|职 称：||助教授(Assistant Professor)，博士生导师，硕士生导师，上海国际金融与经济研究院(SIIFE)学术研究员|
|研究兴趣：||实证资产定(Empirical Asset Pricing), 国际金融市场(International Financial Markets), 行为金融学(Behavioral Finance)|
|金融计量学(Financial Econometrics): 本科生，硕士生，博士生|
中国经济问题专题(Topics on Chinese Economic Issues): 硕士生
金融管理学(Corporate Finance): 本科生
期权与期货(Options and Futures): 硕士生
金融风险管理(Financial Risk Management): 硕士生
|1， “Media Coverage and the Cost of Debt”, with H. Gao, J. Wang, C. Wu, and X, Dong, forthcoming, Journal of Financial and Quantitative Analysis|
Abstract: This paper investigates the relation between media coverage and offering yield spreads using a comprehensive dataset of 5,338 industrial bonds issued from 1990 to 2011. We find that media coverage is negatively associated with firms’ cost of debt, and this association is robust to controlling for standard yield determinants, different model specifications, and endogeneity. We identify four economic channels through which media coverage influences the cost of debt: information asymmetry, governance, liquidity, and default risk. Importantly, media coverage has an independent influence beyond the effects of these economic mechanisms and is not a proxy for other firm attributes.
2， “The Information Content of the Sentiment Index”, with S. Sibley, Y. Xing, and X. Zhang, 2016, Journal of Banking and Finance.
Abstract: The widely-used Baker and Wurgler (2006) sentiment index is strongly correlated with business cycle variables, especially the short interest rate and Lee (2011) liquidity risk factor. The power of the sentiment index to predict cross-sectional stock returns is mainly driven by its information content related to these business cycle variables. About 63% percent of the total variation in the investor sentiment index can be explained by well-known, contemporaneous risk/business cycle variables. We decompose the widely used investor sentiment index into two components: one related to standard risk/business cycle variables and the other unrelated to those variables. We show that the power of the sentiment index to predict cross-sectional stock returns is mainly driven by the risk/business cycle component, while the component unrelated to risk/business cycle conditions has little significance in predicting cross-sectional stock returns.
•3，“Are shorts equally informed? A global perspective”, with E. Boehmer, Z. R. Huszar, and X. Zhang, 2019. R&R at RFS.
Abstract: We use eight alternative short sale measures to examine the informativeness of short sales in 38 countries for the July 2006 to December 2014 period. We find that the days-to-cover ratio and utilization ratio measures have the most robust predictive power for future stock returns in the global capital market. There are significant cross-country differences in the predictive power of the alternative short sale measures, which is stronger in countries with non-prohibitive short sale regulations and for stocks with relatively low liquidity and low price efficiency
|实证资产定价(Empirical Asset Pricing), 国际金融市场(International Financial Markets), 行为金融学(Behavioral Finance)|
1, 2017-2020, 省部级上海市全英语示范课程项目（金融计量学）
1, The Information Content of the Sentiment Index; (published at Journal of Banking and Finance, 2016)
2011-2016 美国普度大学 金融学博士；