教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第242期讲座

(2024年3月7日)

讲座主题：The Interaction of Leverage and Liquidity Management with Dynamic Investment

摘要：Aiming to provide a quantitative guidance for integrating the liability management (such as debt and equity financing) with the asset management (such as investment and liquidity reserve maintenance), we develop a theoretical model of dynamic investment, debt financing, dividend payout, and external equity financing/liquidation for financially constrained firms. Mathematically, to solve the recursive equilibrium of the problem to determine the equity and debt values, we formulate it as a variational inequality with a fixed-point structure embedded. Compared to the traditional corporate finance literature that mainly focuses on capital structure, we highlight the central importance of joint management of leverage and liquidity in corporate decision making in the presence of external financing costs. In particular, a novel trade-off (liquidity-boosting vs. liquidity-draining) brought by debt enables us to shed light on the interaction of leverage and liquidity management. Rich implications through the lens of liquidity on Tobin’s q and investment, underestimation of debt overhang, integration of pecking order and trade-off theories, deleveraging are also provided.

报告人：Yuan Tian

Yuan Tian教授于日本京都大学经济系获得本科硕士博士学位。曾任日本学术振兴会外国人特别研究员，哥伦比亚大学、京都大学、香港理工大学等访问学者，现任日本龙谷大学经济系教授(Professor)，主要从事连续时间动态公司金融、行为金融以及金融市场微观结构等方面的理论研究。在Journal of Banking and Finance, International Review of Financial Analysis, Journal of Economic Dynamics and Control, International Review of Economics and Finance, Economic Modelling等期刊上发表学术论文多篇。论文曾选入2018年Financial Management Association (FMA) Annual Meeting Best Paper Award Semifinalist。2023年获得Nippon Finance Association研究奖励奖。

讲座时间：2024年3月7日（周四）早上10:00-11:30

报告地点：沙河二教207

邀 请 人：郑敏