Perceptions of postretirement benefit obligations by bond rating analysts

This research examines the measurement and impounding of alternative measures of a corporation's other postretirement benefits obligation (OPEBs) by an important segment of the capital markets. The Kaplan and Urwitz (1979) model is used as a benchmark from which to assess the importance of an added OPEB variable in the bond rating process. Using the corporate bond rating as the dependent variable, multiple measures of the OPEB obligation are inserted individually as an added independent variable into an N-chotomous probit model. The results for 1987 and 1988 indicate that measures calculated from publicly available information produce highly significant results. The developed postretirement liability measures are found to provide relevant and material information regarding the risk level of a firm's bonds as represented by its bond rating. This insight concerning the additional risk represented by a firm's postretirement benefits is beyond that supplied by the firm's pension information. This suggests that the additional investor default risk attributed to a firm's OPEB can be reasonably proxied by data found in the company's annual report footnote disclosures.     

中国债券市场2011年变化特征与2012年形势展望

2011年,中国债券市场在国内宏观调控措施集中出台和外部经济形势复杂多变等因素的交织影响下,呈现出鲜明的走势特点,也打破了众多历史常规。主要表现为：资金面成绝对主角,收益率大幅跳升,收益率曲线呈平坦化趋势,信用利差屡创新高等。展望2012年,受全球去杠杆化和国内宏观调控、经济结构调整的叠加影响,中国经济增长大周期将经历稳步回调的过程,债券阶段性牛市有望延续,但随着调控政策重心的转移,利率趋势可能在年内出现转折。     

Beyond Single-Factor Affine Term Structure Models

This article proposes a new approach to testing for the hypothesisof a single priced risk factor driving the term structure ofinterest rates. The method does not rely on any parametric specificationof the state variable dynamics or the market price of risk.It simply exploits the constraint imposed by the no-arbitragecondition on instantaneous expected bond returns. In order toachieve our goal, we develop a Kolmogorov-Smirnov test and applyit to data on Treasury bills and bonds for both the United Statesand Spain. We find that the single risk factor hypothesis cannotbe rejected for either dataset.     

2010年银行间债券市场机构投资者行为分析

2010年,在国民经济总体向好、流动性整体宽松的环境下,银行间债券市场保持快速发展态势,投资者数量和类型进一步丰富,各类机构普遍增持债券。受信贷调控及资本监管加强的影响,商业银行侧重于增加低风险债券的持有比例;非银行金融机构风险偏好则相对较高。全年机构的持有结构保持稳定。随着下半年市场资金面的趋紧,基金、证券公司等交易类机构表现更为活跃,年末市场利率明显上升,收益率曲线平坦化上移。     

Customer Perception in the Health Care Sector:

Customer perceptions of quality play a major role in the success or failure of an organization. Their perception also serves to determine their level of satisfaction or dissatisfaction. This paper will discuss those factors that the customer perceives as "quality" factors and how those factors affect satisfaction. The second section of the paper will look at who is (or should be) responsible for implementing and carrying out the goals of a quality improvement program. A case study of a large hospital located in the American Midwest is also presented. Finally, recommendations for the best way to begin a quality improvement program (i.e., measure customer perceptions of quality, involving everyone, and making a real commitment to this program--forever) will be given.     

Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

In this paper we present a valuation model that combines features of both the structural and reduced-form approaches for modelling default risk. We maintain the cause and effect or ‘structural’ definition of default and assume that default is triggered when a state variable reaches a default boundary. However, in our model, the state variable is not interpreted as the assets of the firm, but as a latent variable signalling the credit quality of the firm. Default in our model can also occur according to a doubly stochastic hazard rate. The hazard rate is a linear function of the state variable and the interest rate. We use the Cox et al. (A theory of the term structure of interest rates. Econometrica, 1985, 53(2), 385–407) term structure model to preclude the possibility of negative probabilities of default. We also horse race the proposed valuation model against structural and reduced-form default risky bond pricing models and find that term structures of credit spreads generated using the middle-way approach are more in line with empirical observations.     

Are non‐audit services associated with firm value? Evidence from financial information system‐related services

The purchase of non‐audit services from incumbent auditors has generated considerable attention. Surprisingly, limited empirical evidence exists on the association of non‐audit services with firm value. Focusing on services related to financial information system (FIS), we find that the market value of equity is greater for firms that purchase FIS‐related services from their incumbent auditors relative to firms that do not. The levels of FIS fees are also positively related to firm value after controlling for total other fees, or total other non‐audit fees. Hence, despite the negative perception associated with non‐audit services, investors regard FIS‐related services as value‐adding activities.     

On the importance of systematic risk factors in explaining the cross-section of corporate bond yield spreads

In this paper we examine the importance of systematic equity market factors in explaining the cross-sectional variation in yield spreads on corporate debt. Based on a sample of 1771 corporate bonds over the period from January 1985 to March 1998, we find that once the default-related variables are controlled for, bond betas or sensitivities to aggregate equity market risks have very limited explanatory power. This is in contrast to [Elton, E.J., Gruber, M.J., 2001. Explaining the rate spread on corporate bonds. Journal of Finance 56, 247–277] who find that market factors tied to expected returns are predominantly important, but who do not control for these variables (i.e. the relevant variables from structural models), possibly biasing their estimates. On the other hand, our finding that the systematic factors exhibit some limited explanatory power suggests that the standard contingent claims approach may not fully apply. This finding is consistent with previous research that bond betas are not completely irrelevant once market frictions are introduced. Overall, the evidence provides empirical support for the proposition that structural models capture important elements of corporate bond yield spread determination and equity market systematic factors are by no means predominant.     

2011年1季度银行间市场运行报告

2011年1季度,银行间市场运行平稳,交易量继续稳步增长。其主要特点是：货币市场资金面前紧后松,短期利率先扬后抑,较季初明显回落;银行间国债指数大幅上扬,现券交易集中于中短期品种;美元兑人民币中间价屡创新高,保持较快升值速度,非美货币即期交易显著活跃;IRS交易量较去年同期明显放大,互换利率走高后回落,外汇衍生品市场交易稳定增长,境内外价差缩小。     

Is Gold a Hedge or a Safe Haven? An Analysis of Stocks,Bonds and Gold

Is gold a hedge, defined as a security that is uncorrelated with stocks or bonds on average, or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a market crash? We study constant and time‐varying relations between U.S., U.K. and German stock and bond returns and gold returns to investigate gold as a hedge and a safe haven. We find that gold is a hedge against stocks on average and a safe haven in extreme stock market conditions. A portfolio analysis further shows that the safe haven property is short‐lived.