主題：Fire Sales and Liquidity Provision in the Corporate Bond Market （公司債券市場中的降價出售與流動性供應）

主講人：張新德，上海财經大學金融學助理教授

日期：2015年6月3日（周三）

時間：中午 12:30-13:30

地點：清華Betvictor中文版1号樓501教師休息室

語言：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.

主講人簡介：

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.