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经管学院与深高金教授获评金融学会优秀金融论文奖
发布时间:2020-09-07浏览次数:228次

深圳经济特区金融学会2020 年优秀金融论文公布评选结果,熊伟教授、刘洪七教授的合作论文荣获一等奖,申睿教授、张劲帆教授与合作者的论文分别摘获二、三等奖。本次评选共收到论文147篇,学会秘书处对参评论文进行匿名处理后,组织业内资深专家进行评审,最终评选出论文一等奖7名,二等奖14名,三等奖29名,优秀奖若干名。


Resolving the Excessive Trading Puzzle: An Integrated Approach Based on Surveys and Transactions

论文作者:Hongqi Liu, Cameron Peng, Wei A. Xiong, and Wei Xiong


熊伟 教授

深圳高等金融研究院学术院长

研究领域:资本市场缺陷,行为金融学

刘洪七 助理教授

研究领域:资产定价,投资者注意力,行为金融学

论文摘要

The behavioral finance literature has provided over a dozen explanations for the so- called excessive trading puzzle – retail investors trade a lot even though more trading hurts their performance. It is difficult to use transaction data to differentiate these explanations as they share similar predictions by design. To confront this challenge, we design and administer a nation-wide survey among retail investors to elicit their responses to an exhaustive list of trading motives. By merging survey responses with account-level transaction data, we validate survey responses with actual trading behaviors and compare the power of survey-based and transaction-based measures of trading motives. A horse race among prevalent trading motives suggests that overconfidence in having information advantage and gambling preference quantitatively dominate other explanations for excessive trading. Moreover, other popular arguments such as neglect of trading cost do not contribute to excessive trading.


Measuring Corporate Culture Using Machine Learning

论文作者:Kai Li, Feng Mai, Rui Shen, Xinyan Yan


申睿 副教授

研究领域:资本市场,公司财务,分析师,信息披露

论文摘要

Using one of the latest machine learning techniques—the word embedding model (Mikolov et al. 2013)—and 209,480 earnings call transcripts, we obtain five corporate cultural values: innovation, integrity, quality, respect, and teamwork (Guiso, Sapienza, and Zingales 2015) for 62,664 firm-year observations over the period 2001–2018. We conduct a large number of tests to validate our measure. We show that corporate culture correlates with business outcomes, including operational efficiency, risk-taking, earnings management, executive compensation design, firm value, and deal making. We also present suggestive evidence that corporate culture is shaped by major corporate events such as mergers and acquisitions.


中国利率市场的价格发现——对国债现货、期货以及利率互换市场的研究

论文作者:张劲帆 汤莹玮 刚健华 樊林立


张劲帆 副教授

深高金宏观金融稳定与创新研究中心联席主任

研究领域:资产定价,宏观经济,金融科技

论文摘要

本文采用信息份额模型和基于向量自回归( VAR) 模型的格兰杰因果检验,研究了国债现货、国债期货和利率互换三个市场之间的价格发现机制。信息份额模型表明,从整体来看利率 互换相对于国债期货和国债现货都具有信息优势,而国债期货相对于国债现货具有信息优势。另外,国债期货的价格发现能力相对于另外两个市场都在随时间增强。格兰杰因果检验结果显示,利率互换在价格发现中单向引领国债期货以及国债现货,国债期货单向引领国债现货。所有结果一致表明,利率互换和国债期货这两种利率衍生产品在引导中国利率市场价格发现中发挥了重要作用。