WHU-CUHKSZ Joint Research Workshop in Finance

武汉大学与香港中文大学（深圳）金融学双边论坛

Nov 16, 2024

Venue: School of Economics and Management at Wuhan University

主办单位：武汉大学经济与管理学院金融系

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10:00 – 10:30 Paper I: The Distribution Side of Insurance Markets (保险市场中的分配机构），by Jiaxing Tian（田佳兴）, Assistant Professor in Finance at CUHKSZ

（Abstract: This paper studies the impact of distribution channels on insurance product adoption. Specifically, we exploit novel policy-level data provided by one of the largest life insurers in China, where we observe detailed information on individual policy characteristics, investor characteristics, and sales channels. We exploit a regulatory change in 2014 that requires at least 20% of the contracts sold by bank insurance agents in each quarter to be qualified long-term insurance products. Exploiting a discontinuity-in-slope design, we show that bank agents falling below their target qualified ratios in the first two months of a quarter make up for the shortfall in the third month; conversely, bank agents that have exceeded their target ratios in the first two months do not alter their behavior in the last month of the quarter. This shift in qualified ratio in the last month of the quarter is entirely due to a product-composition change -- switching from short-term unqualified life insurance products to long-term qualified annuity products. We further show that this switch is not achieved by changing the relative pricing of products or client compositions. (这篇论文提供了关于分销渠道对保险产品采用影响的因果证据。具体而言，我们利用了中国一家最大的寿险公司提供的保单级数据，观察到关于个人保单特征和投资者特征的详细信息。随后，我们利用了全球金融危机后的一项监管变化，该变化要求银行代理在每季度销售的部分保险合同必须为长期保险产品。通过斜率不连续性设计，我们发现：在季度前两个月未达到合格比例目标的银行代理，会在第三个月弥补这一缺口；相反，若银行代理在前两个月已超额完成目标比例，则不会在季度最后一个月改变其行为。季度最后一个月的合格比例变化完全由产品组成的变化驱动——从短期寿险产品转换为长期年金产品。我们进一步表明，这一转换并非通过改变保险合同的相对定价（或特征）或客户组成来实现的。)

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10:30 – 11:00 Paper II, Sentiment, Investor Sophistication, and Asset Bubble（情绪、投资者成熟度与资产泡沫），by Zhongchao Yang（杨中超）, Assistant Professor in Finance at WHU.

Abstract: Despite their informational advantages, financial institutions are often found to divest toxic assets too slowly, incurring massive losses during crises. We study the relationship between investor sophistication and investor performance in an asset bubble model with market sentiment. Compared to unsophisticated traders, sophisticated traders have information precision advantage and information speed advantage. The information precision advantage reinforces sentiment's role as a potent coordination force. When sentiment surpasses a threshold, sophisticated traders tend to be more optimistic, prolong the bubble-holding duration, and suffer greater loss. Furthermore, their information speed advantage yields a divestment pattern characterized by delayed but intense selling. We show that sophisticated traders are more likely to fuel asset bubbles when underlying asset quality is higher and restrain them when quality is lower. （尽管具有信息优势，金融机构往往在处理有毒资产时行动迟缓，在危机期间因此承受巨额损失。我们在一项包含市场情绪的资产泡沫模型中研究了投资者成熟度与其表现之间的关系。与不成熟的交易者相比，成熟的交易者拥有信息精确性和信息传递速度的双重优势。信息精确性的优势进一步强化了市场情绪作为一种强有力协调力量的作用。当市场情绪超过一定阈值时，成熟的交易者往往表现得更为乐观，延长了持有泡沫资产的时间，从而遭受更大的损失。此外，他们的信息传递速度优势导致了一种“延迟但集中”的资产抛售模式。研究表明，当基础资产质量较高时，成熟的交易者更可能助推资产泡沫；而当资产质量较低时，他们倾向于抑制泡沫的形成。）

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11:00 – 11:30 Paper III, Startup Catering to Venture Capitalists（初创企业对风险投资者的迎合）by Xiyue Li(李汐玥), Assistant Professor in Finance at CUHKSZ

Abstract: I show that information frictions in valuation can lead startups to select projects that align with the expertise of potential venture capital (VC) investors, a strategy I refer to as catering. First, I build a theoretical model where a startup trades off project quality with the informational benefits of catering. The startup selects catering when alternative information sources are limited or VC investors demonstrate proficiency in valuing projects close to their expertise. Second, using textual data from patent applications, I define catering projects as patent applications that deviate from the founders' experience toward VC's expertise. Consistent with model predictions, catering applications are more prevalent when patent examination is slow or VCs utilize past data to screen new deals. Catering applications are 9.3% less likely to get patent approval, suggesting low project quality. Overall, this paper shows that specialized financial intermediaries, such as VC, can broadly shape new technology developed by firms outside their portfolios.(I show that information frictions in valuation can lead startups to select projects that align with the expertise of potential venture capital (VC) investors, a strategy I refer to as catering. First, I build a theoretical model where a startup trades off project quality with the informational benefits of catering. The startup selects catering when alternative information sources are limited or VC investors demonstrate proficiency in valuing projects close to their expertise. Second, using textual data from patent applications, I define catering projects as patent applications that deviate from the founders' experience toward VC's expertise. Consistent with model predictions, catering applications are more prevalent when patent examination is slow or VCs utilize past data to screen new deals. Catering applications are 9.3% less likely to get patent approval, suggesting low project quality. Overall, this paper shows that specialized financial intermediaries, such as VC, can broadly shape new technology developed by firms outside their portfolios. (本文指出估值中的信息摩擦可能导致初创公司选择与潜在风险投资者（VC）的专业知识相符的项目，我将这种策略称为迎合。首先，我建立了一个理论模型，其中初创公司在项目质量和迎合的信息优势之间进行权衡。当替代信息来源有限或 VC 投资者表现出对接近其专业知识的项目进行估值的能力时，初创公司会选择迎合。其次，使用专利申请中的文本数据，我将迎合项目定义为偏离创始人经验而倾向于 VC 专业知识的专利申请。与模型预测一致，当专利审查缓慢或 VC 利用过去数据筛选新交易时，迎合申请更为普遍。迎合申请获得专利批准的可能性降低了 9.3%，这表明迎合项目质量偏低。总体而言，本文表明，VC 等专业金融中介机构可以广泛影响其投资组合之外的公司开发的新技术。)

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11:30 – 12:00 Paper IV, Is Consumption Tax Policy Effective at ZLB? New Evidence from the Real Cost Channel（实际成本渠道下的财政刺激），by He Nie（聂禾）, Associate Professor in Finance at WHU

In this paper, we extend a standard medium-scale New Keynesian model and include the Real Cost Channel (RCC), analyzing its impact on consumption tax effects. We show that consumption tax policy exhibits an inherent `go big or go home" feature, moderated by the RCC asymmetrically. At the ZLB, modest tax cuts fail to shorten the ZLB duration; the RCC can diminish the long-run present-value output gap multiplier from 4.42 to 4.08. This reduction is more pronounced during ZLB periods than in non-ZLB scenarios. Conversely, large tax cuts shorten ZLB duration by leveraging inflation expectations but do not ensure full escape, while the RCC's role amplifies the long-run present-value multiplier. We also show that while large initial reductions in consumption taxes are stimulating, more persistent policies lead to significant declines in output multipliers and exacerbate welfare losses, even as the RCC's role remains robust.（在本文中，我们扩展了一个标准的中等规模新凯恩斯模型，纳入了实际成本渠道（RCC），分析其对消费税效果的影响。我们表明，消费税政策具有内在的“要么大干一场，要么不干”的特性，而RCC以不对称的方式调节了这一特性。在零利率下限（ZLB）条件下，适度的减税无法缩短ZLB的持续时间；RCC可将长期现值产出缺口乘数从4.42降低至4.08。这种减弱在ZLB期间比在非ZLB情景下更为显著。相反，大幅度的减税通过利用通胀预期缩短了ZLB的持续时间，但并不能确保完全摆脱ZLB，而RCC的作用则放大了长期现值乘数。我们还发现，虽然大幅度的初始消费税削减具有刺激作用，但更持久的政策会导致产出乘数显著下降，并加剧福利损失，即使RCC的作用仍然稳健。）