财务金融系系列讲座之239期
时 间：2019年4月2日（周二）13:00
地 点：史带楼303室
主持人：Ph.D. Na ZHANG Department of Finance, School of Management, Fudan University
主 题：Competition, No-Arbitrage, and Systematic Risk
演讲者：Prof. Yuri TSERLUKEVICH Associate Professor in Finance, Arizona State University
摘 要：We study how strategic interaction among firms affects their systematic risk. Competition effectively imposes bounds on profitability within each economic sector because competing firms simultaneously scale production up or down in response to common demand shocks. We show that no arbitrage implies that exposure to systematic risk factors must be zero at these bounds, leading to an inverse U-shaped relation between systematic risk and sector profitability. In general, competition reduces systematic risk and attenuates size related asset pricing anomalies. Using trade flows between economic sectors, we construct a new measure of competition based on each sector's dependence on input factors and find broad empirical support for the theoretical predictions.
简 介：Yuri is an associate professor in Finance at the Arizona State University. He received the PhD degree in finance from University of California at Berkeley in 2006 and the master degree in physics from University of Minnesota in 2001. His research has been published at Journal of Finance, Management Science and Journal of Financial and Quantitative Analysis.
财务金融系
2019-3-28
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