一、時間&地點：
bevictor伟德官网沙河校區3号學院樓127
2021年3月26日（星期五）下午14:00-16:00
二、議程
主持人： 彭俞超副教授， bevictor伟德官网學術交流部主任
14：00-15：00 Ripples into Waves: Trade Networks, Economic Activity, and Asset Prices
杜渙程 普林斯頓大學博士後研究員
15：00-16：00 Heterogeneity in Retail Investors: Evidence from Comprehensive Account-Level Trading and Holdings Data
張欣然 清華大學五道口bevictor伟德官网博士研究生
三、主講人簡介
杜渙程，畢業于American University經濟學博士; 曾在Princeton University任職博士後研究員。國際貨币基金組織 (IMF)，研究部發展宏觀經濟處任職研究員。杜渙程的研究領域集中在金融市場資産定價、行為金融以及國際金融。杜渙程博士的代表性論文包括對國家主權信用違約交換 (Sovereign Credit Default Swap, SCDS) 金融衍生品定價機制的實證探究以及國際貿易網絡對各國SCDS定價機制的關聯與影響。除此之外，杜渙程博士對中國金融市場相關問題也有着深入研究，其中包括對中國股票市場除權除息日前後股票價格異象的研究，對銀行間同業存單發行定價機制與政府隐性擔保之間的關聯與影響的研究等。
張欣然，清華大學五道口bevictor伟德官网博士生，研究方向是實證資産定價、國際金融市場和行為金融。她和合作者的研究論文被Journal of Finance和Review of Financial Studies接收。她獲得了2019年清華大學劉鴻儒特等獎學金。
四、論文摘要
Ripples into Waves: Trade Networks, Economic Activity, and Asset Prices
Abstract: We exploit information in sovereign CDS prices and the international trade network to reveal novel facts about the drivers of global macroeconomic shocks. We show that trade links are an important source of shock transmission using identification through heteroscedasticity, abnormal credit/equity return predictability, and a natural experiment. News about country fundamentals flows entirely from importers to exporters, depends on both direct and indirect links in the trade network, and is magnified by the exporting country’s financial vulnerability. We provide the first macroeconomic confirmation, using forward-looking financial variables, of the importance of the production network of shock propagation in global markets.
Heterogeneity in Retail Investors: Evidence from Comprehensive Account-Level Trading and Holdings Data
Retail investors are heterogeneous, with vast differences in wealth, skills and demographics. Using comprehensive proprietary account-level data on trading and holdings from the Shanghai Stock Exchange from 2016 to 2019, we separate tens of millions of retail investors into five groups by their account sizes as well as other demographic variables, and we examine their trading behavior and return performance in Chinese equities. Retail investors with account sizes less than three million CNY follow momentum trading strategies, and the prices of stocks they buy experience negative returns next day, while the ones they sell experience positive returns. In contrast, retail investors with larger account balances follow contrarian strategies, and they buy and sell stocks in directions consistent with future price movements. In addition, retail investors with smaller account sizes fail to process public news and they incur losses from trading, while retail investors with larger account sizes incorporate public news in their trading and experience trading gains. These patterns are stronger for young male retail investors.
