The increasing default risk of US Treasury securities due to the financial crisis

This paper examines the impact of the current financial crisis on long-term US Treasury yields by testing the impact of a series of events from December 2007 to March 2009 on the spread between 10-year USD LIBOR swap and 10-year US Treasury (constant maturity) rates to measure risk associated with Treasuries. Controlling for the liquidity of the two markets, the default risk of the swap, and the net foreign purchases of Treasury securities, we find that 13 of the tested 20 events have significantly negative coefficients. We conclude that the lower spread is consistent with greater default risk for US Treasury securities.     

证券市场中的审计师变更研究

研究审计师变更的动因、信息披露、市场反应等,有助于分析特定审计服务市场的特征,并为监管部门、投资者和审计职业界提供重要的决策依据.本文分析了有关发达证券市场审计师变更文献的观点、经验发现与结论,提出了我国开展相关研究的初步想法.     

Advantageous innovation and imitation in the underwriting market for corporate securities

Investment banks that develop new corporate securities systematically lead the new underwriting market despite being imitated early by equally competitive rivals. We study how innovators and imitators set underwriting fees in order to identify empirically the source of this advantage. Using data of innovative securities since 1985, we do find that innovators set systematically higher fees than imitators. This premium decreases as more issues occur, and faster for later generation products. Imitation is also quicker for later generations. This evidence supports the hypothesis that the innovator has superior skills in structuring any given issue of the new security.     

Estimating liquidity premia in the Spanish government securities market

This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.     

Pre-auction short positions and impacts on primary dealers’ bidding behavior in US Treasury auctions

We model the uniform-price US Treasury security auction as a static symmetric game with incomplete information in which each player is a primary dealer who submits a demand schedule given two independent sources of private information: her/his pre-auction short position of the auctioned security and her/his valuation of this security. Under the assumptions of constant marginal value and additive separability of the demand schedule, we obtain closed-form solutions for the dealer’s optimal demand schedule, and we find that her/his pre-auction short position impacts her/his bidding behavior in three ways. First, the primary dealer’s demand for the auctioned security increases with her/his pre-auction short position. Second, the primary dealer’s differential bid shading decreases with her/his pre-auction short position. Third, primary dealers with higher pre-auction short positions assign lower values to the auctioned security. Based on our findings, we propose policy recommendations that would allow the US Treasury to increase taxpayers’ revenue.     

证券市场信息披露中注册会计师的法律责任

当前弥漫我国证券市场的虚假信息强烈冲击着注册会计师行业的可信度和社会地位,广大投资者通过起诉注册会计师来保护自身利益成为一种趋势,而注册会计师法律责任问题也对现行相关法律法规提出了新的挑战.本文集中讨论了虚假报告界定的法律标准、民事责任性质、归责原则及举证责任设置、虚假报告的鉴定制度等部分问题,并提出了对虚假报告的鉴定可以考虑建立独立的审计鉴定人名册制度和具体案件的鉴定人随机选任制度.     

Single-stock futures: Evidence from the Indian securities market

Although single-stock futures (SSFs) are useful multi-purpose stock derivatives, they have not received much attention in developed markets. We analyze SSFs in the Indian market to understand their contribution in price leadership. The findings indicate that trades in the stock market contribute more to price discovery than trades in the SSF market (72% and 28%, respectively), while quotes in the SSF market are more price innovative than quotes in the stock market (39% and 61%, respectively). Our analysis suggests that while stock and SSF trade returns have predictive ability for each other, in the case of quotes, only SSF quotes have predictive ability for stock and SSF returns.     

Price discovery in the round-the-clock U.S. Treasury market

We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the postclose period. Information asymmetry in the overnight period is comparable to that in the regular trading period. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Moreover, information asymmetry is higher on Monday morning and higher immediately before than after the open of U.S. Treasury futures trading. Although volume is low after hours and trading cost is relatively high, overnight trading generates significant price discovery. Results suggest that overnight trading activity is an important part of the Treasury price discovery process.     

Tax-induced clientele effects in the market for British government securities: Placing bounds on security values in an incomplete market

This paper develops a new methods for measuring tax effects in bond markets and presents empirical results for British Government Securities. The basic idea is to construct a least cost portfolio which, for investors in a given tax bracket, dominates a given bond. A portfolio is said to dominate a bond if it provides cash flows which are at least as great in every period, and has a lower price. In effect our method calculates an upper bound on the value of a bond to investors in a given tax bracket. The results demonstrate (i) the existence of clientele effects and (ii) the absence of an ‘effective tax rate’.     

企业经济信息传递中的"信息界圈"现象分析

股票市场是一个信息市场,上市公司公布的信息对利益相关者而言是非常重要的,然而,由于种种原因,上市公司的信息从私有信息转化为公开信息仍存在着时间差,那么在这个区间内上市公司的信息按什么路径向外传递?即上市公司信息在传递过程中是否存在着信息界圈?本文以费孝通的差序格局理论为指引,以2008年沪市上证A股发生重大事件的上市公司为分析对象,用事件研究法通过实证分析认为,上证A股上市公司经济信息传递中明显存在着信息界圈现象,并给出相应的政策建议。     

Option pricing in a lognormal securities market with discrete trading

This paper derives a call option valuation equation assuming discrete trading in securities markets where the underlying asset and market returns are bivariate lognormally distributed and investors have increasing, concave utility functions exhibiting skewness preference. Since the valuation does not require the continouus time riskfree hedging of Black and Scholes, nor the discrete time riskfree hedging of Cox, Ross and Rubinstein, market effects are introduced into the option valuation relation. The new option valuation seems to correct for the systematic mispricing of well-in and well-out of the money options by the Black and Scholes option pricing formula.     

我国证券市场应适时推出国际板

2009年4月国务院发布<国务院关于推进上海加快发展现代服务业和先进制造业、建设国际金融中心和国际航运中心的意见>,将上海证券交易所国际板的推出提上议程.促进上海证券交易所的国际化,成为上海建设国际金融中心的重要内容.本文分析归纳了我国已经基本具备推出国际板的条件,对推出国际板的利弊进行了简要分析,提出加快推出国际板的对策性建议.     

Empirical evidence on jumps in the term structure of the US Treasury Market

The dynamics of US Treasury prices may be interrupted by jumps, and cojumps — where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002–2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.     

Cojumping: Evidence from the US Treasury bond and futures markets

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using formal cojumping tests this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most frequently at shorter maturities and higher sampling frequencies. We find that the probability of cojumping is altered by the presence of an anticipated macroeconomic news announcement. The probability of cojumping is particularly affected by news surprises in non-farm payrolls, CPI, GDP and retail sales. However, the two cojumping tests are also more likely to provide contradictory results in the presence of surprises in non-farm payrolls. On these occasions the market does not clearly signal its short term pricing behavior.     

美国结构融资市场的变化及启示

美国结构融资市场是其债券市场的重要组成部分。金融危机爆发以来,该市场受到较大的冲击。为此,美国政府出台了一系列措施稳定并规范市场发展,使其逐步恢复了服务于经济复苏的能力。我国的结构融资市场起步较晚,应借鉴美国金融危机的经验和教训,加强市场监管和业务规范,推动市场健康发展,使其更好地服务于货币政策和国民经济。     

The behavior of equity securities on the German Stock Exchange

This is the first major empirical study of the German Stock Exchange and involves the analysis of monthly data for ninety German companies from 1960 to 1970. Whereas previous studies had suggested that German securities were peculiar, this analysis showed that, except for the high positive serial correlation of returns for the larger companies, German securities had very similar properties to securities elsewhere. Betas for German companies were fairly stationary over time, with the interperiod correlation for company betas ranging from 0.2 to 0.4. When the effect of measurement error was reduced, the perceived stationarity increased and a significant regression tendency towards the mean was observed. Further, it was found that the behaviour of German securities did not conflict with the domestic capital asset pricing model and indeed supported it during the bull market of the early 1960s.     

我国证券审计市场的集中度与注册会计师独立性

近年来,我国证券审计市场经过脱钩改制、合并重组等重人变革,在职业准则制定方面也不断完善.住这种形势下,我国的证券审计市场格局和注册会计师独立性又随之出现了哪些新的变化?本文拟对此做一研究.     

Quote-based competition,market share,and execution quality in NASDAQ-listed securities

We show that competitive quotes help increase dealer market share on NASDAQ, despite the fact that a large proportion of order flow is preferenced. We find that decimal pricing and the introduction of new trading platforms such as SuperSOES and SuperMontage have significantly changed the effect of quote aggressiveness on dealer market share. In particular, decimal pricing reduces (increases) the price (size) elasticity, SuperSOES increases the size elasticity, and SuperMontage increases both the size and price elasticity of dealer market share. We also show that market centers provide greater price improvements and faster executions when they post competitive quotes.     

Competing for underwriting market share: The case of commercial banks and securities firms

This study analyzes changes in the underwriting market share of securities firms and commercial banks over a 20-year period that encompasses the deregulation period of 1989–1999. The study finds that, after controlling for firm combination effects, there is no evidence that commercial banks gained share at the expense of ranked traditional underwriters. There is strong evidence that market breadth helps both securities firms and commercial banks to gain market share, whereas greater share in the underwriting of a specific security has the opposite effect on next year's market share. There is supportive but limited evidence that high-volume years favor commercial banks, whereas low-volume years favor prestigious underwriters. The influence of firm-specific factors is limited to a few markets, which may explain the stickiness of underwriting market share of ranked firms over time.