我国企业债券市场发展缓慢的原因及对策

20世纪90年代以来,我国金融市场中的直接融资有了较快的发展,但是作为直接融资重要组成部分的企业债券融资数额却明显偏小。我国企业债券市场的发展滞后有着多方面的原因,本文分析了其中的一些原因,并有针对性地提出了促进我国企业债券市场发展的对策建议。     

我国企业债券市场发展缓慢的原因及对策

20世纪90年代以来,我国金融市场中的直接融资有了较快的发展,但是作为直接融资重要组成部分的企业债券融资数额却明显偏小.我国企业债券市场的发展滞后有着多方面的原因,本文分析了其中的一些原因,并有针对性地提出了促进我国企业债券市场发展的对策建议.     

发展企业债券市场的思考

我国企业债券市场发展中存在的主要问题是制度环境问题和市场能力问题。制度安排出现缺陷、市场能力低下特别是市场流动性差是造成我国企业债券市场不发达的主要原因。     

我国银行间债券市场流动性分析

2003年我国银行间债券市场成交量达到15.12万亿元,比2002年的10.63亿元增长了42.28%.其中,回购成交11.97亿元,增长16.23%;现券成交3.16万亿元,增长了6.27倍,成为银行间债券市场的一大亮点.     

拓展企业债券市场的途径

企业债券作为一种直接融资的手段,在我国已经经历20年的风雨,为我国经济的发展作出了积极的贡献。但由于政府干预过多、发债主体单一、市场流动性不足、企业积极性不高、信用评级体系不完善等因素的影响,在一定程度上制约了企业债券市场的发展。     

企业债券市场发展滞后的原因与对策

债券市场的发展影响我国国有企业改革和市场经济体制的建立，分析债券市场发展滞后的原因并提出相应的对策。     

我国企业债券市场流动性测度研究

流动性在资本市场中占据着重要地位。国内外学术界对流动性概念及其测度方法都进行了大量的探讨,但是由于流动性有着多维属性,所以直到目前还不存在一个被学术界普遍认可的、能够准确刻画市场流动性的指标。本文拟选择六个适用于我国交易所企业债券市场的流动性指标,运用主成分分析法构建出一个综合性的指标对市场流动性进行测度。     

发展企业债券市场的若干问题探讨

在我国发展非政府债券市场问题上，目前存在一个争论：我国是发展企业债券还是公司债券?一是因为在发达资本市场国家发行的是公司债券，而我国自20世纪80年代中期发展资本市场以来发行的都是企业债券；二是就我国有关法律法规而言，《公司法》和《企业债券管理条例》分别……     

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

This article reports the results of an experiment designed toassess the impact of last-sale trade reporting on the liquidityof BBB corporate bonds. Overall, adding transparency has eithera neutral or a positive effect on liquidity. Increased transparencyis not associated with greater trading volume. Except for verylarge trades, spreads on newly transparent bonds decline relativeto bonds that experience no transparency change. However, wefind no effect on spreads for very infrequently traded bonds.The observed decrease in transaction costs is consistent withinvestors’ ability to negotiate better terms of tradeonce they have access to broader bond-pricing data. (JEL codes:G14, G18, G23, G24, G28)     

产品市场势力、公司治理与股票市场流动性

本文实证研究了我国股票市场的流动性问题。结果表明,产品市场势力能够促进信息传递,提高股票的流动性。这种影响即使控制了公司治理因素依然显著,同时随着信息不对称程度的提高而更为明显。另外,在对股票流动性的影响上,产品市场势力与董事会规模、高管薪酬激励之间存在替代关系。同时,股权分散能增强产品市场势力的影响,但是产品市场势力会削弱股权分散的积极作用。     

Is Off–Board Trading Detrimental to Market Liquidity?

Dual trading can have opposite effects: although competition between markets should induce dealers to offer cheaper transactions, market fragmentation could reduce market activity, liquidity, and exchange efficiency. This paper shows that for French stocks traded on the London Stock Exchange's SEAQ International (SEAQ–I), market activity decreases significantly in the Paris Bourse during UK bank holidays. Thus, SEAQ–I market makers seem to divert a new clientele to the Paris Bourse, increasing both market activity and the breadth of the Bourse's order book. Also, contrary to the fragmentation hypothesis, dual trading does not seem to increase information asymmetry.     

Is Default Event Risk Priced in Corporate Bonds?

This article provides an empirical decomposition of the default,liquidity, and tax factors that determine expected corporatebond returns. In particular, the risk premium associated witha default event is estimated. The intensity-based model is estimatedusing bond price data for 104 US firms and historical defaultrates. Significant risk premia on common intensity factors andimportant tax and liquidity effects are found. These componentsgo a long way towards explaining the level of expected corporatebond returns. Adding a positive default event risk premium helpsto explain the remaining error, although this premium cannotbe estimated with high statistical precision.     

Market Liquidity and Ambiguity: The Certification Role of Corporate Governance

We investigate how firm‐specific certification practices through corporate governance can reduce perceived ambiguity and thus enhance liquidity of a firm in the stock market. We show that better corporate governance helps reduce ambiguity. In addition, a reduction in ambiguity is significantly related to higher liquidity of firms. Our results are robust to alternative model specifications and measures of ambiguity, and remain statistically significant after controlling for other known determinants of ambiguity and liquidity. Our results shed light on how ambiguity can be moderated through firm‐level certification practices and on the channel through which a moderation of ambiguity affects shareholder wealth.     

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

This article presents joint econometric analysis of interest rate risk, issuer‐specific risk (credit risk) and bond‐specific risk (liquidity risk) in a reduced‐form framework. We estimate issuer‐specific and bond‐specific risk from corporate bond data in the German market. We find that bond‐specific risk plays a crucial role in the pricing of corporate bonds. We observe substantial differences between different bonds with respect to the relative influence of issuer‐specific vs. bond‐specific spread on the level and the volatility of the total spread. Issuer‐specific risk exhibits strong autocorrelation and a strong impact of weekday effects, the level of the risk‐free term structure and the debt to value ratio. Moreover, we can observe some impact of the stock market volatility, the respective stock's return and the distance to default. For the bond‐specific risk we find strong autocorrelation, some impact of the stock market index, the stock market volatility, weekday effects and monthly effects as well as a very weak impact of the risk‐free term structure and the specific stock's return. Altogether, the determinants of the spread components vary strongly between different bonds/issuers.     

中期票据与企业债市场流动性的对比分析

流动性越高,金融产品的价格就会更加市场化.本文通过考察中期票据的流动性,验证中期票据比以往的相似融资工具--企业债更加适合市场的需求,进而对中期票据和企业债两种融资工具在发行制度和理念上进行对比分析,得出了中期票据在制度上更加适应市场化需求的原因,并提出相关政策建议.     

Money,Bonds, and the Liquidity Trap

This paper examines a search model of money and public bonds in which coordination frictions lead to multiple, Pareto ranked equilibria. Whether money and bonds are substitutes or complements, is not a primitive of the economy, but an equilibrium outcome. There exists an equilibrium resembling a liquidity trap, in which money and bonds are perfect substitutes, interest rates are zero, and monetary policy is ineffective; and a superior equilibrium in which money and bonds are complements, interest rates are positive and monetary policy has a liquidity effect. On this view, the liquidity trap is a belief-driven phenomenon.     

Liquidity and Returns to Target Shareholders in the Market for Corporate Control: Evidence from the US Markets

In this paper we analyze how stock market liquidity affects the abnormal return to target firms in mergers and tender offers. We predict that target firms with poorer stock market liquidity receive larger announcement day abnormal returns based on the following considerations. First, target firms with poorer stock market liquidity receive greater liquidity improvements after a merger or tender offer. Second, deals that involve less liquid targets are less anticipated and/or more likely to be completed. Third, less liquid stocks have more diverse reservation prices across shareholders and thus require a higher takeover return. Consistent with these expectations, we show that abnormal returns to target firms’ shareholders are significantly and positively related to the difference in liquidity (measured by the bid‐ask spread) between acquirers and targets as well as the magnitude of target firms’ liquidity improvement.