美国版权证券化的困境析

鲍伊债券在美国开启了知识产权证券化的大门,一度兴盛,但现在呈现困顿状态,原因主要有五个,其中版权所有权和版权担保权益公示问题是困扰版权证券化的主因。理清这些原因,有助于我们理性看待版权证券化本身及其在中国的发展前景。     

Carry

We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security’s expected return is decomposed into its “carry,” an ex-ante and model-free characteristic, and its expected price appreciation. Carry predicts returns cross-sectionally and in time series for a host of different asset classes, including global equities, global bonds, commodities, US Treasuries, credit, and options. Carry is not explained by known predictors of returns from these asset classes, and it captures many of these predictors, providing a unifying framework for return predictability. We reject a generalized version of Uncovered Interest Parity and the Expectations Hypothesis in favor of models with varying risk premia, in which carry strategies are commonly exposed to global recession, liquidity, and volatility risks, though none fully explains carry’s premium.     

Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process

This work presents the participation factor and the valuation of a first-generation structured product with European call options on the Eurostoxx, when the uncertainty of the yields is modeled through log-stable processes. The basic statistics of the index yields are also exposed, the α-stable parameters are estimated, and the valuation of the of the structured models is compared through the log-stable and log-Gaussian models using inputs from the bond markets; concluding that investors obtain higher yields than those of the bond market through both models, and that the differences of the yields depend on the participation factor and on the value of the index at the time of liquidation.     

境内机构境外发行人民币债券政策研究

允许境内机构境外发行人民币债券,是顺应我国资本市场逐步开放、国际金融市场一体化趋势,助力人民币国际化新发展,利用海内外两个市场、两种资源,满足市场低成本资金需求,改善境内企业负债结构,支持企业“走出去”的有效途径,也是利用国际外资的重要渠道之一。2015年9月4日,国家发改委发布了《关于推进企业发行外债备案登记制管理改革的通知》（发改外资[2015]2044号,以下简称“境外发债新规”）,松绑了我国境内机构境外发行人民币债券的审核程序,便利了境内机构境外发行人民币债券手续,进一步推进境内机构赴境外发行人民币债券。     

How does the corporate bond market value capital investments and accruals?

This paper examines whether the mispricing of accruals documented in equity markets extends to bond markets. The paper finds that corporate bonds of firms with high operating accruals underperform corporate bonds of firms with low operating accruals. In the first year after portfolio formation, the underperformance is 115 basis points using an accrual measure that includes capital investments and 93 basis points using an accrual measure that is based only on working capital investments. The Sharpe ratios of the zero-investment bond accrual portfolios are comparable to those of the corresponding zero-investment stock accrual portfolios. The results are also robust to risk adjustments based on both a factor model consisting of the Fama and French (J. Financial Econ 33 (1993) 3) stock and bond market factors and a characteristics model based on bond ratings and duration. Cross-sectional Fama–MacBeth regressions that use individual bond data and control for stock and bond issuances in addition to ratings and duration also confirm the time-series portfolio findings. Overall, our results reveal an accrual anomaly among bonds similar to that observed among stocks.

Riding the swaption curve

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by constructing long-short combinations of two at-the-money straddles for the four major swaption markets (USD, JPY, EUR and GBP). Our findings are consistent with a concave, upward-sloping maturity structure for all markets, with the largest negative premium for the shortest term maturity. The fact that both delta–vega and delta–gamma neutral straddle combinations earn positive returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results seem robust for macroeconomic announcements and the specific model choice to estimate the risk exposures for hedging.     

Everybody wins? A discourse analysis of competing stakeholder expectations in Social Impact Bonds

ABSTRACT

This paper explores how diverse stakeholders frame their expectations of Social Impact Bonds (SIBs). Using discourse analysis, the authors examine competing expectations in SIB press releases, showing how they differ between stakeholders, between institutional contexts, and how they evolve over time. The paper highlights how the prioritization of social finance and collaboration discourses privileges the role of private investors, which in turn diminishes the role of service providers as innovators.     

Public–private partnerships in Social Impact Bonds: facilitating competition or hindering transparency?

ABSTRACT

The use of Social Impact Bonds (SIBs), which introduces the potential for investor profit in public service provision, has been widely discussed. Some argue that SIBs might promote government transparency because outcome data collection and evaluation are part of contractual terms. On the other hand, some argue that SIBs might hinder government transparency because more contractual parties might lead to more uncertain data ownership and because the profit motive transforms information into a competitive advantage. This paper looks at SIBs in five countries, examining how transparency differed between SIB and non-SIB financed programmes at the same social service provider. On the positive side, SIBs led to more and longer collection of outcome data and the publication of evaluations. On the negative side, it was found that SIBs tend to generate significant obstacles to the release of data to academic researchers and that sponsored evaluations do not measure impacts.     

新疆吐鲁番地区农村国债发行情况调查分析

多年来,国债一直是城镇居民投资的热点,农村居民购买国债难的问题日趋突出。一方面,城市内的银行机构承担着国债承购包销任务却完不成承销计划;而另一方面却是农村居民想买而买不到国债。本文对这一问题的深层次原因及农村居民购买国债的可能性进行了分析,在此基础上,提出了拓宽农村居民购买国债渠道的几点建议。