40. March 3, 2016
41. March 10, 2016
42. March 17, 2016
43. March 17, 2016
44. March 28, 2016
46. May 12, 2016
47. May 25, 2016
48. June 1, 2016
49. June 6, 2016
50. June 14, 2016
- Speaker: Dr. Li, Qingyuan (Professor, Wuhan University)
- Topic: Investment Cycle of State Owned Enterprise around National Elections
- Time: 10:00-11:30 am
- Venue: Liangsheng Building
- Abstract: Abundant prior literature has examined the difference in efficiency between state-owned enterprises (SOEs thereafter) and non-SOEs, and the literature’s explanation for such a difference is that SOEs have multiple goals, and politicians’ control over SOEs enables them to fulfill their own political goals. Consistent with this explanation, based on a large international sample of SOEs, this paper provides the first cross-country, firm-level empirical evidence about political influences on SOEs. It shows that during national election years, corporate investment by SOEs increases by an average of 26.92%, relative to nonelection years. The effect on SOEs’ investment is greater for elections with close outcomes, and for elections in countries with low institutional quality, and for SOEs facing larger political pressure. Additionally, SOEs increase bank loan level by an average of 23.42% in election years in countries with state-dominated banking systems, relative to nonelection years. Overall, our results suggest that in election years, incumbent government uses SOEs for its political goals by increasing corporate investment and financing it via a state-dominated banking system.
41. March 10, 2016
- Speaker: Dr. Luo, Yulei (Associate Professor, The University of Hong Kong)
- Topic: Robustly Strategic Consumption-Portfolio Rules with Informational Frictions
- Time: 10:00-11:30 am
- Venue: Liangsheng Building
- Abstract: This paper provides a tractable continuous-time constant-absolute-risk averse (CARA)-Gaussian framework to explore how the interactions of fundamental uncertainty, model uncertainty due to a preference for robustness (RB), and state uncertainty due to information-processing constraints (rational inattention or RI) affect strategic consumption-portfolio rules and precautionary savings in the presence of uninsurable labor income. Specifically, after solving the model explicitly, I compute and compare the elasticities of strategic asset allocation and precautionary savings to risk aversion, robustness, and inattention. Furthermore, for plausibly estimated and calibrated model parameters, I quantitatively analyze how the interactions of model uncertainty and state uncertainty affect the optimal share invested in the risky asset, and show that they can provide a potential explanation for the observed stockholding behavior of households with different education and income levels.
42. March 17, 2016
- Speaker: Dr. Dai, Jing (Assistant Professor, Nottingham University at China)
- Topic: Understanding the Role of Pressures and Organizational culture in the Corporate Environmental Strategy: the Chinese Manufacturing Context
- Time: 1:00-2:30 pm
- Venue: Liangsheng Building
- Abstract: Environmental management has been researching extensively in the last two decades. Scholars increasingly tout institutional theory as an important perspective for studies on environmental management. However institutional theory is not enough to understand the different reaction while companies facing similar institutional pressure in the industry. Thus, it is necessary for scholars to investigate the potential moderators in the process of a firm’s experiencing, interpreting, and managing institutional pressures. Exploring the moderating effect of organizational value (culture) may help provide more implications. A firm exerts discretion by following its own rules and values rather than passively submitting to conventions prevailing in its organizational field. Thus, institutional pressures and organizational value may work together and interact with each other to affect innovation adoption. This paper therefore enrich environment sustainability research by examining the external pressure factors’ effects on firms’ environmental strategy, Also it lends support to the interaction effects of pressure and organizational culture on firms’ proactive environmental strategy. The study also offers practitioners and policy-makers guidelines for promoting proactive environmental strategy.
43. March 17, 2016
- Speaker: Dr. Jin, Yu (Associate Professor, Shanghai University of Economics and Finance)
- Topic: Portfolio Liquidation and Security Design with Private Information
- Time: 3:00-4:30 pm
- Venue: Liangsheng Building
- Abstract: We consider a privately informed issuer which holds a portfolio of assets that can be sold to raise cash, where the fractions of assets sold serve as a multidimensional signal. If good news about one asset is good news for the others, then there is a unique equilibrium that satisfies the Intuitive Criterion, which is Pareto dominant among all equilibria in which assets are not mispriced. If, in addition, the asset returns can be ordered in terms of their sensitivity to the issuer’s private information, then the issuer sells its least information-sensitive assets first. We apply this result to consider sales of the senior and junior tranche structures that are typical of asset-backed securities. We show that, when the securities are designed ex ante, splitting a given security into distinct tranches always increases the issuer’s payoff. We extend these results to consider optimal ex post security design under asymmetric information. We identify a unique equilibrium when the issuer’s information and the return of its portfolio are discrete, and give a sufficient condition for standard debt to be optimal. By taking limits we obtain an equilibrium of the continuous model, in which the face value of this debt contract is given by a simple differential equation. We establish the robustness of this limit result by showing that the issuer's expected profits in the discrete model converge uniformly to its profits in the continuous model.
44. March 28, 2016
- Speaker: Dr. Kwok, Yue-Kuen (Professor, Hongkong University of Science and Technology)
- Topic: Equity-Credit Modeling for Contingent Convertibles
- Time: 10:00-11:30 am
- Venue: Liangsheng Building
- Abstract: Contingent convertibles are characterized by forced equity conversion under accounting trigger, which occurs when the capital ratio of the issuing bank falls below some contractual threshold. Also, under the point-of-non-viability trigger, the supervisory authority may enforce equity conversion when the financial health of the bank deteriorates to the distressed level. In this paper, we propose an equity-credit modelling of the joint process of the stock price and capital ratio that integrates both the structural approach of accounting trigger and reduced form approach of point-of-non-viability trigger of equity conversion. We also construct effective Fortet algorithms and finite difference schemes for numerical pricing of CoCo bonds under various forms of equity conversion payoff. The pricing properties of the CoCo bonds under various contractual specifications and market conditions are examined.
- Speaker: Dr. Zeng, Yeqin (Assistant Professor, University of Reading, UK)
- Topic: Institutional Cross-ownership and Corporate Strategy: the Case of Mergers and Acquisitions
- Time: 3:00-4:30 pm
- Venue: Liangsheng Building
- Abstract: This article provides new evidence on the important role of institutional investors in affecting corporate strategy. Institutional cross-ownership between acquirers and targets significantly increases the probability of merger and acquisition occurring in the first place. It also affects the performance and outcomes of mergers and acquisitions. Deals with more institutional cross-ownership experience lower announcement cumulative abnormal returns, a measure of the market perceived deal quality. However, institutional cross-ownership reduces deal premiums, lowers the probability of completion of bad deals, and leads to more stock than cash in the deal payment. Furthermore, we find that deals with high institutional cross-ownership have lower transaction costs and are more likely to be non-diversifying. The long-run performance of acquirers is positively related to independent institutional cross-ownership. Overall, our results suggest that the growth of institutional cross-holdings in U.S. stock markets may greatly change corporate strategies and decision making processes.
46. May 12, 2016
- Speaker: Dr. Chuang, O-Chia (Assistant Professor, Wuhan University)
- Topic: Intergenerational Top Income Mobility in Taiwan
- Time: 10:00-11:30 am
- Venue: Liangsheng Building
- Abstract: In this paper, we use income tax data in Taiwan to investigate the intergenerational income mobility, i.e. how do parents transmit the income to their children? Especially, we focus on the income mobility of the richest 10% to 0.1% of parents. In Taiwan parents sometimes value their sons more than daughters, therefore, we treat father-son and father-daughter income mobility separately. Since intergenerational income elasticity is nonlinear in the right tail of fathers' income, we also adopt a nonparametric approach rather than the traditional linear model approach in which the intergenerational income elasticity is assumed to be a positive constant. We find that contrary to the literature of intergenerational (mean) income mobility, the intergenerational top income dependence of father-son is always higher than that of father-daughter. Furthermore, conditional on fathers' income ranking, sons' income first order stochastically dominates (FSD) daughters' income.
47. May 25, 2016
- Speaker: Dr. Chen, Xiaohong (Professor, Yale University)
- Topic: MCMC Confidence Sets for Identified Set
- Time: 10:30-11:30 am
- Venue: Liangsheng Building
- Abstract: In complicated/nonlinear parametric models, it is generally hard to determine whether the model parameters are (globally) point identified.We provide computationally attractive procedures to construct confidence sets (CSs) for identified sets of parameters in econometric models defined through a likelihood or a vector of moments. The CSs for the identified set or for a function of the identified set (such as a subvector) are based on inverting an optimal sample criterion (such as likelihood or continuously updated GMM), where the cutoff values are computed via Monte Carlo simulations directly from a quasi posterior distribution of the criterion. We establish new Bernstein-von Mises type theorems for the posterior distributions of the quasi-likelihood ratio (QLR) and profile QLR statistics in partially identified models, allowing for singularities. These results imply that the Monte Carlo criterion-based CSs have correct frequentist coverage for the identified set as the sample size increases, and that they coincide with Bayesian credible sets based on inverting a LR statistic for point-identified likelihood models. We also show that our Monte Carlo optimal criterion-based CSs are uniformly valid over a class of data generating processes that include both partially- and point- identified models. We demonstrate good finite sample coverage properties of our proposed methods in four non-trivial simulation experiments: missing data, entry game with correlated payoff shocks, Euler equation and finite mixture models.
48. June 1, 2016
- Speaker: Dr. Li, Xin (Associate Professor, The University of Texas at Dallas)
- Topic: Group Identity and Punishment in Public Goods Game
- Time: 3:00-4:30 pm
- Venue: Liangsheng Building
- Abstract: We design a laboratory experiment to study the impact of induced group identity on individuals' cooperation and punishment behavior in voluntary public goods provision. We find that monetary punishment leads to better cooperation when the community is categorized into groups, compared to when there are no groups. Furthermore, participants generally punish outgroup members significantly more than ingroup members, and punishees are more responsive to punishment assigned by ingroup members. Interestingly, the level of punishment on both ingroup and outgroup is significantly lower in the group treatments, relative to the control treatment where there are no groups.
49. June 6, 2016
- Speaker: Dr. Qu, Xiangyu (University of Paris 2)
- Topic: Bayesian Aggregation with Heterogenous Beliefs and Values
- Time: 2:30-4:00 pm
- Venue: Liangsheng Building
- Abstract: Bayesian theory for individual decision making under uncertainty prescribes that individuals posit a utility function, a probability over events and evaluate each act on the basis of its expected utility. We attempt to generalize the model to social decision making. The aggregation rules we consider are both society's belief and values are the affine aggregation of individuals beliefs and values, respectively. It is well-known that standard Pareto condition is not compatible with separate aggregation. Two natural extended Pareto condition are suggested. We show that Invariant Pareto condition is equivalent to separate aggregation under Anscome-Aumann setting and Hedging Pareto condition is equivalent to separate aggregation under Savage setting.
50. June 14, 2016
- Speaker: Dr. Sun, Yixiao (Professor, University of California, San Diego)
- Topic: Asymptotic F and t tests in the GMM Framework
- Time: 2:30-4:00 pm
- Venue: Liangsheng Building
- Abstract: The talk will survey the asymptotic F and t test theory in a GMM framework. New results will also be presented. Both first-step and two-step GMM tests will be considered. For both tests, the asymptotic variance matrix is based on the series long run variance estimator, which is also used as the weighting matrix in the two-step GMM estimation. It is shown that the trinity of test statistics or their modified versions are all asymptotically F distributed under the so-called fixed-smoothing asymptotics. The modification is multiplicative and involves the J statistic for testing over-identifying restrictions. This leads to simple and more accurate asymptotic F tests that are as easy to implement as the chi-square tests. The t-test theory can be similarly developed.