金融与财务学系系列讲座之282-283期

金融与财务学系系列讲座之282期

时间：2023年5月16日（周二）13:30-15:00

地点：史带楼604室

主题：The Cryptocurrency Participation Puzzle

演讲者：涂俊副教授, 新加坡管理大学

摘要：Ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. Equity market investors would need very pessimistic priors on mean returns to justify never buying cryptocurrency: -10.6% per month for Bitcoin, and -19.6% for a diversified cryptocurrency portfolio. Moreover, most priors that involve never purchasing cryptocurrency imply shorting it. Optimal absolute weights are generally small but non-trivial (1-5%), frequently positive, and fairly smooth. The certainty equivalent gains from cryptocurrency are comparable to international diversification and exceed the size anomaly. Costs (storage, fees) would need to exceed 21-39% per year to deter trading.

简介：Jun Tu is currently an Associate Professor of Finance at Lee Kong Chian School of Business, Singapore Management University. Professor Tu’s research interests are Behavioural Finance, Empirical Asset Pricing, Fintech, Corporate Finance, Big Data and Machine Learning and Textual Analysis. He received his Ph.D. in finance from Washington University in 2004. His research has been published in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, etc. He currently serves as Associate Editor of Journal of Economic Dynamics and Control, and China Finance Review International.

金融与财务学系系列讲座之283期

时间：2023年5月18日（周四）13:30-15:00

地点：史带楼604室

主题：Lending Competition and Funding Collaboration

演讲者：胡赟之助理教授, UNC Kenan-Flagler Business School

摘要：

We study competition and collaboration between a bank and a shadow bank that lend in the same market plagued by adverse selection. The bank has cheaper funding, whereas the shadow bank is endowed with a better screening technology. Our innovation is to allow the bank to lend to the shadow bank, i.e., to finance its competitors. This interbank arrangement lowers shadow bank’s funding cost and reduces the bank’s incentive to compete. We show two lenders collaborate when the average quality of the borrower pool is low but compete when the quality gets high. While the shadow bank always benefits from interbank financing, the bank receives more profits only when the average quality is high, at the expense of higher interest rates faced by the borrowers.

简介：

Yunzhi Hu is currently an Assistant Professor of Finance at UNC Kenan-Flagler Business School. Professor Hu’s research interests are Financial Intermediation, Corporate Finance, Macro Finance, Dynamics Games, Asset Pricing, and Macroeconomics. He received his Ph.D. in finance from the University of Chicago in 2017. His research has been published in the Journal of Finance, the Journal of Financial Economics, the Journal of Economic Theory, etc.