何治国教授是芝加哥大学Fuji Bank and Heller金融学讲席教授和罗汉堂学术委员会委员 ，并同时担任美国国家经济研究局教授研究员。何教授曾担任斯坦福大学商学研究生院杰出访问学者，目前担任顶级金融学术期刊Journal of Finance和Review of Financial Studies的副主编。
We provide causal evidence for the value of asset pledgeability. Our empirical strategy is based on a unique feature of the Chinese corporate bond markets, where bonds with identical fundamentals are simultaneously traded on two segmented markets that feature diﬀerent rules for repo transactions. We utilize a policy shock on December 8, 2014, which rendered a class of AA+ and AA bonds ineligible for repo on one of the two markets. By comparing how bond prices changed across markets and rating classes around this event, we estimate that an increase in the haircut from 0 to 100% would result in an increase in bond yields in the range of 40 to 83 bps. These estimates help us infer the magnitude of the shadow cost of capital in China.
Talk Title: Exploited by Complexity
Time: 15:00-16:30 pm
Date: 2020/4/10 (Friday)
Dr. Cameron Peng
(London School of Economics)
Dr. Cameron Peng is currently an assistant professor of finance at the London School of Economics and Political Science. He holds B.A. from Peking University and Ph.D. from Yale University. His main research interest are Behavioral Finance, Household Finance, and Empirical Asset Pricing.
Due to their complex features, structured financial products harm the average investor. But, can some investors benefit from this complexity? Using account-level transaction data of retail structured funds, we show that the rich (sophisticated) benefit from complexity at the expense of the poor (naive). The poor-to-rich wealth transfer that results from trading structured funds is substantially greater than the wealth transfer from trading simple, non-structured funds. In an event study, we further confirm that the wealth transfer can be partially attributed to investors’ differing responses to complexity. In particular, when a market crash triggers funds into a restructuring process and their prices are expected to shrink by half on a given day, the poor and naive subset of investors fail to respond effectively.