A macro-financial analysis of the euro area sovereign bond market

We estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing kernel. More specifically, we use the canonical representation proposed by Joslin et al. (2011) and introduce next to standard spanned factors a set of unspanned macro factors, as in Joslin et al. (forthcoming). The model is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005–2013. Overall, our results show that economic fundamentals are the dominant drivers behind sovereign bond spreads. Nevertheless, shocks unrelated to the fundamental component of the spread have played an important role in the dynamics of bond spreads since the intensification of the sovereign debt crisis in the summer of 2011.     

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

We propose a Nelson–Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying uncertainty of the yield curve’s level, slope and curvature. Estimating the model based on US government bond yields applying Markov chain Monte Carlo techniques we find that the factor volatilities follow highly persistent processes. We show that yield factors and factor volatilities are closely related to macroeconomic state variables as well as the conditional variances thereof.     

A model for interest rates with clustering effects

We propose a model for short-term rates driven by a self-exciting jump process to reproduce the clustering of shocks on the Euro overnight index average (EONIA). The key element of the model is the feedback effect between the absolute value of jumps and the intensity of their arrival process. In this setting, we obtain a closed-form solution for the characteristic function for interest rates and their integral. We introduce a class of equivalent measures under which the features of the process are preserved. We infer the prices of bonds and their dynamics under a risk-neutral measure. The question of derivatives pricing is developed under a forward measure, and a numerical algorithm is proposed to evaluate caplets and floorlets. The model is fitted to EONIA rates from 2004 to 2014 using a peaks-over-threshold procedure. From observation of swap curves over the same period, we filter the evolution of risk premiums for Brownian and jump components. Finally, we analyse the sensitivity of implied caplet volatility to parameters defining the level of self-excitation.     

Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks

In this article, we construct a general model, which considers the borrower’s financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default are reasonably expounded in our model, our formulae are more appropriate than traditional mortgage formulae. We also analyze the effects of the prepayment penalty and partial prepayment on the yield, duration and convexity of a mortgage, and provide lenders with an upper-bound for the mortgage default insurance rate. Our model provides portfolio managers a useful framework to more appropriately appraise the mortgage and more effectively hedge their mortgage holdings. From the results of sensitivity analyses, we find that higher interest-rate, prepayment and default risks will increase the mortgage yield and reduce the duration and convexity of the mortgage.     

When does Strategic Debt-service Matter?

Recent work in corporate finance has suggested that strategic debt-service by equity-holders works to lower debt values and raise yield spreads substantially. We show that this is not quite correct. With optimal cash management, defaults occassioned by deliberate underperformance (strategic defaults) and those forced by inadequate cash (liquidity defaults) work as substitutes: allowing for strategic debt-service leads to a decline in the equilibrium likelihood of liquidity defaults. In some cases, this decline is sufficiently sharp that equilibrium debt values actually increase and yield spreads decline. We provide an intuitive explanation for these results in terms of an interaction of optionalitiesExpanded versions of this paper were presented in conferences and seminars at the Scottish Institute for Research in Finance, European Finance Association, Western Finance Association, Financial Management Association, 10th Derivative Securities Conference, Santa Clara University, Virginia Tech, the Norwegian School of Management, the Norwegian School of Business and Economics, Duke University, and Carnegie-Mellon University. We benefitted greatly from the comments of participants at these seminars and would particularly like to thank Francesca Cornelli, Kose John, Pete Kyle, Sanjay Unni, and Raman Uppal in this context     

B2B sales force productivity: applications of revenue management strategies to sales management

Firms should be able to apply the time-based philosophy of revenue management to their sales forces. To do so requires a revision in the way most sales divisions traditionally have viewed salesperson time. Hence, a different type of proposed measure, revenue per available salesperson hour, is proposed to better integrate the value of the salesperson's time as a factor in sales potential and revenue calculation. This article seeks to (1) foster a positive perception of revenue management as a viable sales approach, (2) establish a framework for such a strategy, and (3) set a useful road map for facilitating execution.     

投资者关注度对股票收益率的影响——基于百度指数指标

本文选取上海证券交易所中来自不同行业的30只股票作为研究对象,将百度指数提供的用户关注度数据作为投资者关注度的度量指标,通过建立面板数据模型,研究了投资者关注度对股票收益率的影响.结果发现,当期投资者关注度对股票收益率有正向影响,前期投资者关注度对股票收益率有负向影响;同时,股票平均换手率与投资者关注度与对股票收益率的影响相同,说明把股票平均换手率作为投资者关注度的替换指标具有一定的合理性.     

Analysing Yield Spread and Output Dynamics in an Endogenous Markov Switching Regression Framework

In this article we analyse the relationship between yield spread and the economic activity by allowing the parameters of the regression to be driven by an endogenous Markov chain. Using the endogenous model, we could obtain accurate parameter estimates and the specification of our model is empirically supported. Our empirical results may indicate that people with low risk tolerance more likely to prefer a low volatility state over a high volatility one, while people with high risk tolerance are more likely to prefer a high volatility state over a low volatility one.      

A yield management model for five-star hotels: Computerized and non-computerized implementation

The purpose of this study was to propose an enhanced yield management (YM) model that was developed based on the previous models and to test the applicability on five-star lodging properties in Turkey to identify the related problems. The proposed model overcomes some of the limitations of previous ones. It was specifically developed for full service, upscale hotels, namely for five-star lodging properties with or without a computerized yield management system (CYMS). Examination of the actual implementation stages provided useful insight in determining the applicability and the problems related to the application of the model. Findings indicted that the proposed YM model can be used by all upscale properties (with or without a CYMS) to manage their revenue and yield. Findings suggested that the application of the model is likely to improve the operational and financial performance for both type of properties.     

关于我国无风险收益率选择研究

CAPM、APT等经济模型中都使用了——无风险收益率概念,但我国目前无论在学术界还是在实务界对无风险收益率的选择都相去甚远。本文提出了在借鉴美国投资者无风险收益率选择成功经验的基础上通过分析研究,努力找到符合标准并在我国适用的无风险收益率。