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.

江西整理金融库券发行初探

江西整理金融库券是国民政府初建时期,江西省政府针对当时江西爆发的一场空前的金融危机而发行的地方公债。通过发行整理金融库券,清理江西地方银行债款,收回旧江钞、江西十年公债、江西十四年公债,拨充裕民银行股本,近代江西最大的一场金融危机终于得以缓解。江西整理金融库券发行,为我们当今的地方公债发行提供了一些有益的借鉴和启示。     

证券支持黑龙江、吉林两省西部地区农业机械合作社建立的可行性分析

随着我国人口红利逐年下降和城镇化进程不断加快,中国农村地区农业人口老龄化问题日渐突出,如不及时解决农村劳动力缺失的问题,十年之后中国粮食安全将难以保障。农业生产机械化是我国农业升级最为基础的部分,其高效的生产力可有效补充中国农村出现的劳动力缺口。但是我国耕地所属散乱,极不利于大型农机作业,只有将各户土地集中使用,才能解决我国农业生产机械化最棘手的问题。本文以东北西部地区为样本剖析农业机械化生产的收益构成,研究农村合并耕地成立农业机械合作社的可行性。本文借鉴国内外较为成熟的证券化理论,结合东北地区实际情况,首创的提出利用证券市场加速我国农业升级的构想。     

There's more to volatility than volume

It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of transactions is held constant. In addition the distribution of price returns conditioned on volume or transaction frequency being held constant is similar to that in real time, making it clear that neither of these are the principal cause of heavy tails in price returns. We analyse recent results of Ane and Geman (2000 Ane, T and Geman, H. 2000. Order flow, transaction clock, and normality of asset returns. J. Finance, 55(5): 2259–2284. [Crossref], [Web of Science ®] , [Google Scholar]: J. Finance, 55, 2259–2284) and Gabaix et al. (2003 Gabaix, X, Gopikrishnan, P, Plerou, V and Stanley, H.E. 2003. A theory of power-law distributions in financial market fluctuations. Nature, 423: 267–270. [Crossref], [PubMed], [Web of Science ®] , [Google Scholar]: Nature, 423, 267–270), and discuss the reasons why their conclusions differ from ours. Based on a cross-sectional analysis we show that the long-memory of volatility is dominated by factors other than transaction frequency or total trading volume.     

中小企业集合债券总体信用风险度量研究

中小企业集合债券总体信用风险既包括系统风险产生的周期性违约风险,又包括相互关联关系导致的传染性违约风险。首先通过对因素模型的改进构建模型Ⅰ,研究集合债券的周期性违约风险;在此基础上引入违约传染建立模型Ⅱ,分析违约传染对违约概率及违约相关性的影响,研究集合债券的总体信用风险。最后基于模型Ⅱ进行算例研究,得出结论：企业间的相互关联关系降低了其1次违约概率,增加了其多次违约概率即违约相关性。     

国外通胀指数债券的发展、运作机理及借鉴

政府通胀指数债券作为债券市场的一种债券品种创新,具有能够帮助投资者规避长期国债投资的购买力风险、降低国债发行成本并有利于国债的顺利发行、为宏观经济调控提供有用信息等优势,我国应适时推出通胀指数债券以促进国债市场的发展。     

Attracting investors for public health programmes with Social Impact Bonds

ABSTRACT

Social impact bonds (SIBs) have emerged as an innovative financing mechanism. This paper explores how health SIBs align with investors’ expectations and the conditions required to attract investors. At present, health SIBs are unlikely to provide sufficient financial returns given their financial risk to attract mainstream investors, so may be better suited to investors who are prepared to accept lower financial returns blended with particular health impact returns.     

New development: The application of incomplete contract theory to documenting Social Impact Bonds

ABSTRACT

Nobel laureate Oliver Hart’s work in developing a theory of incomplete contracting is relevant to explaining the evolution of the pay for success contracts that undergird Social Impact Bonds (SIBs). By its very nature, a pay for success contract that supports a SIB is likely to be functionally incomplete in that it is unable to describe and differentiate in the initial contract all relevant future states of the world in which the contract is to operate. Navigating this incomplete world can be particularly challenging when it comes to government contracting for quality outcomes in social services. Accordingly, Hart’s incomplete contracting framework can help us to think more clearly about how to document a pay for success contract that best supports a SIB transaction.     

Designing an immunized portfolio: Is M-squared the key?

The theoretical and empirical properties of M-squared, a measure of cash flow dispersion used in designing duration-hedged portfolios, are examined. Contrary to prior research, minimizing M-squared is not independent of the stochastic process and the minimum M-squared portfolio is a ‘bullet’ only under a specific, convexity condition derived in the paper.Using a data base of default-free, Government of Canada bonds to set up minimum M-squared, duration-matching portfolios, we find that the convexity property does not hold in general and that minimum M-squared portfolios fail to hedge as effectively as portfolios including a bond maturing on the horizon date.     

Basel II and Bankers’ Propensity to Take or Avoid Excessive Risk

Both Basel I and Basel II are concerned (indeed, obsessed) with risk taking by bankers. But risk is an essential part of banking. The essential issues are “when are such risks excessive and does Basel II effectively constrain bankers from taking excessive risks?” I answer these questions by outlining alternative definitions of excessive risk and analyzing the extent to which Basel II deals effectively with this risk. I find the Basel II measures both costly and inadequate, and likely increase excessive risk taking. I conclude with a preferable alternative procedure – including subordinated debt fully in required capital and prompt corrective action based on prestructured capital/asset ratios.