We develop a novel approach to quantify the risk premia compensation for exposure to cojumps in foreign exchange rates and stock market indices. Utilizing currency quanto contract, we construct a self-financing portfolio that is only exposed to the exchange rate and stock market cojump risks and measure the average return of this portfolio as the associated risk premia. We find that the difference between high- and low-interest-rate currencies' cojump risk premia is small compared to currency risk premia, in sharp contrast to the implications of standard rare disaster models

This paper quantifies the value that households place on payment convenience embedded in financial products. Leveraging a unique administrative dataset from Alipay that tracks individual fund holdings and consumption transactions, we estimate a structural demand model that accounts for both product-level characteristics and investor-level heterogeneity. On average, households are willing to pay approximately 30 basis points in equivalent annual fees to access integrated payment services, even after controlling for reach-for-yield motives. We find substantial heterogeneity in preferences: wealthier households and males exhibit higher valuations, although the gender difference is entirely driven by younger cohorts. Notably, the valuation differs little between users who frequently utilize Yuebao for transactions and those who do not, suggesting that the payment feature provides option value, likely motivated by precautionary liquidity considerations.

Building on time-honored ideas from technical analysis, we propose a simple new test, termed theMarubozu test, for detecting abrupt asset price changes over short time intervals based on the information embedded in readily available high-frequency candlesticks. Using an infill asymptotic framework, combined with a novel coupling-based method, we show that the test is correctly sized and optimal, or nearly so, against a variety of empirically plausible alternatives. Underscoring the practical relevance of the test, we demonstrate its ability to illuminate significant economic shocks triggered by specific statements made by the Fed chair in post-FOMC announcement press conferences.

We propose a family of incentive contracts that can attract some fund managers who are favored by all investors and deter any manager who is unfavored by any investor. This contracting problem has hidden types, hidden actions, hidden knowledge of preferences, and opportunity cost. In contrast to standard screening contracts, our contracts neither depend explicitly on the utilities of the managers and investors nor have a menu of choices. The contracts have two crucial components: (i) a first-loss deposit to be used to offset some of the investors' losses and (ii) a liquidation boundary. A case study is also given.

Credit information sharing among lenders disciplines borrower behaviors and enables lenders to better screen and monitor borrowers. Using staggered reforms to European countries’ public credit registries as a shock to credit information sharing, we examine the impact of such sharing on borrowers’ financial reporting quality. Specifically, we focus on accounting information’s debt contracting value, which captures the extent to which a firm’s accounting information reflects its credit quality. We hypothesize and find a positive effect of credit information sharing on the debt contracting value of borrowing firms’ accounting information.

Abstract:  This study provides the first in-depth analysis of concentrated liquidity provision (CLP) strategies in decentralized finance (DeFi). We compile a comprehensive dataset of all CLP positions and trades on the Ethereum blockchain, ...

This paper aims to detect structural break points in latent networks in a panel data setting. We consider panel models where the outcome of a unit depends on the outcomes and characteristics of other units. The latent network structure induces high-dimensional parameters and interactive outcomes generate endogeneity. Our goal is to detect breaks in high-dimensional network parameters associated with endogenous variables. We propose a two-step penalized nonlinear least squares approach to estimate the break points based on reduced forms, and show that the resulting estimator achieves superconsistency. This property allows us to estimate, and make inferences on, network and slope parameters as if the true break points were known

主讲人Speaker:赵山 副教授 香港城市大学时间Date & Time:2025年3月25日（周二），下午14:00--15:30地点Venue:粤海校区汇星楼565会议室内容简介/ Abstract:We examine the impact of investment banking business ties on mutual fund proxy voting decisions in shareholder meetings. Controlling for a comprehensive set of saturated fixed effects, we find robust evidence that fund families are more likely to vote ...

主讲人Speaker:易君健 特聘教授 北京大学时间Date & Time:2025年1月14日（周二），上午10:30--12:00地点Venue:粤海校区汇星楼565会议室内容简介/ Abstract:A marked feature of health insurance plan choice is inconsistent choices through the overweighting of premiums relative to out-of-pocket spending. We show that this source of inconsistency disappears when both types of spending come from the same sourc...

主讲人Speaker:于涵 副教授 南洋理工大学计算与数据科学学院时间Date & Time:2025年1月8日（周三），下午15:00--16:30地点Venue:粤海校区汇星楼565会议室内容简介/ Abstract:大型模型的兴起突显了联邦学习作为关键研究方向的重要性和相关性。随着大型模型成为机器学习开发的主流，研究重点从模型架构设计转向解决与隐私保护和分布式学习相关的问题。联邦学习方法的进步有潜力释放大型模型的价值，实现高效且可扩展的训练，同时...