题目：Speculative Financial Innovation 

报告人：张兴潭，长江商学院，助理教授

时间：2023年3月24日(周五) 9:30～10:30

地点：经管院C372

主办单位：武汉大学经济与管理学院金融系  武汉大学金融研究中心  武汉大学金融发展与政策研究中心  武汉大学金融工程与风险管理研究中心

报告摘要：

We analyze how speculative financial innovation affects stock prices, risk premiums, market liquidity, and investor welfare in an economy with heterogeneous beliefs. When investors disagree about the covariance of the newly introduced stocks with the original stocks, we show that financial innovation reduces the variance-covariance matrix of the representative investor, which decreases the market portfolio's risk premium. When investors disagree on the expected payoff of the new stocks, the representative investor's expected payoff of the existing stocks can also change due to hedging demands among investors, which causes the stock prices to change. Financial innovation further causes the market liquidity to increase as prices will be less sensitive to supply shocks due to the reduced variance-covariance matrix of the representative investor. Finally, we show that financial innovation could make all investors better off under their own beliefs but worse off under the true beliefs.

报告人简介：

Xingtan Zhang is a visiting assistant professor of finance at CKGSB, an assistant professor of finance at University of Colorado Boulder, and a member of Finance Theory Group. He received his Ph.D. from The Wharton School of the University of Pennsylvania in 2017. Before that, he received a Ph.D. in applied math from the University of Pennsylvania and a B.S. in mathematics from Peking University.

Zhang’s main research interests are broadly in asset pricing, information economics, behavioral economics, financial institutions, and mechanism design. His work has been published in Econometrica, Review of Financial Studies, Journal of Economic Theory, Management Science, and Journal of Financial Intermediation.