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【会计学院学术讲座】Fire Sales and Liquidity Provision in the Corporate Bond Market

来源:上海立信会计金融学院   点击率:
 

 题:Fire Sales and Liquidity Provision in the Corporate Bond Market

报告人:王直(Zhi Jay Wang

 间:2017628日(周三)14:00-16:00

 点:松江校区图书馆第二会议室

【备注】学术讲座:14:00-15:30;会后交流讨论:15:30-16:00

报告人简介:

王直(Z. Jay Wang),美国俄勒冈大学金融学终身教授,美国国家经济研究局研究经济学家。研究领域:资产管理与机构投资者。王直教授科研成果丰富,在Journal of Financial and Quantitative AnalysisReview of Financial StudiesJournal of Financial Intermediation等核心期刊上发表了多篇论文,连续多年在美国中西部金融年会、美国会计学会年会、美国金融学会年会、财务管理协会年会、中国金融国际年会等国际大型会议上作会议报告,曾获20092010年《中国金融评论》最佳论文奖,2007年美国中西部金融年会金融机构最佳论文奖。王直教授是亚洲金融学会年会、美国中西部金融年会以及财务管理协会年会的会议组委会成员,曾多次担任大型国际会议的分会主席。

报告摘要:

We document that corporate-bond mutual funds provide significant liquidity to insurance companies that are forced to sell downgraded corporate bonds due to regulatory constraints. Our results support the slow-moving capital theories (Duffie, 2010) based on search costs, limited capital capacity of financial intermediaries, and investor inattention. We find that fire sale bonds with higher demand from mutual funds and less selling pressure from insurance companies experience significantly smaller initial price decline. Instead of liquidating other positions to raise arbitrage capital, mutual funds mainly use cash holdings to finance the purchase of fire sale bonds. We also observe that only a subset of fund managers actively engage in liquidity provision and they demonstrate superior overall selection and timing skills in corporate bond investments.

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会计学院  

2017619

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