Faculty & Research

Seminars
  • 2020/01/03
    Transparency of Private Meetings and Market Participants’ Attention Allocation: Evidence from Analysts in China

    Accounting Seminar(2020-01)Topic:Transparency of Private Meetings and Market Participants’ Attention Allocation: Evidence from Analysts in ChinaSpeaker:Ronghuo Zheng,The University of Texas at AustinTime:Friday, Jan 3rd, 10:00-11:30 a.mPlace:Room K02, Guanghua Building 2Abstract:In this paper, we investigate the consequences of increased transparency of private meetings on the attention all...

  • 2019/12/26
    Analysis of censored family data under biased sampling and its efficient two-phase design

    Statistics Seminar (2019-26)Title: Analysis of censored family data under biased sampling and its efficient two-phase designSpeaker: Yujie Zhong, Shanghai University of Finance and EconomicsTime: Thursday,December 26, 14:00-15:00Place: Room 217, Guanghua Building 2Abstract:The heritability of disease is often studied by examining within-family associations in onset times. Families for such stud...

  • 2019/12/26
    Dollar Funding, Bank Currency Mismatch, and the Transmission of Exchange Rate Policy

    ​Finance Seminar(2019-36)Topic: Dollar Funding, Bank Currency Mismatch, and the Transmission of Exchange Rate PolicySpeaker: Mai Li, Columbia UniversityTime: Thursday, 26 December, 10:00-11:30Location: Room 217, Guanghua Building 2Abstract:This paper studies a novel transmission channel for exchange rate policy in emerging markets that acts through financial institutions. According to this “...

  • 2019/12/19
    The Numeraire Effect in Initial Coin Offerings

    Finance Seminar(2019-35)Topic: The Numeraire Effect in Initial Coin OfferingsSpeaker: Fangzhou Lu,MITTime: Thursday, 19 December, 10:00-11:30Location: Room 217, Guanghua Building 2Abstract:There is a high correlation between the returns of cryptocurrencies and those of utility tokens, which are claims to products and services yet to be developed that are issued through ICOs and traded on crypt...

  • 2019/12/18
    Buy-Side Competition and Momentum Profits

    Finance Seminar(2019-34)Topic: Buy-Side Competition and Momentum ProfitsSpeaker: Nagpurnanand Prabhala,The Johns Hopkins Carey Business SchoolTime: Wednesday, 18 December, 10:00-11:30Location: Room 217, Guanghua Building 2Abstract:We show that a new measure of buy-side competition explains momentum profits. The monthly momentum spread is 1.39% when competition is low and negligible when compet...

  • 2019/12/16
    Liquid Speed: On-Demand Fast Trading at Distributed Exchanges

    Finance Seminar(2019-33)Topic: Liquid Speed: On-Demand Fast Trading at Distributed ExchangesSpeaker: Marius Zoican,University of TorontoTime: Monday, 16 December, 13:30-15:00Location: Room 217, Guanghua Building 2Abstract:Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportun...

  • 2019/12/03
    Robust Binary Voting

    ​Economics Seminar(2019-20)Topic: Robust Binary VotingSpeaker: Qinggong Wu, Hong Kong University of Science and TechnologyTime: Tuesday,Dec.3, 13:30-15:00 Location: Room 217, Guanghua Building 2 Abstract:In this paper, we study a new robustness concept in mechanism design with interdependent values: interim dominant strategy incentive compatibility (IDSIC). It requires each agent to have an ...

  • 2019/11/27
    Rent extraction by super-priority lenders

    Finance Seminar(2019-32)Topic: Rent extraction by super-priority lendersSpeaker: Wei Wang,Smith School of Business, Queen's UniversityTime: Wednesday, 27 November, 10:00-11:30Location: Room 217, Guanghua Building 2Abstract:We present striking evidence of supra-competitive pricing of debtor-in-possession (DIP) loans obtained by large firms filing for Chapter 11 bankruptcy. Fully collateralized ...

  • 2019/11/21
    Estimating and Forecasting Volatility using Leverage Effect & Nonlinear regression with nonstationarity and heteroscedasticity

    Statistics Seminar (2019-25) Title: Estimating and Forecasting Volatility using Leverage EffectSpeaker: Christina Dan Wang, NYU ShanghaiTime: Thursday, November 28, 14:00-15:00Place: Room 217, Guanghua Building 2Abstract:This research provides a theoretical foundation for our previous empirical finding that leverage effect has a role in estimating and forecasting volatility. This empirics is al...

  • 2019/11/15
    Leveraging Overconfidence

    Finance Seminar(2019-31)Topic: Leveraging OverconfidenceSpeaker: Brad M. Barber,Graduate School of Management, UC DavisTime: Friday, 15 November, 12:15-13:45Location: Room K05, Guanghua Building 2Organizers: Department of Finance, Center for Finance and Development, PKUAbstract:In theory, overconfident investors with a budget constraint use leverage more, trade more, and perform worse than wel...

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