Pricing Bonds and Bond Options with Default Risk

The pricing of bonds and bond options with default risk is analysed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter, which can be considered as the market equivalent of an agencies' bond rating, allows to extract from current quotes the market perceptions of firm's credit risk. The general pricing model for defaultable zero-coupon bond is first derived in a simple discrete-time setting and then in continuous-time. The availability of an integrated model allows for the pricing of default-free options written on defaultable bonds and of vulnerable options written either on default-free bonds or defaultable bonds. A comparison between our results and those given by Jarrow and Turnbull (1995) is also presented.     

Wealth effects of convertible-bond and warrant-bond offerings: a meta-analysis

The literature on wealth effects associated with the announcements of convertible-bond and warrant-bond offerings is reviewed. The findings of 35 event studies, which include 84 sub-samples and 6310 announcements, are analysed using meta-analysis. We find a mean cumulative abnormal return of?1.14% for convertibles compared with?0.02% for warrant bonds, the significant difference confirming a relative advantage for warrant bonds. Abnormal returns for hybrid securities issued in the USA are significantly more negative than those issued in other countries. In addition, issuing hybrid securities to refund debt does not seem to be favoured by investors. Finally, several factors identified as important by theory or in prior research are not significant within our cross-study models, suggesting that more evidence is needed to confirm whether they are robust.     

The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach

Sovereigns mainly issue inflation-linked bonds (ILB) in order to save money. More than 15 years’ experience with this financial instrument in the United States has led to the conclusion that these bonds are characterized by low liquidity issues. Recently, various papers have started to analyze the impact of liquidity on ILB yields. This paper develops a new strategy for estimating the liquidity premium based on Campbell and Shiller's (1996) hypothetical ILB yields. We find significant effects of ILB-specific liquidity measures for the United States, the United Kingdom and Canada. Based on these findings, we derive the liquidity premium in ILB yields, liquidity-adjusted estimates for the break-even inflation rate and the inflation risk premium. In the United States, for instance, the average of the liquidity premium is 0.56%-points, and the average liquidity-adjusted break-even inflation rate and inflation risk premium amount to 2.67%-points and 0.22%-points, respectively.     

在地理教学中开展学生思想道德教育的可行性及途径探析

现行所有的地理教材都非常注重对相关自然地理及人文事物形成过程和规律进行细致的分析,这为给学生进行日常的思想道德教育提供了非常好的素材,本文就是在分析了在地理教学中开展学生思想道德教育的可行性后提出了多项有效的教育途径。     

初中生与家长沟通现状调查研究

通过对太原两所中学部分初中生进行的初中生与家长沟通状况调查研究发现,初中生与家长沟通频率普遍比较低,沟通内容单一,针对某一问题的探讨不能深入。并且大多数学生认为家长对自己的干涉较多,要求太高。对此提出了通过树立正确的教育观,增进理解,掌握沟通的技巧,创造轻松愉快的学习生活空间,全面改善沟通状况的对策建议。     

大陆高职院校毕业生赴台湾高校专升本探析

通过对2013年大陆高职院校毕业生赴台专升本实施情况的研究，分析大陆高职院校毕业生赴台专升本不理想的原因，如赴台专升本项目对报考生源资格的限制条件较为严格、赴台专升本项目的公布时间偏晚、台湾院校招生科系介绍及收费标准公布偏迟、在台湾高校学习的经济成本远大于大陆高校、台湾高校学历相比海外高校并不占优势、赴台专升本的学习成效存在不确定性等，提出要进一步放宽对赴台专升本项目的限制、完善赴台专升本项目信息内容并及时全面地向社会公开、通过各种形式减轻学生赴台专升本的经济压力、在教师和学生层面提升对台湾高校实力的认可度、利用台资企业对台湾高校学历的认可度为赴台专升本学生打开就业的大门等对策。     

银行持债行为影响国债市场的实证研究

本文从2003年银行间国债市场的回购利率和国债收益率的角度出发,同时结合货币政策对银行的资金调节作用,对银行持债行为与国债市场之间的关系进行了实证研究,从而揭示出银行持债行为对国债市场的重大影响作用,并得出有关债券市场的三个基本结论。     

Debt rescheduling and the choice between bonds and loans for LDCs' foreign debt

This paper examines less developed country (LDC) borrowers' choice of financing methods. I devleop and test the hypothesis that ex-ante consideration of rescheduling affects LDC borrowers' choice between bonds and commercial loans. Banks can monitor and distinguish between permanent and temporary shocks, while bondholders cannot. Therefore, debt rescheduling based on the nature of economic shocks is feasible with loan financing. Our empirical findings indicate the debt rescheduling is considered exante in LDC lending. In addition, default risk and contract size affect the choice of financing instruments.     

借鉴美国经验 完善我国债券结算代理业务

我国债券结算代理业务发展迅速,但也逐渐暴露出结算机制不够完善、客户服务意识不强、产品单一等问题。借鉴美国经验,本文建议建立以中央对手方（CCP）和净额结算为基础的债券结算机制,完善证券托管清算机构组织模式,培育独立评级机构,发展机构投资者,发挥行业自律组织的作用,建立以客户为中心的服务体系。     

关于三月浮息债负利差产生的原因与投资建议

该文基于Shibor报价工作实践,首先从投资者类型、债券流动性等多角度列举了浮息债定价的影响因素,分析了当前3M_Shibor浮息债利差持续为负的原因,然后在探讨归纳3M_Shibor的定价机理和阐释近期Shibor报价新特征的基础上,对3M_Shibor中期走势进行展望,并就投资3M_Shibor浮息债时需关注的问题予以提示。