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.骆兴国

个人简介：浙江大学浙江大学经济学院副教授，香港大学博士，浙江大学“求是青年学者”。研究领域为资产定价、金融工程，量化交易，能源金融，资产证券化和信用风险等，已在国际知名期刊Journal of Financial Markets、 Journal of Futures Markets、 International Review of Economics and Finance等上发表多篇文章，主持国家自科面上项目、国家自科青年项目和浙江省“钱江人才计划”等科研项目。

文章题目：The Renminbi Derivatives Trading: Microstructure and Impact on the Spot Market

文章摘要：This paper investigates the information content of currency derivatives trading in onshore and offshore Renminbi markets. We follow the microstructure approach pioneered by Evans and Lyons (2002) and find that futures order flow contains rich information of macroeconomy. Further, the in-sample and out-of-sample predictive regressions suggest that currency futures order flow and option-implied volatility are fairly informative of the return and realized volatility of the spot exchange rates. And for the forward exchange rates return, their forecasting power is even stronger. More important, we find Renminbi derivatives trading has a stronger impact on the spot market after China’s 811 Exchange Rate Reform.

2. 罗 丹

个人简介：上海财经大学金融学院副教授（终身教职），院长助理，香港大学金融学博士，主要从事资产定价理论及实证、公司金融，网络科学等领域的研究，成果被国际一流期刊Management Science、Mathematics of Operations Research和Journal of Futures Markets录用，主持国家自科青年项目，上海市“浦江人才计划”等科研项目。

文章题目：Collaboration and the Skewness of Research Institutions

文章摘要：A new means to promote collaboration is for one researcher to work simultaneously across multiple institutions. This trend is manifested in financial research during the last two decades, when cross-affiliation gauged by the average number of affiliations reported per author multiplies by a factor of three. We show that scale-free power laws characterize the resulting highly-skewed distributions of top finance journal publications of world-wide institutions. We propose an explanation of the empirical power laws, based on an evolving network model featuring two identified mechanisms: (i) nonlinear growth originating from collaboration, and (ii) linear preferential attachment. The model indicates that 87% of the total publications may have arisen from success-breeds-success.

3.张 潇

个人简介：南开大学金融学院助理教授，格拉斯哥大学经济学博士。已在国际知名期刊Journal of Corporate Finance等等上发表多篇文章。

文章题目：The difference between saving from equity and cash flow

文章摘要：Cash is saved from various of financial sources. Previous literature shows that in a fictional market, cash is saved precautionarily and firms have different propensities of saving from different sources. Intuitively, if the precautionary motivations increase cash holdings, the saving propensity of all the sources are expected to increase simultaneously. This paper studies the differences of saving from the financial sources, especially equity issuance and cash flow. We decompose the precautionary motivations into growth options, overvaluation and financial constraint. We empirically show that higher growth options, overvaluation are associated with higher saving rate of equity issuance. However, financial constraints increases the saving rates of both equity issuance and cash flow.

4. 董 慧

个人简介：上海财经大学会计学院助理教授，香港大学金融学博士，研究方向为银行监管、兼并与收购、信用风险，论文Institutional Shareholders and Corporate Social Responsibility即将发表于Journal of Financial Economics。

文章题目：Stock Analysts and Corporate Social Responsibility

文章摘要：This paper investigates the informational motive of corporate policy in corporate social responsibility (CSR). Using brokerage closures and mergers to construct exogenous changes in analyst coverage, we find that a drop in analyst coverage and the consequently reduced information supply cause a firm to engage in less socially responsible activities. Importantly, the results cannot be explained by the variations in financial constraints, through which analysts influence other corporate policies. Taken together, our findings suggest that firms are more likely to “do good” if the market has been provided with more information to value corporate social goodness.

5. 刘岩

个人简介：999策略白菜手机论坛金融系助理教授，美国纽约州立大学石溪分校经济学博士，中国银行业数据库建设项目负责人，研究方向为银行监管、公司金融，论文发表于Economics Letters、Accounting and Finance、《中国工业经济》等。

文章题目：企业-承销商关系如何影响债券融资成本？——基于地理与信息俘获的视角

文章摘要：在发债企业与投资者信息不对称较强的环境下，债券承销商承担着重要的金融中介职能。一方面，如果承销商对发债企业具有较强的信息优势，那么承销商就有可能帮助发债企业缩小与投资者间的信息不对称、降低融资成本。但另一方面，承销商的信息优势也可能使得发债企业陷入信息俘获的情形，让承销商得以借此减小竞争并获得额外收益，造成发债企业融资成本的上升。本文使用中国企业信用债发行的全样本数据，区分发债企业与承销商地理相近与多次承销所形成的差异关系，以检验承销商信息优势来源差异对企业融资成本的影响。在控制了债券、发债企业、承销商个体特征，并通过省份-季度以及行业-季度效应控制了无法观测的地区、行业和宏观经济影响之后，回归结果稳健地表明地理相近关系有助于降低企业融资成本，而多次承销关系反而会提升融资成本。上述结果说明，中国的信用债市场可能存在承销商对发债企业的信息俘获问题。基于这一结论，本文的政策建议是推动债券承销环节的制度建设，提高债券承销的效率，切实有效降低企业融资成本，推动债券融资市场的发展。

4. 赵仲匡

个人简介：999策略白菜手机论坛金融系助理教授，北京大学金融学博士，研究方向为公司金融，在Economic Modelling、《管理世界》、《经济学季刊》发表论文。

文章题目：Rating-based Restrictions, Credit Rating Inflation and Bond Covenants - Evidence from the Chinese Bond Market

文章摘要：This paper highlights the relation of two independent streams of the literature, the literature on bond covenants and literature on credit rating inflation and addresses how bond covenants are used to inflate bond ratings to comply with regulation on market access. Agency cost theory predicts that bond covenants can decrease the borrowing cost of issuers, especially for low-grade bonds. In contrast to this prediction, our generalized DID estimations find that in the Chinese bond market, investors require a much higher risk premium (180 bps) for AA bonds that are secured with collateral and guarantees than they do for AAA bonds. AA bonds also have worse ex post performance than other bonds, and their issuers engage in more earnings management ex ante than other issuers. More importantly, such an effect clusters in AA bonds, which is the threshold for credit ratings set by regulation. These findings cannot be explained by agency costs, the pay-model of credit rating agencies (CRAs) or competition. This effect is much weaker in a different segmented bond market that is not subject to such rating-based regulation, and we further estimate the deadweight loss of AA bonds (i.e., the marginal bonds most influenced by regulation) to be at least 84 bps.