武汉大学经济与管理学院金融系

一、议程

时间：2024/9/28（星期六）

场地：金融系易方达会议室237

注：每篇论文共计45分钟（报告30分钟，自由讨论15分钟）

二、报告人及文章摘要

1. 李江远

个人简介：李江远，上海财经大学金融学院副教授，曾入选上海市晨光学者计划，并曾荣获新加坡管理大学校长奖学金。其研究方向为宏观金融经济学、实证资产定价，特别是与宏观意见分歧、动量效应及机器学习方法应用的相关研究，已有两篇关于宏观金融和动量效应的研究成果分别发表于国际顶级金融学期刊Journal of Financial Economics，国际著名金融经济学期刊Journal of Banking and Finance和国际著名运筹学期刊European Journal of Operational Research。

题目：Short-Horizon Currency Expectations

摘要：In this paper, we show that only the systematic component of exchange rate expectations of professional investors is a strong predictor of the cross-section of currency returns. The predictability is strong in short and long horizons. The strategy offers significant Sharpe ratios for holding periods of 1 to 12 months, and it is unrelated to existing currency investment strategies, including risk-based currency momentum. The results hold for forecast horizons of 3, 12, and 24 months, and they are robust after accounting for transaction costs. The idiosyncratic component of currency expectations does not contain important information for the cross-section of currency returns. Our strategy is more significant for currencies with low sentiment and it is not driven by volatility and illiquidity. The results are robust when we extract the systematic component of the forecasts using a larger number of predictors.

2. 孙宪明

个人简介：孙宪明，中南财经政法大学金融工程系副教授、硕士研究生导师，现任数字技术与现代金融学科创新引智基地执行副主任、金融工程专业硕士生导师组组长。2016 年获得中南大学和根特大学（比利时）理学双博士（金融数学方向），研究方向为金融工程、金融科技及其相关领域，成果发表在Journal of Economic Dynamics and Control，Journal of Futures Markets，Energy Economics，Journal of Computational and Applied Mathematics 等知名学术期刊。主持国家自然科学基金面上项目和青年项目（结项绩效“优”）、中央高校基本科研业务经费项目等科研项目。荣获湖北省“楚天学者”、中南财经政法大学“文澜青年学者”和“科研新星”等荣誉称号。

题目：Tail Risk Spillover of Commodity Futures Markets

摘要：This paper examines the tail risk spillover in commodity futures markets, with a particular focus on the dynamics related to the Chinese markets. To overcome the limitations of conventional network methods in terms of dimensionality, we employ a bootstrap-based probabilistic analysis to extend the Diebold-Yilmaz network model for measuring spillover effects. Our empirical results demonstrate both intra- and inter-group tail risk connectedness among commodity futures, highlighting variations in such connectedness during crisis periods. Additionally, we find the tail risk spillover between commodity spot and futures markets and identify dominant sources of risk transmission through our probabilistic analysis.

3. 罗鹏飞

个人简介：罗鹏飞，湖南大学金融与统计学院副教授，博士生导师。美国哥伦比亚大学金融工程专业联合培养博士生，2018年12月于湖南大学获经济学博士学位，湖南省普通高校青年骨干教师。目前研究方向为资产定价和公司金融，在经济金融管理类国际权威期刊和中文重点期刊上发表高质量论文30余篇，如European Journal of Operational Research，Journal of Banking and Finance，Journal of Economic Dynamics and Control，Quantitative Finance，European Financial Management，Macroeconomic Dynamics，《经济研究》《系统工程理论与实践》《中国管理科学》《系统工程学报》等。主持国家自然科学基金面上、青年项目、湖南省自然科学基金青年项目各一项。

题目：Strategic capacity investment and optimal subsidies with carbon emission reduction

摘要：We develop a dynamic investment model in duopoly market that incorporates consumer subsidy and manufacturer subsidy, considering the effects of social environmental concern and carbon emission reduction. This model elucidates the impact of social environmental concern and competition game on optimal subsidies, carbon emission reduction, capacity investment decisions. Our findings indicate the existence of efficient consumer subsidy boundaries in duopoly markets. Furthermore, compared to the non-strategic scenario, the firm in the strategic scenario faces lower consumer subsidy and manufacturer subsidy. Additionally, social environmental concerns lead to a decrease in optimal consumer subsidy, manufacturer subsidy, capacity level, and have a U-shaped effect on carbon emission reduction. We also find that uncertainty raises consumer subsidy, manufacturer subsidy, carbon emission reduction after the followers’ investment, and capacity level.

4. 母从明

个人简介：母从明，经济学博士(金融学)，理学硕士(应用数学)，理学学士(信息与计算科学)，现任湖南大学金融与统计学院副教授、博士生导师，上海财经大学博士后。主要从事理论公司金融、资产定价和金融工程管理等领域研究。目前在Financial management，Journal of Economic Dynamics and Control，European Journal of Finance，Quantitative Finance和Review of Quantitative Finance and Accounting等SSCI收录期刊和《管理科学学报》《中国管理科学》以及《系统工程理论与实践》等CSSCI收录期刊上发表学术论文20余篇，主持国家自然科学基金项目和省部级项目4项，参与国家自然科学基金项目2项。

题目：Entrepreneurship and Leverage Dynamics without Commitment

摘要：This paper investigates the interdependent decisions of consumption, risk exposures, and debt financing facing a risk-averse entrepreneur who cannot commit to future leverage choices and default decisions. When issuing debt in a continuous method, the risk averse entrepreneur not only internalizes the tax benefit of debt finance, but also considers: (1) the difference in required return on debt between the entrepreneur and creditor; (2) the effect of natural retirement of debt on liquidity; (3) the effect of expected changes of debt price on liquidity. When the liquidity buffer drops and the firm approaches financial distress, the entrepreneur consumes less but takes on more risk to ``gamble for resurrection''. When the entrepreneurial firm approaches financial distress, the entrepreneur consumes less but takes on more risk to ``gamble for resurrection'', thereby exhibiting less risk averse. Whether the wealth accumulation and debt maturity can case leverage to mean-revert toward a target depends on debt maturity and the entrepreneur's risk aversion.

5. 孙林

个人简介：孙林，复旦大学国际金融学院金融学副教授。孙林教授的主要研究领域为实证资产定价、对冲基金、共同基金。他的研究课题入选了2018年上海市浦江人才项目与2018年国家自然科学委员会青年科学基金项目，并荣获2018年度复旦大学国际金融学院优秀研究奖、2023年泛海国际金融学院最佳教学奖（FMBA FT）。他的论文发表于Journal of Financial Economics 和 Review of Finance。

题目：Partisan Hedge Funds

摘要：Does political partisanship shape the investment performance of professional fund managers? We find that hedge funds that hold stocks that are strongly aligned with the incumbent president's economic policies underperform funds that hold stocks that are poorly aligned with the incumbent president's economic policies by 3.84\% per year after adjusting for risk. Instrumental variable regressions that exploit variation in fund manager political alignment with the incumbent president and political optimism address endogeneity concerns. In line with a partisanship bias story, our findings are driven by managers who are politically aligned with the incumbent president and stronger when (a) fund managers are highly partisan, (b) sentiment diverges between Democrats and Republicans, and (c) conflicts occur between the President and US Congress. Our results extend to mutual funds and suggest that political partisanship can be detrimental for investment management.

6. 邹镇涛

个人简介：邹镇涛，武汉大学经济与管理学院金融系副教授，研究领域为连续时间金融。近年研究成果发表于Journal of Economic Theory，Economic Theory，Journal of Economic Dynamics and Control，Journal of Economic Behavior & Organization，Journal of Banking & Finance，European Journal of Operational Research等重要学术期刊上。主持国家自然科学基金青年项目一项。

题目：Belief Dispersion in the Market for Event Risk

摘要：We present a tractable model of belief dispersion in which a continuum of investors differs in beliefs regarding rare events. Belief dispersion amplifies event risk in the cash-flow news: the stock has an enlarged jump size, and stock options are priced under self-exciting jump risk while real jumps in the stock remain homogeneous and unpredictable. The jump risk premium shows countercyclical variations. Furthermore, we find an inverted U-shaped relation between belief dispersion and the size of the event-risk insurance market. In an otherwise identical two-investor economy with heterogeneous beliefs, belief dispersion and its amplification effects disappear in extreme economic states.