior debt. Partly in response to this finding, all of the major agencies modified their use of this “two‐notch” convention by initiating in‐depth fundamental analysis of subordinated issuers on a case‐by‐case basis. In the meantime, the near disappearance of subordinated debt in the high yield market since the global financial crisis and its partial replacement by secured debt has furnished the authors of this article with a seemingly related “anomaly” to explore—namely, the tendency of secured bonds to have higher yields than samerated senior unsecured bonds. As in the earlier study of the senior‐subordinated puzzle, the authors' analysis confirms that the market has been properly pricing the relative risks of the different securities by showing that the actual loss rates of the secured issues have been systematically higher than those of like‐rated senior unsecured issues. The clear suggestion of these findings, as in the case of the earlier study, is that those investors who have chosen to incur the costs of analyzing expected loss rates instead of relying solely on the ratings have been rewarded for their efforts. And if the past is a guide to the future, this article may also succeed in spurring the rating agencies to make further refinements to their methods.     

The Valuation of Stock Warrants: A Reply

The warrant model is shown to be serviceable for practical purposes, and some of Skerratt's criticisms are shown to be wrong. Nevertheless, there is scope for further work on the model, both on some of the points Skerratt has raised and in other areas.
On définit le modèle concernant le warrant comme étant destinéà des fonctions pratiques et on met en évidence certaines des critiques apportées par Skerratt qui semblent ma1 fondées. II faut toutefois ajouter qu'une etude plus approfondie du modele est entreprise, celle-ci s'appuyant à la fois sur certains points soulevés par Skerratt et sur d'autres critères.     

浮动利率债券基准利率设计研究

我国的浮动利率债券,利率基准较少变动,不具备避险功能.R07D利率能够及时反映货币市场的利率波动,与短期债券的收益率相关性很高,能够规避利率波动的风险.建议发行以R07D利率作为基准利率的浮动利率债券,以付息周期前一期的R07D平均利率为基准,每三个月支付一次利息.以结算数据作为R07D的数据源,更具有真实性和科学性.     

Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds

Tests of the uncovered interest rate parity (UIP) are subject to various data problems when long-term interest rates are applied: due to the long investment period, time intervals for measuring exchange rate movements are usually overlapping and therefore not independent. This shortfall can be prevented by considering short-term investments in long-term bonds instead of investments to maturity. This article analyzes the explanatory power of long-term interest rates with regard to 1- and 3-month exchange rate movements by relating return differences from 1- and 3-month investments in domestic and foreign 10-year government bonds to nine different exchange rates. From a Swiss perspective, there is only weak support for an interrelation between return differences and the corresponding exchange rate movements, whereas from a US perspective, the resulting estimates are much more in line with UIP.The reader may for instance consider Engel (1996) and Froot and Thaler (1990).     

The Behavior of the Interest Rate Differential Between Tax-exempt Revenue and General Obligation Bonds: A Test of Risk Preferences and Market Segmentation

This paper presents evidence that the yield differential between revenue bonds and similar general obligation bonds varies contracyclically with the level of economic activity. The evidence also indicates that significant investor-borrower induced market segmentation exists in the municipal bond market. An increase in the relative demand by commercial banks for tax-exempt securities and/or an increase in the supply of revenue bonds relative to the supply of general obligation bonds increase the yield spread between the two classes of debt. These findings were the result of a series of empirical tests with both macroeconomic and microeconomic data.     

Correction to: Appraisal Accuracy and Automated Valuation Models in Rural Areas

The Journal of Real Estate Finance and Economics - The article Appraisal Accuracy and Automated Valuation Models in Rural Areas, written by Alexander N. Bogin and Jessica Shui, was originally...     

资产评估与审计的协作和包容

企业进行资产重组,如合并、脱钩改制、破产清算等等,按照规定或者惯例都必须进行审计和评估.新的《企业会计准则第20号--企业合并》中虽然没有规定企业合并必须通过评估程序,而是采用“账面价值”或“公允价值”入帐,但是同时规定了要处理“企业合并发生的各项直接相关费用,包括为进行合并而支付的审计费用,评估费用”.     

基准地价修正系数法评估的风险研究

房地产价格评估的主要依据包括委托方提供的相关资料,国家的有关标准,地方政府公布的指导参考标准,估价人员的现场勘查收集资料、市场收集资料及估价经验,各种参考数据手册等.<中华人民共和国城市房地产管理法>规定,"基准地价、标定地价和各类房屋的重置价格应当定期确定并公布".当前,各地基本上均公布了基准地价.基准地价成为估价人员热衷采用的估价依据,甚至普遍把基准地价系数修正法作为地价评估的首选方法.这么做主要原因是,普遍认为该方法资料容易收集,价格标准是政府公布的,不会出现估价风险.     

我国企业债券的利率定价机制探析

目前,我国企业债券利率上限管制是制约企业债券发展的重要因素,利率定价市场化是企业债券市场化取向的核心内容,要大力发展企业债券市场,必须使企业债券的利率定价市场化,采用多元化的定价机制.     

The Endogeneity of Managerial Compensation in Firm Valuation: A Solution

Much of the empirical literature that has examined the functionalrelationship between firm value and managerial ownership levelsassumes that managerial ownership levels are exogenous and arethe only component of managerial compensation related to firmperformance. This assumption is contrary to the theoreticaland empirical literature wherein managerial compensation isendogenously determined and includes both shares and options.Using instruments for managerial compensation and panel datato control for unobservable heterogeneity in the firm's contractingenvironment, we estimate a system of simultaneous equations.We find that firms are in equilibrium when they endogenouslyset their chief executive officer's compensation.     

Callable Bonds: A Risk-Reducing Signalling Mechanism

The theory of financial economics has failed to distinguish advantages of callable bonds from those of short-term debt. This paper shows that either type of borrowing can signal a firm's better prospects but that short-term debt does so at the cost of weakened risk-sharing with capital markets. By issuing either equity or long-term, non-callable debt, a firm with poor investment opportunities will not pool its prospects with those of a better firm. But equity produces superior risk-sharing. Perhaps this explains the almost complete absence of long-term, non-callable bonds from observed corporate capital structures.     

大数据时代:从传统评估到自动估价系统

自动估价模型(简称AVM)在发达国家被广泛应用于多个领域。本文回溯了AVM的起源,并与传统评估模式进行对比分析;然后以房地产为例,阐述AVM在国际上的应用实践;最后结合中国国情,展现AVM在中国的应用前景。     

The Gap between the Theory and Practice of Corporate Valuation: Survey of European Experts

The valuation of companies or their assets is at the heart of most financing and investment decisions. Over the last five decades, academics have developed several simple and sophisticated models for corporate valuation. Yet valuation estimates of a firm or its assets appear to vary widely among practitioners. It is unclear whether these differences arise from practitioners' use of different valuation models or from differences in their assumptions about the inputs used in those models. To provide some insights into this issue, the authors recently surveyed 365 European finance practitioners with CFAs or equivalent professional degrees. They find that almost all survey respondents use the Discounted Cash Flow (DCF) model (along with some version of Relative Valuation that relies on the use of “comparables”). But the estimation methods of such practitioners for almost all inputs in the DCF model, including beta, the equity market risk premium, leverage, cost of debt, and terminal value, vary widely. This can be a serious problem because even small differences in inputs can cause huge variations in valuations. Such differences arise primarily because theory provides little guidance on how to estimate parameters, leaving practitioners to make their own assumptions and judgments. In sum, the authors' findings suggest that the process of estimating valuation parameters can be as important as the choice of the valuation model itself, and requires the serious attention of academics and practitioners. The authors recommend that key valuation parameter estimates be disclosed in financial and valuation reports. Their findings are also relevant to policy makers because the concept of “fair value” plays such a central role in post‐crisis regulation.