保险与金融工程教研室学术讲座

报告题目：Real Disinvestments and the Distress Anomaly: Evidence from Stocks, Bonds, and Loans

报 告  人：Yafei Zhang（曼彻斯特大学 助理教授）

主 持  人：Christian Hilpert（中山大学岭南学院 副教授）

时      间：2024年5月14日（周二）10:00

地      址：岭南堂黄炳礼会议室(203)

语      言：英文

摘要:

We show that firms’ ability to disinvest real assets helps to explain the negative distress premiums in stocks, bonds, and, as we report, loans and firm assets. Using a real options model in which equityholders and debtholders share disinvestment proceeds, the model suggests that the equity (debt) distress premium becomes more negative with the proceeds paid to that class, with the premiums being jointly negative if debtholders receive most of the proceeds. Using hard-asset disinvestment-ability proxies, the stock (bond and loan) distress premiums become more positive (negative) with those proxies, possibly suggesting that shareholders benefit more strongly from soft-asset disinvestments.

报告人介绍：

Dr. Yafei Zhang is an assistant professor of finance at the University of Manchester in the UK. Prior to joining the University of Manchester, he received his PhD in Finance from the University of South Carolina in the US. His research interests include financial intermediation, banking, industrial organization, and loan pricing. His work has been published in Management Science and has been presented at top conferences such as the Financial Intermediation Research Society (FIRS) annual conference, the European Finance Association (EFA) annual meeting, the China International Conference in Finance (CICF), and the Midwest Finance Association (MFA) annual conference.

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