银行间债市收益率上扬的成因及后市展望

自2013年6月以来,利率的上行趋势已从货币市场利率扩散到中长端国债收益率,并蔓延到短端收益率。回归分析结果表明,经济基本面和资金面仅可部分解释国债收益率的上涨。文章进一步分析指出,货币政策维持中性偏紧趋向、金融机构调整资产配置结构削减债券投资额度、银行筹资方式多元化推高资金成本这三大因素,也是引起本轮利率接力上行的显著外力。中长期看,债券市场收益率中枢将随之抬升。在中性偏紧的货币政策基调没有改变前,债券市场将只有阶段性回嗳而无趋势性好转的行情。     

央票发行对债券收益率影响的实证分析

文章通过对于央票招标日各期限央票、国债、金融债二级市场收益率变动特点的描述性统计,以及央票发行量对债券收益率影响的计量分析,实证考察了央票发行对债券市场收益率的影响效应。结果显示,央票招标日债券市场收益率波动性小于日常水平,且二级市场收益率与央票发行利率差值保持在合理波动范围内,体现了货币政策稳定利率的意图。     

Credit agency regulation and the impact of credit ratings in the international bond market

The use of credit ratings in financial and other legal documents — both in the USA and Europe —, has led to a situation in which the major rating agencies have become (largely unwilling) participants in the legislative process. This situation has become partly formalized in the US (and is being repeated elsewhere in the European Union, Eastern Europe and Latin America) through the creation of officially ‘recognized’ agencies whose ratings now carry the imprimatur of the Securities and Exchange Commission. The purpose of this paper is to contribute to the debate on the necessity for formal legal status to be sustained in the market for bond credit ratings. In this context, the criteria for a credible rating agency are examined and evidence is provided on one element of the criteria which is under-researched: namely, the impact of the ratings in the market place. The influence of rating agencies in international capital markets is assessed through an analysis of the impact of ratings on the yields of bonds, represented by a comprehensive sample of actively traded debt. The sample contains analysis of ratings introductions on both new and seasoned debt and also examines the impact of ratings revisions. It is concluded that official recognition has no market-based role and it is argued that ratings are used by regulators because of the success of the major agencies in performing their market function.     

The impact of narrative disclosure readability on bond ratings and the cost of debt

Prior research on the determinants of credit ratings has focused on rating agencies’ use of quantitative accounting information, but the there is scant evidence on the impact of textual attributes. This study examines the impact of financial disclosure narrative on bond market outcomes. We find that less readable financial disclosures are associated with less favorable ratings, greater bond rating agency disagreement, and a higher cost of debt. We improve causal identification by exploiting the 1998 Plain English Mandate, which required a subset of firms to exogenously improve the readability of their filings. Using a difference-in-differences design, we find that the firms required to improve the readability of their filings experience more favorable ratings, lower bond rating disagreement, and lower cost of debt. Collectively, our evidence suggests that textual financial disclosure attributes appear to not only influence bond market intermediaries’ opinions but also firms’ cost of debt.     

A note on the impact of audit qualifications on lending and credit decisions

This paper examines the impact of certain types of qualified auditors' report on bank lending decisions and credit analysts' decisions in the United Kingdom. The research design involved sending a set of financial statements, which contained one of four different types of audit report, to a large sample of bankers and credit analysts. They were asked to state how much they would lend, or how much credit they would give, for each of the hour audit report situations. The mean loan-credit responses for each audit report type were then examined to see if there were any significant differences. It was found that two types of audit qualification, namely going concern problems and asset valuation problems, significantly affected decisions and that firms suffering these types of qualifications had their credit standing significantly impaired.     

The impact of economic factors and acquisition reforms on the cost of defense weapon systems

This paper evaluates how defense budget instability, consolidation of the defense industry, acquisition reform, war, and cost estimating error are related to cost overruns in major Department of Defense Acquisition projects from 1979 to 2002. Employing a panel model of service specific cost overruns, with fixed effects, we find that funding instability in O&M and R&D budgets had large impacts on procurement costs overruns. We further found that unexpected inflation and armed conflict led to higher levels of Procurement cost overruns. Finally we found that the acquisition reforms of the Nunn-McCurdy Act of 1982, the Packard Commission Recommendations of 1986 and the Federal Acquisition Streamlining Act (FASA) of 1994 resulted in significant reductions in procurement cost overruns.     

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets: Evidence from the Asian Financial Crisis

We examine the effects of different types of sovereign rating announcements on realized stock and currency market volatilities and cross-asset correlations around periods of financial crises. Using intraday market data and sovereign ratings data for nine sample countries in the Asia-Pacific region over 1997–2001, we find that currency and stock markets react somewhat heterogeneously to various rating announcements and that stock markets are more responsive to rating news than currency markets. We find new evidence that ratings events have significant and asymmetric impacts on intraday market data and that national market attributes influence rating impacts during financial crises.     

Measuring monetary policy and its impact on the bond market of an emerging economy

In view of multiple instruments used by many central banks in emerging market economies (EMEs), we derive a composite measure of monetary policy for India and assess its impact on the yield curve. Our results show that while monetary policy has the dominant impact among macroeconomic variables on the entire term structure, it is particularly strong at the shorter end and on credit spreads. Shifts in the level of the government yield curve and credit spreads also lead to changes in monetary policy. In terms of robustness, our measure performs better than a narrative-based measure of monetary policy available in the literature.     

The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application

Credit and interest rate risk are the two most important risks faced by commercial banks in their banking book. In this paper we derive a consistent and comprehensive framework to measure the integrated impact of both risks. By taking account of the repricing characteristics of assets, liabilities and off balance sheet items, we assess the integrated impact of credit and interest rate risk on banks’ economic value and capital adequacy. We then stress test a hypothetical but realistic bank using our framework and show that it is fundamental to measure the impact of credit and interest rate risk jointly.     

中美信用评级市场发展比较与启示

本文结合中美信用评级市场发展脉络,从评级机构、收费模式、监管模式等方面分析两国信用评级市场发展过程中的不同特征,认为美国信用评级市场健康发展的原因在于评级机构重视市场声誉以及监管机构注重加强引导与监管。借鉴美国经验,我国的信用评级机构应该注重加强信用评级机构的内部治理,提高信用评级机构的国内外影响力;同时加强外部环境建设和信息披露制度建设,建立科学统一的外部评级机构管理制度。     

The impact of central clearing on counterparty risk,liquidity, and trading: Evidence from the credit default swap market

This paper examines the impact of central clearing on the credit default swap (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower than settlement spreads published by the central clearinghouse. Furthermore, the relation between CDS spreads and dealer credit risk weakens after central clearing begins, suggesting a lowering of systemic risk. These findings are robust to controls for frictions in both CDS and bond markets. Finally, matched sample analysis reveals that the increased post-trade transparency following central clearing is associated with an improvement in liquidity and trading activity.     

金融危机前后国际信用衍生产品市场的发展及启示

信用衍生产品自问世以来在分散金融机构信用风险、完善信用风险定价机制、提高债券市场流动性等方面发挥了积极的作用。该文介绍了信用衍生产品的主要功能及其在本次金融危机前、中、后三个时期的发展特点,肯定了基础信用衍生产品对金融市场的重要作用,指出中国应推动金融创新,建立有中国特色的信用衍生产品市场。     

A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's ‘gold seal’

This study examines the abnormal returns, trading activity, volatility and long-term performance of stocks that were added to the S&P 500 index. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to shed new light on the widely observed ‘index effect’. We find that the CAPM tends to overstate the performance of large firms and to understate the performance of small firms. We also find a transitory increase in trading volume between the announcement and a few days after the effective date. In terms of the firm's operating performance, we find a significant increase in earnings per share after inclusion, which combines with the stock price rise to leave the average price-earnings ratio largely unaltered. Examining a unique sample of deletions of international companies and replacements with US companies, we find that deleted stocks experienced a considerable and permanent fall in price, inconsistent with the Investor Recognition Hypothesis. The “seal” of S&P 500 index membership has very long-term effects and inclusion appears not to be an information-free event.     

A Theoretical and Empirical Review of the EU Regulation on Credit Rating Agencies: In Search of Truth,Not Scapegoats

The undergoing financial turbulence has raised significant concerns over the role that credit rating agencies (CRAs) played in the inception, magnification and expansion of the crisis. In response, the EU legislature has adopted Regulation 1060/2009, which, for the first time, set out a legally binding pan‐European authorization regime for CRAs, which issue ratings that have been used by EU‐based financial institutions. As the turmoil turned into an unprecedented Eurozone debt crisis, EU politicians have been calling for tighter regulation of the credit rating industry. Drawing on the relevant empirical and theoretical research and building upon a comparative study of the corresponding US framework, the paper discusses critically the principles underlying EU Regulation 1060/2009 and the most recent suggestions for its reform. The paper argues that although, overall, the EU Regulation seems to be a well‐balanced instrument in the sense that it introduces the essential checks upon CRAs’ behavior while avoiding excessive regulatory intervention, more fine‐tuning is needed in certain fields, including, rating shopping, financial ties with rated entities, abuse of inside information, transparency and CRAs’ accountability.     

Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets

The holy month of Ramadan is usually a time of celebration and renewal in Muslim countries. This paper examines whether or not this is reflected in positive calendar anomalies effects in Islamic Middle Eastern stock markets during the period 1992-2007. Strong evidence is found of significant and positive calendar effects in respect to the whole period of Ramadan in most countries and it is argued that this can be attributed to the generally positive investor mood, or sentiment. Although Ramadan is a time of celebration for Muslims it also can be a time of uncertainty and this appears to result in the impact of the festival not being uniformly positive throughout Ramadan. It is found that market returns in the first and last days of Ramadan show high levels of statistically significant year-on-year variation. It is argued that this can possibly be attributed to synchronization-related herding effects amplifying the impact of the mood swings associated with this period. The paper also finds that although the overall Ramadan effect is both positive and statistically significant for most countries, the associated gains were only large enough to outweigh transactions costs and provide the basis of a profitable trading strategy in one market.     

The impact of introductory accounting courses on student perceptions about the purpose of accounting information and the objectives of business: A comparison of the UK and Japan

This paper is concerned with the impact of introductory financial accounting courses on student perceptions of business objectives. The paper reports the results of a questionnaire survey of UK and Japanese university students which investigated their views at the start and end of an introductory financial accounting module. The views of Japanese students, in comparison with those from the UK, are of particular interest given evidence in the literature that traditional “social market” traditions in Japan are being influenced by Anglo-American “stock market” values. Our results are consistent with such a phenomenon in that Japanese students’ values regarding business objectives show significant changes that are not mirrored by changes in the perceptions of their UK counterparts. We suggest that accounting education is acting as a conduit for views more commonly held in Anglo-American societies.