Seminar Schedule, Spring 2021
Seminars are held mainly online through Tencent Meet ID: 715 2756 7966，or Zoom (for seminars with a * sign).
Regularly 16:10-17:40 (before May) or 16:40-18:10 (as of May) on Thursday, with a few exceptions.
All times displayed in Beijing time.
15 Apr, Junsheng Zhang, Sun Yat-sen University
永续债发行与国有企业去杠杆：经济实质抑或财务表象
22 Apr, Xue Xu, Nankai University
Ingroup bias in a social learning game
13 May, Baoshun Wang, Zhongnan University of Economics and Law
Growth Versus Equity: Effect of centralized transfer on provincial economies in China (postponed until further notice)
20 May*, Zifeng Feng, Frostburg State University, USA
Household Income, Asset Location and Real Estate Value: Evidence from REITs
27 May, Fa Wang, Peking University
Maximum Likelihood Estimation and Inference for High Dimensional Factor Models with Regime Switching
03 Jun, Kaixing Huang, Nankai University
Adaptation May Reduce Climate Damage in Agriculture by Two Thirds
15 Apr, Thur, 16:10-17:40
张俊生 Zhang, Junsheng
中山大学
Sun Yat-sen University
永续债发行与国有企业去杠杆：经济实质抑或财务表象
摘要:
本文研究国有企业将发行的永续债确认为所有者权益是否能达到实质去杠杆的效果。数据分析结果显示：首先，在去杠杆的政策压力下，在国有企业发行的永续债中，98%的永续债在财务报表中被计入所有者权益；其次，国有企业的前期负债水平对永续债发行决策具有显著的正向解释力，即去杠杆可能是国有企业发行永续债的重要目的之一；然而，资本市场更倾向于将永续债视作债券，而不是权益。具体体现在永续债不仅放大了发行人杠杆水平对信用评级的负向影响，而且放大了发行人杠杆水平对于债券信用利差的正向影响，这在机构投资者占主体的银行间债券市场更为显著。本文的研究结果意味着：在国有企业迎合资本结构监管的背景下，债券市场投资者对混合金融工具的评价并不依赖于发行企业的自主会计划分，而更可能取决于混合金融工具的实质特征。监管者与投资者需关注永续债发行带来的金融风险，并谨防部分企业把永续债当作虚假去杠杆的工具。
22 Apr, Thur, 16:10-17:40
徐雪 Xu, Xue
南开大学
Nankai University
Ingroup bias in a social learning game
Abstract:
Does social learning and subsequent private information processing differ depending on whether the observer shares the same group identity as the predecessor? Answering this question can have important implications regarding how people form beliefs and make decisions. In this paper, we conduct a lab experiment to answer this question, in which subjects first observe a social signal and then receive a private signal. We find that subjects put greater weights on the social signal if they share with the predecessor the same group identity induced in the experimental environment. We also provide suggestive evidence that such ingroup bias cannot be explained by the ingroup bias in beliefs of the predecessor's rationality. Moreover, heterogeneous ingroup bias also exists in weights given to the subsequent private signal: Compared to when the predecessor is an outgroup, those who have learned from an ingroup put a greater (lower) weight on a private signal if it contradicts (confirms) the social signal. We conjecture that such group effects are consistent with that group identity is a framing device that can be easily replaced by alternative decision heuristics.
29 Apr, Thur, 16:10-17:40
李哲 Li, Zhe
中央财经大学
Central University of Finance and Economics
Starts and Refutations of the Covid-19 Epidemic Rumors: Evidence from the Reaction of the Stock Market
Abstract:
The outbreak of the Covid-19 epidemic has affected investors' decision-making in different ways. By manually collecting data on internet-based rumors from January to March 2020, this paper focuses on whether investors reacted to different types of rumors regarding the Covid-19 epidemic. We not only investigated the market reaction of the rumors spread, but also test the market reaction for government’s refutation on Covid-19 epidemic rumors. Empirical results show that the starts of frightening rumors have negative impact on the investors, while the starts of relaxing rumors have positive impact on investors. For the market reaction when government refuted the rumors, we found that the refutation of frightening rumors trigger a significant positive market response, while the refutation of relaxing rumors causes no significant market reaction. Further analysis shows that there is obvious stock price drift when frightening rumors are refuted by governments, while analysts’ following and internet usage can significantly reduce the stock price drift above. The conclusions of this paper are still robust after considering potential endogenity.
13 May, Thur, 16:40-18:10
(postponed until further notice)
王宝顺 Wang, Baoshun
中南财经政法大学
Zhongnan University of Economics and Law
Growth Versus Equity: Effect of centralized transfer on provincial economies in China
Abstract:
Centralized fiscal transfers to the provinces are the principal means of reducing regional income inequalities in China. It is recognized that the rich Eastern provinces provide the source of transfer revenues that are disbursed to the poorer Western provinces. We ask two questions: one, the effect of transfers on provincial economies; two, we ask if the regional equity objective comes at the price of aggregate economic growth. We group 31 mainland Chinese provinces to four groups: northeast (3 provinces), coastal (10), middle (6) and west (12) regions as they differ economically. We estimate a homogenous Panel Vector Auto Regression (PVAR) for each region that entails centralized transfers, internal government expenditure, taxes, and income per person between 1994 and 2018. The data selects a two-lagged PVAR with province and time fixed effects, that model province differences within each region as well as factors common to each region across time. The transfers multipliers are highest in this order: middle, coastal, west and the northeast. Only in one instance we find transferring from the coastal to the middle region raises the total income per person. Our findings suggest future work to understand the differences in transfers multipliers across regions.
20 May, Thur, 19:30-21:00
冯自锋 Feng, Zifeng
Frostburg State University, USA
Abstract：
This article investigates the extent to which the market valuation of properties is related to the income growth of their asset locations. Based on the income tax data from the Internal Revenue Service (IRS) and the individual property information of US equity real estate investment trusts (REITs) from 1995-2018, I construct an aggregated measure of income growth for each REIT based on its asset locations in different metropolitan areas. The results show that REITs’ market value and stock return are positively correlated with their previous-year household income growth. Further analysis provides evidence that income growth enhances shareholder value mainly through wages & salaries growth, not investment income growth. Moreover, firm-level operational efficiency is also found to be positively related to household income growth and wages & salaries growth. Additional tests such as splitting REITs into demand services and supply jobs subsample, controlling GDP growth and population growth, and analyzing real estate value growth at the MSA level are conducted. The results are largely consistent. Overall, these findings suggest that household income growth has a significant impact on real estate value and that the asset allocation strategy of a portfolio can play an important role in its long-term prospects.
27 May, Thur, 16:40-18:10
王法 Wang, Fa
北京大学
Peking University
Maximum Likelihood Estimation and Inference for High Dimensional Factor Models with Regime Switching
Abstract:
This paper proposes maximum (quasi) likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by EM algorithm, which only requires iteratively calculating regime probabilities and principal components of the weighted sample covariance matrix. When regime state dynamics are taken into account, smoothed regime probabilities are calculated using a recursive algorithm. Consistency, convergence rates and limit distributions of the estimated loadings and estimated factors are established under general conditions that allow for weak cross-sectional and temporal dependence as well as heteroscedasticity. A new information criterion is proposed to consistently determine the number of regimes and the number of factors in each regime. It is worth noting that due to high dimension, the regime of each period can be identified consistently.
03 Jun, Thur, 16:40-18:10
黄开兴 Huang, Kaixing
南开大学
Nankai University
Adaptation May Reduce Climate Damage in Agriculture by Two Thirds
Abstract:
Although climate change may severely impact agriculture, farmers can mitigate it by adapting. Using US data, we estimate the amount of potential loss in agricultural profits, due to climate change, that can be reduced by agricultural adaptation. We consider two panel frameworks that differ only in their fixed effects specifications, where this difference allows us to estimate the climate change impact on agricultural profits with or without adaptation. Comparing these estimates, we find that adaptation has the potential to offset about two-thirds of the end-of-century loss in agricultural profits potentially resulting from climate change. We also find that the warmest region in the US (i.e. in the south) has the most to gain from adaptation.
10 Jun, Thur, 16:40-18:10
段堃 Duan, Kun
华中科技大学
Huazhong University of Science and Technology
Housing Price and Macroeconomic Interactions in Equilibrium: A Walk Down Memory Lane
Abstract：
We investigate how macroeconomic variations govern equilibrium housing prices by identifying effect-transmissions separately via demand and supply functions of housing within a memory-embedded interactive system. Using quarterly data for the US during 1975-2016 and a fractionally cointegrated vector-autoregressive model, we reveal dominant reactions of housing demand against relatively inelastic responses on the supply-side at equilibrium when facing the same macroeconomic variations. Long-memory featured error corrections make the housing market-macroeconomic system dynamically inefficient and asymptotically stable. This further explains why housing markets often respond slowly to macroeconomic interventions. Forecasting exercises and restrictions in parameter-space reassure robustness of our findings.
24 Jun, Thur, 16:40-18:10
University of South Carolina, USA
Abstract：
Insiders must disclose indirect trades made through accounts they control, including family, trust, retirement, and foundation accounts. Indirect trades through these accounts are more profitable than direct trades in the insider’s own account. They are also more likely to be made by ‘opportunistic’ insiders who make non-routine trades, or who trade profitably before earnings announcements, or have a short investment horizon. These trades contain more predictive information about earnings surprises and large price changes, and they tend to be made by insiders at firms with high information asymmetry. Insiders also make fewer indirect trades following periods of intense regulatory scrutiny.