北大经济史学名家系列讲座第157讲
天堑何以通途？——谈谈交通大国的来路与前路
主讲人：
肜新春（中国社会科学院经济研究所研究员）
时间：
2021年12月22日（周三）10：00-12：00
地点：
北京大学经济学院302会议室
腾讯会议平台，会议号：672-885-593
主持人：
周建波（北京大学经济学院经济史学系系主任、教授）
评论人：
刘冲（北京大学经济学院财政学系副主任、长聘副教授）
主讲人简介：
肜新春，男，河南新野人，中国社会科学院经济研究所研究员，博士生导师，研究方向是新中国经济史、交通史以及第三产业等方面。在核心期刊发表论文多篇，主持的课题有国家社科基金一般项目“大国战略与新中国交通业发展研究”，参与国家社科基金重大项目多项，参与国家部委相关课题多项。
主办单位：
北京大学经济学院经济史学系
北京大学社会经济史研究所
北京大学外国经济学说研究中心
北大经院工作坊第404场
How Competition Shapes Peer Effects: Evidence from a University in China
劳动-健康经济学工作坊
主讲人：
陈思宇 (暨南大学助理教授)
主持老师：
（北大经院）石菊
（北大国发院）雷晓燕
参与老师：
（北大经院）秦雪征、王耀璟、袁野、Kevin Devereux
（北大国发院）赵耀辉、李玲、刘国恩、张丹丹
时间：
2021年12月22日（周三） 10：00-11：30
形式：
腾讯会议平台（若有意参会，请发送姓名、学院至manqihou@pku.edu.cn以获取会议链接，仅限北大师生）
主讲人简介：
Siyu Chen is an Assistant Professor at the Institute for Economic and Social Research, Jinan University. She received her PhD in Economics from the National University of Singapore in 2019. Her research is in environmental economics and labor economics, with topics including gender gap, peer effects, social networks, green finance, and air pollution management. Her work has been published in the Journal of Environmental Economics and Management, Reginal Science and Urban Economics, Environmental Research, 《管理世界》，《世界经济》。Her research is funded by the National Natural Science Foundation of China (NSFC).
摘要：
Competition is widely used to increase effort and performance. However, in many domains, performance not only depends on individual effort but also on cooperation between agents. In such cases, competition may decrease individual performance because it can weaken the cooperation between agents as the chance of winning a competition decreases with the success of peers. Education is a natural setting in which help from others can enhance individual performance. Using administrative data from a university in China, this paper examines how competition changes peer effects and peer interactions. We exploit randomly assigned roommates and show that high-ability roommates have slightly detrimental effects on the academic performance of high-ability students. More importantly, we provide novel evidence that negative peer effects significantly increase along various dimensions of competition intensity within dorm rooms. We conducted a survey to investigate potential mechanisms. The survey results reveal that competition discourages help and induces unfriendly behavior among roommates, which might explain our findings. Our study suggests that we cannot consider peer effects to be fixed but rather as being shaped by the competitive nature of the environment.
北京大学金融午餐讨论会第3期
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection
主讲人：
李少然（北京大学经济学院金融系助理教授）
时间：
2021年12月23日（周四）12:00-13:30
地点：
北京大学经济学院302会议室
主讲人简介：
李少然，北京大学经济学院金融系助理教授，于2021年7月在英国剑桥大学获得博士学位，研究方向为金融计量，资产定价，投资组合管理以及机器学习。研究成果发表于Journal of Econometrics、Journal of Business & Economic Statistics等国际期刊。
摘要：
This paper develops a two-step semiparametric methodology for portfolio weight selection for characteristics-based factor-tilt and factor-timing investment strategies. We build upon the expected utility maximization framework of Brandt(1999) and Aït-sahalia and Brandt (2001). We assume that asset returns obey a characteristics-based factor model with time-varying factor risk premia as in Ge et al. (2020). We prove under our return-generating assumptions that an approximately optimal portfolio can be established using a two-step procedure in a market with a large number of assets. The first step finds optimal factor-mimicking sub-portfolios using a quadratic objective function over linear combinations of characteristics-based factor loadings. The second step dynamically combines these factor-mimicking sub-portfolios based on a time-varying signal, using the investor’s expected utility as the objective function. We develop and implement a two-stage semiparametric estimator. We apply it to CRSP (Center for Research in Security Prices) and FRED (Federal Reserve Economic Data) data and find excellent in-sample and out-sample performance consistent with investors’ risk aversion levels.
北大经院工作坊第405场
来自隐含波动率曲面的信息：如何更有效地利用期权信息预测股票收益？
计量、金融和大数据分析工作坊
主讲人：
唐潇潇（得克萨斯大学达拉斯分校金融系助理教授）
主持老师：
（北大经院）王熙
参与老师：
（北大经院）王一鸣、刘蕴霆
（北大国发院）沈艳、黄卓、孙振庭、张俊妮
（北大新结构）胡博
时间：
2021年12月24日（周五） 10:00-11:30
形式：
腾讯会议平台
会议号：556-470-704
密码：211224
主讲人简介：
唐潇潇，得克萨斯大学达拉斯分校（UT Dallas）金融系助理教授，分别于2018年，2014年和2009年获得美国华盛顿大学金融学博士学位，美国弗吉尼亚大学统计学博士学位和清华大学数学学士学位。其研究领域是asset pricing, options 和recovery。研究成果发表在Review of Financial Studies、Journal of Portfolio Management、Journal of Forecasting等国外核心期刊。
摘要：
Applying the partial least squares (PLS) approach to the entire implied volatility (IV) surface, we show that option prices predict downward jumps, but not upward jumps, in the underlying stock prices. The long-short portfolio formed based on the estimated downward jump factor yields an annual return of 18.36% with a Sharpe ratio of 1.29. The predictability of the downward jump factor is very robust and much stronger than that of other IV-related predictors. Finally, we show that the predictability is consistent with the notion that informed investors trade options to profit from negative information to circumvent the equity short-sale constraint.
供稿：经济史学系、科研办公室、金融学系
美编：初夏
责编：量子、禾雨、予天
