中国上市公司可转债融资特征:债券性还是期权性?

中国上市公司可转债融资表现出了较强的债券性特征,因此,上市公司可依其来选择可转换债券融资。这与Essige(1992)美国公司利用可转债融资表现出期权性特征,重视可转债在降低企业风险方面发挥作用的研究结果不同。     

国债对民间消费效率的计量分析——基于协整和ECM模型的检验

采用1981年～2007年数据,用协整和误差修正模型分析了我国国债对民间消费的效率,分析表明:无论是从长期还是短期看,国债的存量和流量都促进了我国的民间消费;我国国债符合"凯恩斯主义"理论,"李嘉图主义"关于国债理论在中国不成立.     

Does the Quality of Financial Advice Affect Prices?

Using a large data sample of 58,562 new municipal issues covering the period from 1984 to 2002, we examine whether the quality of advice provided by a financial advisor affects new issue interest costs. We find that higher‐quality financial advisors are associated with statistically significant decreases in new issue yields. The effect of advisor quality on yields is more pronounced for revenue, negotiated, and opaque bond issues than for general obligation and competitively sold issues. However, issuers of revenue or negotiated bonds are more likely to choose a low‐quality advisor.     

The determinants of secondary market prices for developing country loans: the impact of country risk

With better-defined variables based on Euromoney country risk data as explanatory variables, the determinants of the prices of the debts of less-developed countries (LDCs) in the secondary market are estimated. With the use of cross-sectional data on 27 countries for the years 1992, 1993, and 1994, the regression results indicate that sovereign credit ratings constitute the most important variable influencing prices; other significant variables include the level of external indebtedness and the amount of debt in default. Separate results have been obtained for each of the two categories of countries grouped according to the level of economic development. These results are more meaningful than those of previous studies because the model includes, in addition to debt-servicing capacity, other variables that best explain the prices of LDCs' debt within the context of a risky debt instrument.     

Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds

If calibrated to an observed term structure of interest rates that only covers a finite range of times-to-maturity an HJM-model of the term structure of interest rates will eventually die out in finite time as bonds reach maturity. This poses problems for the pricing and hedging of certain contingent claims. Therefore, we extend the HJM-model in such a way that it lives on an arbitrary time horizon and possesses term structures that cover a constant finite interval of times-to-maturity. We consider the pricing and hedging of contingent claims in this framework.     

The information content of a convertible debt offer announcement

We develop a model of convertible debt financing that combines issue and call decisions into a common framework. The model suggests a role for refinancing costs in a manager's efforts to signal firm productivity to investors by an appropriate choice of debt issue terms. A cross section of convertible debt offers can be divided into two groups: a high conversion ratio group and a low conversion ratio group. The model predicts that high conversion ratios are negatively correlated with offer announcement stock returns and low conversion ratios are uncorrelated with offer announcement stock returns. The model is tested on a sample of 124 convertible debt offer announcements. Test results support model accuracy.     

Bounds for option prices and expected payoffs

This article sharpens Lo's upper bounds for option prices using an alternative approach with the assumption that the underlying asset price is continuously distributed. The increased sharpness is obtained using additional information about the distribution of the underlying assets. It is shown in this article that a large portion of Lo's upper bounds is the maximum of our bounds over all possible distributions.     

Valuation Model of Defaultable Bond Values in Emerging Markets

This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closed-form solution of the defaultable bond price from the model as a function of a signaling variable and a short-term interest rate. The numerical results show that the model values generated by using foreign exchange rates as the signaling variables can broadly track the market credit spreads of defaultable bonds in South Korea and Brazil. Given an expected level of the foreign exchange rate, defaultable bond values under a stressed market situation can be obtained.     

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。     

关于积极财政政策的若干认识

积极财政政策是反周期扩张性财政政策的中国式表述，代表性事项是政府举借长期建设国债筹资而用于投资、扩大内需，投资的重点体现了政府职能的优化调整和短期目标与中长期目标的结合衔接。我国这一扩张性政策在支持发展的同时，赤字控制在可接受范围内，其在过去五年内对国民经济的贡献应充分肯定，其成效将会发生长久影响。2003年这一政策继续实行，在实现反周期基本目标之后这一政策必然要淡出。