Time：September 28, 2024

Venue：EMS 237

Each paper is allocated a total of 45 minutes (presentation for 30 minutes, free discussion for 15 minutes)

二、Speaker Bio & Abstract

1. Li Jiangyuan

Speaker Bio：Li Jiangyuan, an associate professor in the School of Finance at Shanghai University of Finance and Economics, was selected into the Shanghai Morning Light Scholar Program and has received the President's Scholarship of Singapore Management University. His research directions are macro-financial economics and empirical asset pricing, especially related to macro-disagreements, momentum effects, and the application of machine learning methods. Two of his research achievements on macro-finance and momentum effects have been respectively published in the international top financial economics journal Journal of Financial Economics, the internationally renowned financial economics journal Journal of Banking and Finance, and the internationally famous operations research journal European Journal of Operational Research.

Topic：Short-Horizon Currency Expectations

Abstract：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. Sun Xianming

Speaker Bio：Sun Xianming, an associate professor and master's supervisor in the Department of Financial Engineering at Zhongnan University of Economics and Law, currently serves as the executive deputy director of the Discipline Innovation Base for Digital Technology and Modern Finance and the group leader of the master's supervisor team for the Financial Engineering major. In 2016, he obtained dual PhDs in science (in the direction of financial mathematics) from Central South University and Ghent University (Belgium). His research focuses on financial engineering, financial technology, and related fields, and his achievements have been published in renowned academic journals such as Journal of Economic Dynamics and Control, Journal of Futures Markets, Energy Economics, and Journal of Computational and Applied Mathematics. He has presided over scientific research projects such as the general project and the youth project of the National Natural Science Foundation of China (with an "excellent" performance), and the basic scientific research project funds for central universities. He has been honored with titles such as the "Chutian Scholar" of Hubei Province, the "Wenlan Young Scholar" and the "Research Rising Star" of Zhongnan University of Economics and Law.  

Topic：Tail Risk Spillover of Commodity Futures Markets

Abstract：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.Luo Pengfei

Speaker Bio：Luo Pengfei, an associate professor and doctoral supervisor at the School of Finance and Statistics of Hunan University. He was a jointly trained doctoral student in financial engineering at Columbia University, USA, and obtained his PhD in economics from Hunan University in December 2018. He is a young backbone teacher in ordinary colleges and universities of Hunan Province. His current research directions are asset pricing and corporate finance. He has published over 30 high-quality papers in internationally authoritative journals in economic and financial management and key Chinese journals, such as European Journal of Operational Research, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Quantitative Finance, European Financial Management, Macroeconomic Dynamics, Economic Research, Theory and Practice of Systems Engineering, China Management Science, and Journal of Systems Engineering. He has presided over one general project and one youth project of the National Natural Science Foundation of China, and one youth project of the Natural Science Foundation of Hunan Province.

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

Abstract：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. Mu Congming

Speaker Bio：Mu Congming, holds a PhD in Economics (Finance), a Master's degree in Science (Applied Mathematics), and a Bachelor's degree in Science (Information and Computational Science). Currently, she is an associate professor and doctoral supervisor at the School of Finance and Statistics of Hunan University and a postdoctoral fellow at Shanghai University of Finance and Economics. Her main research fields include theoretical corporate finance, asset pricing, and financial engineering management. Currently, she has published more than 20 academic papers in SSCI-indexed journals such as Financial Management, Journal of Economic Dynamics and Control, European Journal of Finance, Quantitative Finance, and Review of Quantitative Finance and Accounting, as well as CSSCI-indexed journals such as Journal of Management Science in China, China Management Science, and Theory and Practice of Systems Engineering. He has presided over four projects of the National Natural Science Foundation of China and provincial and ministerial-level projects, and participated in two projects of the National Natural Science Foundation of China.

Topic：Entrepreneurship and Leverage Dynamics without Commitment

Abstract：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. Sun Lin

Speaker Bio：Sun Lin, an associate professor of finance at the School of International Finance and Economics of Fudan University. Professor Sun's main research fields are empirical asset pricing, hedge funds, and mutual funds. His research projects were selected for the 2018 Shanghai Pujiang Talent Program and the 2018 Youth Science Fund Project of the National Natural Science Foundation of China. He also received the 2018 Excellent Research Award of the School of International Finance and Economics of Fudan University and the Best Teaching Award of Fanhai International Finance College (FMBA FT) in 2023. His papers have been published in Journal of Financial Economics and Review of Finance.

Topic：Partisan Hedge Funds

Abstract：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. Zou Zhentao

Speaker Bio：Zou Zhentao, an associate professor in the Department of Finance, School of Economics and Management, Wuhan University, focuses on continuous-time finance. His recent research achievements have been published in important academic journals such as Journal of Economic Theory, Economic Theory, Journal of Economic Dynamics and Control, Journal of Economic Behavior & Organization, Journal of Banking & Finance, and European Journal of Operational Research. He has presided over one Youth Project of the National Natural Science Foundation of China.

Topic：Belief Dispersion in the Market for Event Risk

Abstract：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.