一、时间&地点：
中央财经大学沙河校区3号学院楼127
2021年3月26日（星期五）下午14:00-16:00
二、议程
主持人： 彭俞超副教授， 金融学院学术交流部主任
14：00-15：00 Ripples into Waves: Trade Networks, Economic Activity, and Asset Prices
杜涣程 普林斯顿大学博士后研究员
15：00-16：00 Heterogeneity in Retail Investors: Evidence from Comprehensive Account-Level Trading and Holdings Data
张欣然 清华大学五道口金融学院博士研究生
三、主讲人简介
杜涣程，毕业于American University经济学博士; 曾在Princeton University任职博士后研究员。国际货币基金组织 (IMF)，研究部发展宏观经济处任职研究员。杜涣程的研究领域集中在金融市场资产定价、行为金融以及国际金融。杜涣程博士的代表性论文包括对国家主权信用违约交换 (Sovereign Credit Default Swap, SCDS) 金融衍生品定价机制的实证探究以及国际贸易网络对各国SCDS定价机制的关联与影响。除此之外，杜涣程博士对中国金融市场相关问题也有着深入研究，其中包括对中国股票市场除权除息日前后股票价格异象的研究，对银行间同业存单发行定价机制与政府隐性担保之间的关联与影响的研究等。
张欣然，清华大学五道口金融学院博士生，研究方向是实证资产定价、国际金融市场和行为金融。她和合作者的研究论文被Journal of Finance和Review of Financial Studies接收。她获得了2019年清华大学刘鸿儒特等奖学金。
四、论文摘要
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.
