主题：Fire
Sales and Liquidity Provision in the Corporate Bond Market （公司债券市场中的降价出售与流动性供应）
主讲人：张新德，上海财经大学金融学助理教授
日期：2015年6月3日（周三）
时间：中午
12:30-13:30
地点：德州扑克大小
金融德州扑克大小
1号楼501教师休息室
语言：英文
摘要：
We
investigate the role of corporate-bond mutual funds in providing liquidity to
insurance companies that are forced to sell downgraded corporate bonds due to
regulatory constraints (Ellul, Jotikasthira, and Lundblad, 2011). First,
corporate-bond mutual funds are important liquidity providers to insurance
companies during fire sale events, purchasing about 24% of fire sale bonds
during the downgrading quarter. Second, our results support the slow-moving
capital theories (Duffie, 2010) based on searching costs and limited capital
capacity of financial intermediaries. We find that fire sale bonds receiving
less liquidity provision from mutual funds experience larger price drop and longer
recovery period. Third, corporate-bond mutual funds benefit from liquidity
provision to insurance companies. Fund managers most actively and persistently
engaging in liquidity provision demonstrate superior overall selection and
timing skills in corporate bond investments.
主讲人简介：
Xinde
Zhang is an assistant professor of finance at Shanghai University of Finance
and Economics. He teaches Financial Management and Corporate Finance for
undergraduate students and EMBA students, and Corporate Finance Theory for
doctoral students. His primary research interest is corporate governance. He
earned a Ph.D. in finance and Master in mathematics from University of North
Carolina at Charlotte and Youngstown University respectively. He joined School
of Finance at Shanghai University of Finance and Economics in 2010. From 2013
to 2014, he was a Chazen Visiting Scholar at Columbia Business School of Columbia
University.
