Are Fundamentals Priced in the Bond Market?*

To date, the discussion of the Lev and Thiagarajan 1993 fundamentals in the prior literature has been exclusively in the context of the stock market. Our study is the first to examine the value‐relevance of these fundamentals for default risk. By focusing on the market for new bond issues, we examine the value‐relevance of the fundamental score using expected rather than realized returns. Also, by focusing on the bond market we provide a different perspective than that brought by prior studies relying solely on stock prices. We find the fundamentals to be priced in the market for new bond issues as indicators of expected future earnings and to be value‐relevant in enabling the market to discern differences in bond credit quality over and above the published bond ratings.     

2005年国际金融市场回顾与2006年展望

2005年的国际金融市场走势跌宕起伏,股票市场表现不一,债券市场基本上是区间波动走势,外汇市场美元一枝独秀,石油价格冲高回落而黄金的表现也引人注目。决定市场走势的因素是美国经济表现稳健,欧、日经济相形见绌,同时美国利率持续上升。2006年受房地产市场降温的影响,美国经济可能温和放缓,利率很快见顶,将对金融市场产生重大影响,总体而言风险加大。     

房地产还原利率的构成与测算

从分析投资的风险补偿入手，提出了房地产还原利率的构成和测算公式，同时指出了构成房地产还原利率的银行利率应是复利计算方式下，相应年期的利率，然后探讨了房地产还原利率各构成部分的测算过程，并以中国房地产市场个人住房抵押贷款市场为例，给出了不同收益年限的房地产还原利率参考数据。     

企业债券融资的比较优势与实证分析

为稳步推进资本市场改革开放和稳定发展，我国明确了大力发展企业债券市场的目的与总体方案，但市场状况仍不尽如人意。本文在分析西方企业融资理论的基础上，归纳了企业债券融资的相对优势，并结合中国融资市场的现状进行了实证研究，实证结果表明，中国上市公司企业债券融资的成本优势并不显著，但融资“信号”传递作用明显。     

中国债券市场发展评析

经过多年的艰辛努力，2002年，我国全国统一、多层次、面向各类经济主体的具有中国特色的债券市场框架基本形成，银行间、柜台和交易所三个债券子市场各有侧重、相互连通和互动。本从债券市场机制和框架形成角度，对我国债券市场10余年的发展轨迹进行了全面回顾和分析。在此基础上，对我国债券市场进一步深化发展提出了若干建议。     

Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields

Finite dimensional Markovian HJM term structure models provide ideal settings for the study of term structure dynamics and interest rate derivatives where the flexibility of the HJM framework and the tractability of Markovian models coexist. Consequently, these models became the focus of a series of papers including Carverhill (1994), Ritchken and Sankarasubramanian (1995), Bhar and Chiarella (1997), Inui and Kijima (1998), de Jong and Santa-Clara (1999), Björk and Svensson (2001) and Chiarella and Kwon (2001a). However, these models usually required the introduction of a large number of state variables which, at first sight, did not appear to have clear links to the market observed quantities, and the explicit realisations of the forward rate curve in terms of the state variables were unclear. In this paper, it is shown that the forward rate curves for these models are affine functions of the state variables, and conversely that the state variables in these models can be expressed as affine functions of a finite number of forward rates or yields. This property is useful, for example, in the estimation of model parameters. The paper also provides explicit formulae for the bond prices in terms of the state variables that generalise the formulae given in Inui and Kijima (1998), and applies the framework to obtain affine representations for a number of popular interest rate models.     

可转债分拆交易研究——台湾经验借鉴与国内创新

本文旨在对可转债分拆交易的理论研究和台湾实践经验进行梳理的基础上,为国内可转债分拆的交易框架和定价设计提供借鉴。本文的结构安排如下:首先,对可转债分拆交易的相关文献进行综述;其次,阐述可转债分拆的交易结构与理论定价;再次,介绍台湾可转债分拆交易的现实定价与法律框架;最后,结合国内的发展现状,提出国内可转债分拆交易的相关制度设计框架,并给出了进一步的政策建议。     

基于VAR模型的黄金价格影响因素分析

自20世纪70年代初期布雷顿森林体系崩溃之后，美国割断了美元与黄金的固定比价关系，使黄金价格步入了市场化的轨道，黄金价格的大幅波动越演越烈，这使得人们越来越重视探讨影响黄金价格的种种因素。为此，利用VAR模型对黄金价格自身、美国通货膨胀率、国际原油价格等因素与黄金价格总水平的关系进行研究。通过研究得到了各因素影响黄金价格总水平的程度，其中发现黄金价格自身的波动是导致国际黄金价格总水平上升的最主要因素，这为研究黄金价格的变动提供了重要依据。     

DETERMINANTS OF SOVEREIGN BONDS RATINGS: A ROBUSTNESS ANALYSIS

Several studies have attempted to deduce the determinants of sovereign bond ratings. In this study, Extreme Bounds Analysis is applied to approximately 30 factors proposed by the literature in order to assess their robustness with a focus on the relative importance that economic and political variables receive in the shaping of the ratings. We find that policies that constrain the public sector are among the most robust. Variables such as rule of law, openness to economic flows, central bank independence, and market friendly policies are found to be more robustly correlated with the ratings than foreign reserves, fiscal deficit, sovereign bond yields, and economic growth.