中国精算研究院

精算论坛第85期讲座 -肖亚军(11月29日)

发布时间:2016-11-23 00:00    浏览次数:[]

题目: Intermediary Asset Pricing Theory and Evidence In the Emerging Market

报告人:肖亚军(Yajun Xiao),Lecturer, Finance Discipline Group, UTS, Australia

摘要: We show that shocks to aggregate leverage of the less regulated financial intermediaries are informative in explaining asset returns in both time series and cross section in the Chinese capital market. However, shocks to equity ratio of highly regulated financial intermediaries fail to be statistically and economically informative. Our results are the new empirical evidence to intermediary asset pricing theory. Our results reveal that the intermediaries in China such as trusts and fund-matching companies become marginal investors because they channel lending to investor and their credit lending indirectly affects pricing equations of investors.

时间:2016年11月29日(周二)14:00-15:00

地点:学术会堂506精算研究院会议室

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