12月24日财务金融系建系20周年之学术研讨

时间：2013年12月24日（周二）13:30　　　　　　　

地点：史带楼502室

主持人：罗妍博士　

主题一：MPS Risk Aversion and Shadow-CAPM: Theory and Emperical Evidence

演讲者：马成虎 教授

摘要: The research concerns the viability of modern portfolio theory and asset pricing theory respectively built up from Markowitz’s MV analysis and the classical Sharpe-Lintner’s CAPM. Specifically, we explored the implications of mean-preserving-spread risk averse behavior assumption on investor's sequential portfolio choice and to examine the extent to which the classical CAPM or conditional CAPM sustained as an equilibrium asset pricing model.

主题二：自利预期与目标公司盈余管理研究

演讲者：王克敏 教授

摘要:本文基于委托代理框架，应用理性预期理论，分析股权转让中目标公司高管与买方合谋策略及其后果。基于目标公司股东与高管代理冲突的公共信息，高管与买方会理性预期彼此决策并形成均衡策略，即高管通过协助买方低价受让股权以寻租，买方通过向高管交租以节约成本。研究发现，与民营目标公司高管相比，国有目标公司高管更显著地向下盈余管理，协助买方“名溢实折”地受让股权，以换取留任、加薪等福利；与民营目标公司相比，股权转让前国有目标公司向下盈余管理可更显著地美化转让后的业绩。本文拓展了股权转让中交易主体博弈及目标公司盈余管理的研究，并对民营化效率研究有所贡献。特别地，本文为相关部门监管股权转让提供了理论支持。

主题三：What drive market interest rates in China? ---A theoretical model

演讲者： 范龙振 教授

摘要: Chinese bond market is unique due to both its monetary policy and institutional background. The central bank sets a term structure of official interest rates on bank deposits and loans as well as regulates money supply. The commercial banks usually hold more than 60% of marketable bonds, and their investment opportunities are restricted to bank loans and bonds. We assume there is existence of three types of investors in the bond market: preferred-habitat investors who hold either bank loans or bonds to maturities, arbitrageurs holding bond portfolios, and fundamental investors who choose either bonds or real assets to invest by analyzing economic fundamentals. In the framework of affine model, we find uncertain change of official rates, funding liquidity, and economic fundamental variables are risk factors for arbitrageurs to face and are compensated in the risk premiums. In the model, the official rate, funding liquidity variable and real output and inflation play marginal rules in describing movement of market rates in addition to traditional latent variables.