No consensus has yet emerged from the existing credit risk literature on how much of the observed corporate-Treasury yield spreads can be explained by credit risk. In this paper, we propose a new calibration approach based on historical default data and show that one can indeed obtain consistent estimate of the credit spread across many different economic considerations within the structural framework of credit risk valuation. We find that credit risk accounts for only a small fraction of the observed corporate-Treasury yield spreads for investment grade bonds of all maturities, with the fraction smaller for bonds of shorter maturities; and that it accounts for a much higher fraction of yield spreads for junk bonds. We obtain these results by calibrating each of the models - both existing and new ones - to be consistent with data on historical default loss experience. Different structural models, which in theory can still generate a very large range of credit spreads, are shown to predict fairly similar credit spreads under empirically reasonable parameter choices, resulting in the robustness of our conclusion.

<正>IPO能信投行80%,金融衍生品只能信10%最近多年来,国际投行戴着高信誉的光环,在中国的形象非常好,我们的社会把国际投行人士当作精英人士,政府、企业、媒体,经常把投行人士作为专家、顾问,向他们咨询请教。但是,全球金融危机的最大的肇事者之一就是国际

"经济学家茶座"是本刊推出的一个全新栏目,宗旨是以栏目为"茶座",邀请国内外经济学家到本"茶座",纵论当前经济热点,横向交流学术观点,使栏目成为经济学家思想交锋的阵地.展示观点的舞台. 7月6日,由中国人民大学汉青经济金融高级研究院、上海交通大学上海高级金融学院、梁晶工作室共同举办的"金融创新的道路与前景--探寻中国金融市场发展的逻辑"高端论坛在京召开.本次论坛,邀请到了10位国内外著名金融学家,回顾金融创新史、关注当下金融热点、展望中国未来金融市场发展的前景.尤其是对金融创新,做了很深入的探讨,对我国金融业的未来发展,具有很大的指导意义.现将论坛部分精彩内容分两期编发于此,作为"经济学家茶座"的开篇.

观点中国的强国梦要靠大批本土一流国际企业。为实现这个梦想,国家必须大力改善民企的生存环境。众所周知,GDP高速增长的中国极少拥有一流国际企业,但更令人担忧的是,国内缺乏推动本土企业发展为一流国际企业的环境。如无改善,这将是中国经济长期持续发展和成为经济强国的

Experiments on decision-making show that, when people evaluate risk, they often engage in “narrow framing”: that is, in contrast to the prediction of traditional utility functions defined over wealth or consumption, they often evaluate risks in isolation, separately from other risks they are already facing. While narrow framing has many potential real-world applications, there are almost no tractable preference specifications that incorporate it into the standard framework used by economists. In this paper, we propose such a specification and demonstrate its tractability in both portfolio choice and equilibrium settings.

<正>2008年5月12日,一个让所有中国人痛心和悲痛的日子,汶川大地震震惊了全世界。在得知此消息的第一时间,长春市慈善爱心车队作为慈善爱心的先锋志愿者与长春市交通之声广播电台共同发起了"为灾区捐款,奉献每个人的爱心,一方有难,八方支援"的街头募捐活动。在不到一个小时的时间内就筹集善款近10万元,并在第一时间内转交到长春市慈善会寄往灾区。

华尔街现在流行一句话:你设计出一个复杂的金融产品,在欧美卖不出去,一定能卖给中国.因为中国企业只知道各大金融巨头投资银行部的疗效(帮企业上市、融资,创造价值),而不知道其衍生产品部的副作用.

We review a recent approach to understanding the equity premium puzzle.The key elements of this approach are loss aversion and narrow framing, two well-known features of decision-making under risk in experimental settings.In equilibrium, models that incorporate these ideas can generate a large equity premium and a low and stable risk-free rate, even when consumption growth is smooth and only weakly correlated with the stock market.Moreover, they can do so for parameter values that correspond to sensible attitudes to independent monetary gambles.We conclude by suggesting some possible directions for future research.

We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative prospect theory, with particular focus on its probability weighting component. Our main result, derived from a novel equilibrium with non-unique global optima, is that, in contrast to the prediction of a standard expected utility model, a security's own skewness can be priced: a positively skewed security can be overpriced, and can earn a negative average excess return. Our results offer a unifying way of thinking about a number of seemingly unrelated financial phenomena, such as the low average return on IPOs, private equity, and distressed stocks; the diversification discount; the low valuation of certain equity stubs; the pricing of out-of-the-money options; and the lack of diversification in many household portfolios.

<正>他17岁参军,20岁入党,在生产车间一线无怨无悔,一干就是21年。21年来,他从未休过一个病事假,从未有过一次迟到早退,从未有过任何违纪行为,从未有过一次事故发生。21年来,他坚持每个夜班都提前一个小时到岗,累计献

<正>今年春节期间,电视连续剧《闯关东》在央视一套热播,剧中主人公朱开山一家历经磨难的闯关东经历让很多人备受感动,潸然泪下。在东北长春,也有一位这样的铮铮铁汉,在上世纪80年代末,从河南到东北,孤身一人闯关东,凭借自身的不

We study asset prices in an economy where investors derive direct utility not only from consumption but also from fluctuations in the value of their financial wealth. They are loss averse over these fluctuations, and the degree of loss aversion depends on their prior investment performance. We find that our frame- work can help explain the high mean, excess volatility, and predictability of stock returns, as well as their low correlation with consumption growth. The design of our model is influenced by prospect theory and by experimental evidence on how prior outcomes affect risky choice.

<正> 北方深秋的傍晚,天气似乎格外地冷,可刚刚从李贺家里出来的下岗职工关柏玉心里却暖融融的。因为李贺帮她办理了贷款担保的各项手续,他们的夫妻粮店又可以继续支撑下去了。她刚进屋时还担心已经退休的李贺不肯再为她继续担保了呢,看来我们的李主席还是原来那个“扶贫主席”。曾经是大型纪实话剧《工会主席》主人公的李贺,先后被评为吉林省优秀勤廉公仆、全国“五一”劳动奖章获得者,并光荣地走进人民大会堂做事迹报告,受

假如没有信用体制的话,融资者将失去融资渠道,因为市场上的其他方对他们缺乏信任缺乏研究,无法评估他们的价值,也就意味着他们很难融资或融资成本很高,甚至会导致融资渠道的关闭。假如没有信用体系将使得整个社会失去调配资源的能力,也就是说闲置的资源无法流向能为社会创造更多财富更多就业的项目上

We argue that “narrow framing,” whereby an agent who is offered a new gamble evaluates that gamble in isolation, may be a more important feature of decision-making than previously realized. Our starting point is the evidence that people are often averse to a small, independent gamble, even when the gamble is actuarially favorable. We find that a surprisingly wide range of utility functions, including many nonexpected utility specifications, have trouble explaining this evidence, but that this difficulty can be overcome by allowing for narrow framing. Our analysis makes predictions as to what kinds of preferences can most easily address the stock market participation puzzle.

<正>我的金融学博士论文的一部分就是关于衍生工具。1996年我开始在芝加哥商学院教学的时候主要教的就是衍生工具这门课程。当时，一位对此课程颇有教学经验的老教授对我说：你不要把每学期10周的课时排满，一定要留出一周的时间，因为每10周中就很可能发生一次衍生工具交易灾难，这样，你就可以用那一周的时间来分析讲解这个新的案例。的确，1996年前西方衍生工具交易灾难层出不穷。

<正>我们应该责怪摩根赚多了吗?应该指责牛根生卖贱了吗?说到头来,还是国内的资本市场没能满足企业成长对资金的需求摩根士丹利、鼎晖、英联三家境外投资机构投资蒙牛一案的成功,引起了投资界、实业界广泛的关注,甚至部分争议。这三家私募投资者向蒙牛投入约5亿元人民币,在短短三年内获投资回报约26亿港币,投资收益回报率约500%。有些评论据此认为,摩根等投资方赚得太“狠”,其与牛根生为首的蒙牛管理团队签定的“对赌合约”使资方处于进攻退守的有利局面,若蒙牛成长达不到预定要求,那么他们可以控股蒙牛,若蒙牛成长得好,他们退出时则赚得盆满钵满。

We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to invest in small and illiquid stocks, suggesting that these adverse scale effects are related to liquidity. Controlling for its size, a fund's return does not deteriorate with the size of the family that it belongs to, indicating that scale need not be bad for performance depending on how the fund is organized. Finally, using data on whether funds are solo-managed or team-managed and the composition of fund investments, we explore the idea that scale erodes fund performance because of the interaction of liquidity and organizational diseconomies.