999策略白菜手机论坛经管学院金融系

二、 报告人及文章摘要

1. 姚文雄

个人简介：Yao is an associate professor of J. Mack Robinson College of Business at Georgia State University. Prior to joining Georgia State, Yao spent more than nine years as the director of credit portfolio strategy and the director of underwriting analytics in Fannie Mae. He was responsible for monitoring and managing a credit portfolio of $3 trillion loans guaranteed and securitized by the company. He also managed models and policies used in underwriting millions of mortgage applications by American homeowners and was the business sponsor of corporate models used in credit risk management. His current research interests are household finance, real estate finance, and housing policies. His papers have been published in the American Economic Review, Journal of Financial Economics, Management Science, Journal of Urban Economics, Real Estate Economics, and Journal of Financial Intermediation etc. He is currently on the editorial board of Real Estate Economics – widely regarded as the leading journal in real estate.

文章题目：Cognitive Reference Points, Left-Digit Effect and Clustering in Housing Markets

文章摘要：Using listing data, we document a significant clustering in the house listing and contract prices. Degree of clustering has a direct relation with price levels. Our baseline results indicate that properties listed at smaller left digits, compared to very similar properties that are listed $100 more, are 3.8% more likely to sell, stay on the market 3.5 days (or 5%) shorter and are sold at higher price by $431 (or 0.1%). We run a number of tests to explore the alternative explanations of the estimated effects on sale outcomes besides buyer’s behavioral bias. The results support that buyer factors play a significant role. Finally, using a matched mortgage sample, we find that these buyers are more likely to have a lower credit score and lower income and to be more leveraged on their household balance sheets than those in the control group.

2. 潘 敏

个人简介：999策略白菜手机论坛金融系教授、博士生导师。兼任教育部金融学类专业教学指导委员会委员，全国金融硕士专业学位教学指导委员会委员，999策略白菜手机论坛金融发展与政策研究中心副主任。主要从事公司金融与公司治理、商业银行公司治理、货币理论与政策等领域的研究。研究成果发表于Asia-Pacific Journal of Operational Research、Economic Letters、Applied Economic Letters、East Asian Economic Review、《中国工业经济》、《金融研究》、《南开管理评论》等，主持多项国家社科基金、国家自科基金。

文章题目：宏观审慎监管、房地产市场调控和金融稳定

文章摘要：本文通过构建一个嵌入住房抵押融资摩擦、包含异质性家庭的DSGE模型，运用参数校准和估计，通过模拟分析，考察了模型不同情况下住房需求冲击和杠杆率冲击对经济增长和金融稳定的影响，比较分析了宏观审慎监管框架下贷款价值比（Loan-to-Value，LTV）动态调整规则与静态调整规则的宏观经济和金融稳定效果，以及LTV动态调整规则下“盯信贷”动态规则与“盯房价”动态规则的政策锚选择问题。研究发现，在存在抵押融资摩擦的环境下，相对于纯粹的住房需求冲击而言，住房市场的杠杆率冲击对经济增长和金融稳定的负面影响更大，有必要施加LTV类宏观审慎政策来调控住房市场，维护金融稳定；引入逆周期调节因子的LTV动态调整规则比现行的静态调整规则具有更为显著的金融稳定效果；就防范系统性金融风险而言，“盯信贷”的动态调整规则比直接“盯房价”规则更加占优，而确保该动态规则具有足够的实施弹性，对于增强维持经济金融稳定的效果至关重要。

3. 鲁维洁

个人简介：999策略白菜手机论坛金融系助理教授，香港城市大学金融学博士，主要从事公司企业社会责任、公司金融领域的研究，连续两次获得香港城市大学商学院经济与金融系杰出教学奖。研究成果发表于《管理世界》、《世界经济研究》等。

文章题目：Corporate Social Responsibility Spill-over and Synergistic Gains: Evidence from Mergers and Acquisitions

文章摘要：Using a large sample of mergers and acquisitions (M&As) in the US, we examine whether and how the difference concerned with corporate social responsibility (CSR) between the acquirer and the target affect both firms’ shareholders. We find that compared with CSR rated deals, referred as the deals with at least one firm being CSR rated, shareholders of target firms respond strongly positively to the deals consisting of high CSR acquirers and low CSR targets or non-rated targets. In particular, this CSR Spillover combination realizes higher immediate announcement returns for target firms and promotes stronger post-merger operating performance for acquirers. We attribute the source of the value creation to the acquirer’s spill-over its CSR practices and experiences to the target. These results are robust to various empirical strategies that address selection bias.

4. 周 洋

个人简介：999策略白菜手机论坛金融系助理教授，荷兰蒂尔堡大学金融学博士，主要从事资产定价、资产选择和家庭金融领域的研究，获得第一届、第二届全国金融专业硕士教学案例大赛优秀奖。研究成果发表于Journal of Futures Markets、Applied Economics Letters、《金融研究》等，主持国家自科基金一项。

文章题目：Number of Siblings, Risk-Sharing, and Financial Risk-Taking: Evidence from China

文章摘要：This paper examines the effects of number of siblings on household financial risk-taking in urban China. We find that having more siblings raises the probability of participation in financial markets and the riskiness of household portfolio. We also show that siblings serve as a source of informal financing, a substitute to formal financial institutions. Further, we find that the positive effects of number of siblings on financial risk-taking are more pronounced for individuals with higher income uncertainty, worse health status, more educated siblings and living in the areas with less financial development. Overall, these evidences suggest that risk-sharing within the extended family is a channel through which that the number of siblings affects financial decisions.

5. 江 春

个人简介：999策略白菜手机论坛金融系教授，国务院政府特殊津贴获得者、国家教育部首届“新世纪优秀人才支持计划”入选者，999策略白菜手机论坛“珞珈特聘教授”。目前担任999策略白菜手机论坛金融研究中心主任、同时担任中国金融学会理事、中国国际金融学会常务理事兼学术委员会委员等学术兼职。研究成果发表于Journal of Chinese Political Science、Japan and the World Economy、Economic Modelling、International Review of Economics and Finance、Applied Economics、Romanian Journal of Economic Forecasting、《金融研究》、《统计研究》等，主持国家社科基金重大项目一项，国家自科基金多项。

文章题目：Does the Appreciation of RMB Really Boost Domestic House Prices？Regional Evidence from China

文章摘要：This paper examines how exchange rate variations affect household welfare from the perspective of regional house prices. Given the consumption and investment attributes of housing, two corresponding mechanisms are proposed, which are the current account channel and the capital account channel. Using Chinese province-level and city-level data, we find that the capital account channel dominates the current account channel and the positive causality between exchange rate and house prices is proved by the DID specification of exchange rate reform in 2005. Moreover, we find that exchange rate movements induce more significant prices’ elevations in housings with higher investment return. Compared with existing researches at more aggregate levels, using regional data generates estimation results more consistent with theory and substantially increases the accuracy of estimated impact.

6. 韩豫峰

个人简介：Dr. Yufeng Han joined the Belk College faculty as an associate professor of finance in 2016. Prior to joining UNC Charlotte, he served as a faculty member at the University of Colorado Denver and Tulane University. Dr. Han’s primary research interests are empirical asset pricing, investment, mutual funds, and econometrics. He has published in Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Real Estate Economics and many other finance and economics journals. Dr. Han received a bachelor’s degree from Tsinghua University (China) and a Ph.D. from Washington University in St. Louis.

文章题目：How Many Firm Characteristics Drive US Stock Returns?

文章摘要：Considering a comprehensive set of 94 firm characteristics, Green, Hand, and Zhang(2017) find that the predictive ability of firm characteristics for US stock returns declines substantially after 2003 and conclude that only two characteristics affect cross sectional value-weighted expected returns since that time. Instead of using conventional ordinary or weighted least squares to estimate high-dimensional linear regressions, which is susceptible to overfitting, we apply a robust forecast combination approach to the cross section of returns. Using machine learning tools to pool forecasts, we find that most of the firm characteristics matter over time and approximately 30 matter on average at a point in time for cross-sectional expected returns both before and after 2003. Our combination approach provides informative and economically significant forecasts of cross-sectional returns before and after 2003.

7. 罗 琦

个人简介：999策略白菜手机论坛金融系教授，主要从事公司金融与资本市场领域的研究。研究成果发表于International Review of Economics and Finance、Japan Journal of Finance、Review of Pacific Basin Financial Markets and Policies、《经济研究》、《南开管理评论》、《金融研究》、《管理科学学报》、《统计研究》等，主持多项国家自科基金、教育部人文社科基金。

文章题目：Agency Problems of the Controlling Shareholder, Cash Dividends and Dynamic Adjustment of Capital Structure

文章摘要：This paper develops a dynamic tradeoff model to describe how agency problems of the controlling shareholder affect the adjustment of capital structure and explore the disciplining effects of cash dividends. The model predicts that agency conflicts increase the adjustment costs, thus slowing down the speed of capital structure adjustment. And the controlling shareholder desires conservative capital structure to mitigate the constraints on expropriating from minority shareholders. However, exogenous cash dividends are negatively related to the agency costs, and thereby influence the capital structure decisions of the corporate. Empirical tests find that the speed of capital structure adjustment is significantly and negatively correlated with the separation of ownership and control but positively correlated with the payout of cash dividends, and this positive correlation is more significant when the agency problems are more serious. Further studies show that, compared with over-levered companies, both the negative impacts of agency costs and the positive impacts of cash dividends on the speed of adjustment are stronger in under-levered companies, and this effect is more significant when agency conflicts are severe.

8. 胡 婷

个人简介：999策略白菜手机论坛金融系副教授，美国杜兰大学金融学博士，主要从事公司金融领域的研究，研究成果发表于Journal of Financial and Quantitative Analysis, Journal of Banking and Finance、《金融研究》等，主持和参与多项国家自科基金、教育部人文社科基金。

文章题目：Does Mutual Fund Liquidity Matter to Fund Investors? Evidence from an Illiquidity Shock from Stock Trading Halts

文章摘要：How do mutual fund investors react to the illiquidity shock on mutual funds' underlying assets? This paper investigates the causal effects of the liquidity of mutual funds' portfolio holdings on fund flows using the illiquidity shock from stock trading halts in Chinese stock market. This unique setting enables us to find an exogenous illiquidity shock that is out of the control mutual funds and mutual fund investors. By looking at the halt status of the top 10 heavily held stocks in actively managed equity funds from 2005 to 2016, We find that fund flows decrease with the extent to which mutual funds suffer from the illiquidity shock. Overall, the results indicate that mutual fund investors react negatively when the liquidity of mutual funds' holdings deteriorates.

9. 胡利琴

个人简介：999策略白菜手机论坛金融系副教授，2001年本科毕业于999策略白菜手机论坛数学系，2007年获999策略白菜手机论坛金融博士学位。主要研究领域为风险管理、金融工程，研究成果发表于《管理世界》、《金融研究》等，主持国家自科基金青年项目、教育部人文社科青年项目。

文章题目：差异化货币政策调控下影子银行扩张与金融稳定

文章摘要：为了缓解经济的结构性矛盾，我国央行积极运用传统货币政策调控工具，同时创设多种非常规的新型流动性调控方式，以此来支持我国经济的结构性调整和产业升级。而影子银行本身作为信用中介的产物，在这种结构性货币政策的影响下业务模式亦不断推陈出新，其逐利行为带来的系统性风险不断积聚。本文运用分位数脉冲响应模型，详细探讨了我国货币政策、影子银行扩张及金融稳定之间的动态关系。实证结果显示，由于以盯住货币供给为主的传统货币政策传导机制受阻，因此常规货币政策调控方式并不能有效改变影子银行的融资状况和风险承担行为。相反以各类借贷便利类工具为主的非常规货币政策通过影响央行货币的投放方向，以及市场利率的期限分布，使得影子银行业务更多地以通道创新及产品嵌套的高杠杆形式进行扩张，实际形成了资金在同业间“空转”，最终促使系统性风险在体系内快速积聚。为了从根本上缓解影子银行的风险隐患，本文建议应扩大借贷便利工具合格抵押品的范围，缓解货币在银行间市场上不平衡投放的局面，构建“货币政策+宏观审慎政策”双支柱的政策调控框架，引导资金回归服务实体经济的本质。