【主讲人】高昊宇 副教授
【主持人】高明 副教授
【报告题目】Shell-Shocked Investors: Earthquake Effect on Yield Spreads of Quasi-Municipal Bonds

【报告摘要】Using a comprehensive data set of earthquakes in China, this paper shows that investors increase the perceived risk of quasi-municipal bonds exposed to destructive earthquakes and require a significantly positive risk premium. Our results find that the effect is temporary and decreases with investors' prior knowledge of earthquake hazards, which supports the salience theory. This irrational pricing bias is larger when bonds have longer maturity, lower credit rating, and weaker government implicit guarantees. We exclude alternative explanations based on the financial underperformance of governments and firms in affected zones. Our findings reveal a novel bond pricing factor associated with sudden natural disasters.

【主讲人介绍】高昊宇现任中国人民大学副教授，博士生导师，中国人民大学“杰出学者”青年学者，第5届中国科协“青年人才托举工程”入选人。他分别于中国科学院数学与系统科学研究院和香港城市大学获得管理学与金融学博士学位，并曾在南洋理工大学和美联储亚特兰大分储短期访问。研究兴趣主要集中在公司金融、金融中介与金融市场、债务违约和评级、中国资本市场等方面。学术成果发表于Review of Financial Studies、 Journal of Financial Economics、Journal of Financial and Quantitative Analysis等国际顶级期刊。他的论文还曾获得12届亚太金融市场年会、31届亚洲金融学年会、第8届投资学年会、第18届金融系统工程与风险管理年会和首届银行与金融中介论坛等最佳论文奖。