主题：The Dark Side of Circuit Breakers（熔断机制的暗面）
主讲人：陈晖，麻省理工德州扑克大小
斯隆管理德州扑克大小
金融学副教授
日期：2017年10月25日（周三）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
Market-wide trading halts, also called
circuit breakers, have been proposed and widely adopted as a measure to
stabilize the stock market when experiencing large price movements. We develop
an intertemporal equilibrium model to examine how circuit breakers impact the
market when investors trade to share risk. We show that a downside circuit breaker
tends to lower the stock price and increase its volatility, both conditional
and realized. Due to this increase in volatility, the circuit breaker's own
presence actually raises the likelihood of reaching the triggering price. In
addition, the circuit breaker also increases the probability of hitting the
triggering price as the stock price approaches it - the so-called “magnet effect.”
Surprisingly, the volatility amplification effect becomes stronger when the wealth
share of the relatively pessimistic agent is small.
主讲人简介:
Hui
Chen is an Associate Professor of Finance at the MIT Sloan School of
Management, and a research associate at the National Bureau of Economic
Research. His research focuses on asset pricing and its connections with
corporate finance. He is particularly interested in the interactions between
the macro economy, credit risk, and liquidity risk. His recent research
projects include studying the impact of circuit breakers on asset pricing and
trading; building business cycle models to explain corporate financing,
forecast defaults, and price corporate bonds; as well as measuring the effects
of intermediary constraints on the derivative markets. He is the recipient of
the Smith Breeden Prize in 2011, among other scholarly awards. He currently
serves on the editorial boards of the Journal
of Finance, Review of Financial
Studies, and the Journal of Banking
and Finance. Chen holds a BA in economics and finance from Sun Yat-Sen
University, an MS in mathematics from the University of Michigan, and a PhD in
finance from the University of Chicago.
