2025/06/24
【金科学术讲座】Market-Level Tug of War and Asset Pricing
We propose a simple indicator function based on the aggregate tug-of-war between overnight and intraday traders, and use it to identify two types of trading days: quiet and noisy days. We analyze these days and document that the security market line is upward sloping on quiet days and downward sloping on noisy days. This result is robust to a number of additional tests. Moreover, the result holds on both (i) important macroeconomic and earnings news days and (ii) other days, challenging some proposed explanations in the literature. We present and test a mechanism based on the over-correction hypothesis to rationalize the finding.
2025/06/24
【深大微众冠名讲座】杰出学者 第6期 :How does E-wallet affect monetary policy transmission: A mental accounting interpretation
With fintech growth and smartphone adoption, e-wallets, which enable instant transactions while offering cash management products with financial returns, have become increasingly prevalent. Using a unique dataset from Alipay, the world’s largest e-wallet provider, we find that holdings in Yu’EBao—an investment product usable for payments—are less affected by interest rate changes than similar assets without payment functions. This effect is stronger for users who depend on Yu’EBao for daily spending, during peak payment periods, or among less experienced investors. Our findings show that Yu’EBao reduces retail fund flow to riskier assets by 7.7% for every one-percentage-point interest rate cut, dampening monetary policy transmission through the portfolio rebalancing channel.
2025/06/24
【金科学术讲座】Accountable Developers, Accessible Homes: Regulatory Pathways to Expanding Homeownership
Homeownership builds wealth yet remains inaccessible for many. Developers constitute critical but understudied intermediaries controlling housing supply and affordability. Using India as our setting, we examine how regulatory intervention mandating developer accountability transforms homeownership. These reforms restructure the market—some exit under compliance burdens while others enter as standards replace reputation signals. The intervention benefits first-time buyers and marginalized groups while expanding affordable housing beyond metropolitan centers. Post-intervention mortgages show lower delinquency rates, revealing borrowers were deterred by developer's default risk rather than creditworthiness concerns.
2025/06/24
【深大微众冠名讲座】杰出学者 第5期 :Dynamic Portfolio for Big Data
First, we study the investor sentiment based on online information and propose constructing two investor sentiment indices based on Internet Search Queries, using linear model approaches such as partial least squares (PLS) and LASSO methods, respectively. By examining the relationship between investor sentiment and stock risk premium on overall market level, we find that these sentiment indices have predictive power for both in and out of samples. However, online investor sentiment proxies are generally high-dimensional and nonlinear. Conventionally, we need to run forecasting in two steps: build a low-dimensional index and do a prediction.
2025/06/24
【深大微众冠名讲座】杰出学者 第4期 :A Deep Neural Network Approach to Analysing US Monetary Policy
This presentation revisits the impacts of tightening monetary policy actions on a variety of economic variables by discussing: (i) the role of momentary policy in the macroeconomic stability; (ii) how stock index responding to the unanticipated monetary policy actions; (iii) policy effects on the relationship between inflation and unemployment rate; (iv) a proposal of semiparametric estimates of monetary policy effects.
2025/06/10
【金科学术讲座】Eliciting Risk Aversion with Inverse Reinforcement Learning via Interative Questioning
We investigate a framework for identifying an agent's risk aversion through interactive questioning. First, we study a one-period setting where the agent's risk aversion is characterized by a state-dependent cost function and a distortion risk measure. We establish the quantitative identifiability of this framework, proving that a finite number of interactions suffices to estimate the true risk aversion within a specified accuracy. Next, we analyze question design efficiency to accelerate estimation and derive a theoretical upper bound on convergence. We propose a novel design method based on distinguishing power and evaluate its performance via simulations. Additionally, we extend our analysis to an infinite-horizon setting, incorporating a discount factor to model dynamic risk aversion. Our approach to inferring risk preferences enables personalized robo-advising tailored to individual clients' needs.
2025/06/10
【深大微众冠名讲座】杰出学者 第3期 :AI与资本市场信息传播
生成式人工智能的升级迭代和赋能应用,对资本市场信息传播模式的变革产生了重大影响。在比较“算法主导+AI赋能应用”与“规则基础+人类专业判断”两种类型资本市场信息传播模式主要特征的基础上,借助案例实践、现实验证和实验模拟最新研究文献讨论AI介入审计师识别财务错报和舞弊、分析师盈余预测和股票评级中的特定角色;透过分析AI介入散户与机构投资者的投资决策以及AI量化投资,讨论AI介入信息传播对资本市场交易效率的影响;针对具有互动性和动态性影响的闭环信息传播过程,讨论AI介入资本市场信息传播过程中上市公司信息披露及其内部治理的反馈效应。
2025/06/10
【深大微众冠名讲座】杰出学者 第2期 :Unintended Consequences of Mandatory Employee Heat Protection: Evidence from Chinese Firms
Leveraging exogenous upgrades of outdoor workers’ heat protection policy in 2010 in a large Chinese city, our research explores how employers respond to increasing human capital cost and, thus, harm the wage of employees. Using a micro-level employer-employee matched panel database with the annual total income information covering over two million workers between 2008 and 2013, and applying a differences-in-differences approach with two-way fixed effects, we find that: (1) Despite the policy raising the heat protection allowance standard twice for employees, the affected employers decreased the growth rate of employees’ total compensation by approximately 4.6%, especially for low-income employees. (2) affected employers also decreased their expanding rate in terms of employee number by approximately 5.0%. Both findings concentrate on private firms rather than state-owned firms.
2025/06/05
【金科学术讲座】Jump risk premia in the currency market: evidence from quanto forwards
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
2025/06/05
【金科学术讲座】The Value of Payment Convenience: Evidence from Households' Investment in Money Market Funds
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.
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