北大经院工作坊第598场
Climate Vulnerability and Stock Price Crash Risk Worldwide
（全球气候脆弱性和股价暴跌风险）
宏观经济学工作坊
主讲人：倪骁然（厦门大学经济学院、王亚南经济研究院副教授）
主持老师：（北大国发院）李博
参与老师：
（北大国发院）赵波、余昌华、李明浩
（北大经院）陈仪、韩晗、李伦
时间：2023年3月20日（周一）
地点：北京大学经济学院305会议室
主讲人简介：
倪骁然，厦门大学经济学院、王亚南经济研究院副教授、博士生导师、金融系副主任。研究专长为利益相关者与金融风险防范。在《经济研究》《管理世界》《经济学（季刊）》《金融研究》、Journal of Corporate Finance、Journal of Banking and Finance等国内外重要学术期刊发表论文40余篇。主持国家自然科学基金面上项目、青年项目。入选福建省百千万人才工程、福建省“雏鹰计划”青年拔尖人才、福建省引进高层次人才、厦门大学南强青年拔尖人才。获得厦门大学教学比赛理论文科组一等奖和福建省社会科学优秀成果二等奖、洪银兴经济学奖等多项教学科研奖励。
摘要：
Using a global dataset, we document that market-level climate vulnerability is positively associated with an individual firm’s stock price crash risk. We establish causality by using both an instrumental variable analysis and a difference-in-differences analysis. Furthermore, we show that an increase in climate vulnerability is associated with several strong determinants of stock price crashes, including dampened firm fundamentals, more-aggressive bad news hoarding, lower dedicated institutional ownership, and the decreased breadth of institutional ownership. Our overall findings indicate that climate vulnerability has adverse stock market consequences though a prominent destabilizing effect.
北大经院工作坊第599场
Stock market and the psychological health of investors
“经院-全健院”
健康与劳动经济学工作坊
主讲人：Maoyong Fan（Ball State University, Department of Economics, Professor）
主持人：潘聿航（北京大学全球健康发展研究院助理教授）
参与老师：
（北大经院）秦雪征、石菊、姚奕、王耀璟、Kevin Devereux、梁远宁、庄晨
（北大全健院）刘国恩、孙宇、吕蓓妮、林昊翔
时间：2023年3月22日（星期三）9:00-10:30
形式：ZOOM平台
会议号：756 016 3457
密码：221221
主讲人简介：
Maoyong Fan is a Professor of Economics at Ball State University. He received his Ph.D. from University of California Berkeley in 2009 and joined Ball State in the same year. His research fields include environmental economics, health economics and policy, and applied microeconomics for public policy. His academic research has been published in peer-re-viewed journal such as American Economic Review, PNAS Journal of Health Economics, American Journal of Health Economics, British Medical Journal, Journal of Environmental Economics and Management, and International Journal of Industrial Organization. He is the recipient of 2019 University Research Award at Ball State University.
摘要：
We employ individual-level data for antidepressant usage to study the effects of stock market fluctuations on the psycho-logical health of investors. Utilizing the home bias phenomenon of investors, we find that a one standard deviation de-crease in local stock returns increases local investors' anti-depressant usage by approximately 0.42% (an increase of 20million dollars spent on antidepressants) in subsequent weeks; and the effects are more pronounced in places with higher per capita dividend income (a proxy for higher stock ownership). We show that the increase in antidepressant usage when the market declines are driven by portfolio losses rather than local economic conditions. Using the number of psychotherapy procedures yields comparable results. Consistent with the loss aversion hypothesis, positive stock returns do not affect antidepressant usage.
北大经院工作坊第600场
Trade Policy Uncertainty and Market Diversification
国际经济学与实证产业组织工作坊
主讲人：朱婷（中国人民大学商学院博士候选人）
主持老师：（北大经院）莫家伟
参与老师：
（北大经院）杨汝岱、田巍、刘政文、吴群锋
（北大新结构）王歆、徐铭梽
时间：2023年3月22日（周三）10：00-11：30
地点：北京大学经济学院305会议室
摘要：
This study investigates the relationship between trade policy uncertainty (TPU) and the market diversification of exporters with risk-averse firms. We build a model to show that risk-averse firms can hedge risks originating from TPU through market diversification. Our model predicts that a firm will enter more international markets when TPU escalates. Comparative statics reveal that the positive effect of TPU on market diversification is mitigated if the firm is of lower risk aversion and/or lower ability to hedge risks. Using a unique transaction-level dataset on Chinese exports between 2000 and 2013, we find strong supporting evidence for our theory. Our study begs for a re-examination of risk-averse firms' behavioral responses to TPU.
主讲人简介：
朱婷，中国人民大学商学院产业经济学专业博士研究生。主要研究方向为国际经济与贸易、产业政策等领域。
北京大学金融工程实验室
“对话投资总监”系列讲座
2023年第三讲：量化CTA策略研究与迭代路径
主讲人：涂世涛（长信基金，量化专户投资部总监）
主持老师：（北大经院）黎新平
时间：2023年3月22日（周三）19:00-21:30
地点：北京大学经济学院219会议室
主要内容：对量化CTA期货投资的主要策略方向，包括趋势、量化基本面、短线策略等进行介绍，讨论其基本模型、原理、策略发展迭代路径以及在投资实践中的应用。
主讲人简介：
涂世涛，上海交通大学自动化系本科、硕士，10年量化从业经验。历任True Arrow Capital中国区量化交易总监，上海垒土资产合伙人兼投资经理。2017年3月加入长信基金，历任投资经理、量化专户投资部总监，负责CTA策略投资研究及产品管理，先后管理CTA策略产品累计规模超50亿，对CTA主要策略方向有较丰富的研究和实际投资经验。
供稿：科研与博士后办公室、金融学系
美编：兮哲
责编：度量、雨禾、雨田
