正午阳光——青年学者论坛”是yh86银河国际自建院伊始设立的一项学术交流活动。“正午阳光”寓意树木生长需要阳光的滋养和照耀，青年学者的成长同样需要学术的哺育与历练。

2021年秋季学期的“正午阳光”如期开始，本季活动的主要参与者是2021年度新入职的青年学者，新人亮相，值得期待！

本次推送为“正午阳光——青年学者论坛（2021）”活动总预告。具体举办时间地点将会在活动之前再次详细告知。

交流内容如下：

1、讨价还价中的共识解（The Consensus Bargaining Solution ）

汇报人：李相梁，助理教授，耶鲁大学经济学博士。研究领域包括（合作和非合作）博弈论，机制设计和国际贸易。

Xiangliang Li is an Assistant Professor from the School of Finance at Nankai University. He graduated from Yale University. His research fields include (cooperative and noncooperative) game theory, mechanism design, and international trade.

内容简介：针对纳什（1950）的二人讨价还价问题，我们提出了一个新解——共识解。共识解最大化对两人而言都不如当前选择的选项数目。共识解可以被一个简单数学等式刻画；同时它也可以被一系列公理刻画。在纳什解的所有公理里面，只有独立性公理不被共识解满足；在共识解的所有公理里面，只有一个不被纳什解满足。这个公理的内容是：不合作的后果越糟糕，两个人越有更多合作的可能，如果这些更多的可能对两人而言都不如当前解，那么解就不应该变。

We propose a new solution to the two-player bargaining problem of Nash (1950): The Consensus solution. It maximizes the total amount of options that both players agree are worse than the solution but better than no-cooperation. It can be characterized by a simple equality. It satisfies all the axioms of the Nash solution except Axiom IIA (Independence of Irrelevant Alternatives); the Nash solution satisfies all its axioms except one which says: when both players' utilities of no-cooperation become lower creating additional room for players to cooperate, then as long as options within the additional room are worse than the current solution, the solution shall not change.

2、上市公司股东的财富创造（Wealth Creation by Public Firms）

汇报人：师与，助理教授，加州大学洛杉矶分校安德森商学院金融学博士，研究主要集中在宏观金融和金融中介等方面。

Yu Shi is an Assistant Professor of Finance in Nankai University. She obtained her PhD in Management from University of California, Los Angeles. Her research interests include macro finance, financial intermediation and financial econmics.

内容简介：本文研究上市公司创始人持股情况与公司价值变动对于财富分配不均的影响。在过去几十年中，上市公司创始人平均持股比例有所下降，然而，财富分配不均情况却越发严重。为了理解这个“悖论”，作者将公司创始人的财富积累拆分为来源于公司成长的财富和来源于大众投资者的财富。当创始人更快的降低持股比例时，他们主要的财富来源便是大众。数据显示，75%的公司创始人并无法从公司成长中获得财富。因此，创始人们更快的退出公司成为社会财富不均的一大源头。

We study the joint dynamic between entrepreneurs’ ownership and their firms’ outcomes, and the consequences for wealth inequality. In the last few decades, despite of the fact that firms’ ownership concentration has been going down, wealth inequality level is going up. To understand this puzzle, we decompose entrepreneur’s wealth creation into creation through firm growth and creation through wealth transfer from public investors. Liquidating shares faster, which will result in lower ownership concentration, enables entrepreneurs to create wealth mainly through public transfer. Empirically, 75% of the entrepreneurs are making negative wealth through firm growth.

3、公司融资考虑产品市场的客户关系：财务杠杆和利润率之谜（A Corporate Finance Model with Customer Dynamics: The Leverage-Profitability Puzzle）

汇报人：张晓琳，助理教授，波士顿学院金融学博士，研究方向为产品市场和资本市场的交互作用。

Xiaolin Zhang is an assistant professor from the School of Finance at Nankai University. She received her PhD in finance from Boston College. Her research mainly focuses on the interaction of capital and product markets.

内容简介：数据中公司财务杠杆和利润率呈现出负相关关系，这与权衡理论的预测相反，是反对权衡理论的重要证据。这篇文章提出了一个新的机制，能够在权衡理论中解释财务杠杆和利润率的负相关关系。文章中的模型假设公司的借贷和生产决策同时考量它们对短期利润及长期客户群和市场份额的影响，其中，拥有坚实客户群的公司发展前景更好，能够积累更多的债务。模型模拟结果显示这个新的机制能够用权衡理论解释财务杠杆和利润率的负相关关系，并且该模型的其他预测也在数据中得到了验证。

The negative empirical relation between leverage and profitability has been identified as the key evidence inconsistent with the trade-off theory of capital structure. The paper proposes a novel mechanism that reconciles the leverage-profitability puzzle with the trade-off theory. The model assumes that firms make pricing and quantity decisions that take into account their short term impact on profitability and their long term impact on customer base and market share. These decisions impact debt choices because a firm with better long term prospects can accumulate more debt. Simulation results from a calibrated version of the model are consistent with regressions of leverage on profitability. The model offers other predictions that I also bring to the data.

4、新闻中隐含的公司关联信息与股票市场的局部依赖性（News-Implied Linkages and Local Dependency in the Equity Market）

汇报人：戈舒怡，助理教授。剑桥大学经济学博士。研究兴趣：金融计量、实证资产定价、机器学习、网络等。

Shuyi Ge is an Assistant Professor of Finance in Nankai University. She obtained her P.h.D from the University of Cambridge in 2021. Her research interests include financial econometrics, empirical asset pricing, machine learning, and networks.

内容简介：本文研究了一个异质系数空间因子模型，该模型分别解决了股票收益中存在的共同因子风险（强横截面依赖性）和局部依赖性（弱横截面依赖性）。从资产定价的角度，我们推导出了该模型在没有渐近套利下的理论后果。在实证工作中，尤其是高维的情况下，如何度量公司间的相互联系是有挑战性的。我们使用大量的商业新闻来构建公司之间的联系。我们使用这些新闻中隐含的公司网络信息作为本地冲击在公司间传递的渠道。实证方面，我们记录了标准普尔 500 指数的成员股票之间存在着相当程度的局部依赖性。空间因子模型中的空间部分很好地捕捉到了去除共同因子风险之后的个股之间的相关性。我们发现将空间相互作用添加到因子模型可以减少错误定价和均方误差。我们还发现，新闻中隐含的公司网络信息的提供了一种对公司之间相互关系的较好的近似，并且它的表现优于之前的文献中出现的其他网络。

This paper studies a heterogeneous coefficient spatial factor model that separately addresses both common factor risks (strong cross-sectional dependence) and local dependency (weak cross-sectional dependence) in the equity returns. From the asset pricing perspective, we derive the theoretical implications of no asymptotic arbitrage for the heterogeneous spatial factor model. In empirical work, it is challenging to measure granular firm-to-firm connectivity for a high-dimensional panel of equity returns. We use extensive business news to construct firms’ links via which local shocks transmit, and we use those news-implied linkages as a proxy for the connectivity among firms. Empirically, we document a considerable degree of local dependency among S&P 500 stocks, and the spatial component does a great job in capturing the remaining correlations in the de-factored returns. We find that adding spatial interactions to factor models reduces mispricing and mean-squared errors. We also show that our news-implied linkages provide a comprehensive and integrated proxy for firm-to-firm connectivity, and it out-performs other existing networks in the literature.

5、投资者关心尾部风险么？来自共同基金资金流的证据（ Do Investors Care About Tail Risk? Evidence from Mutual Fund Flows）

汇报人：戴文廷，助理教授，美国德州农工大学金融学博士。他的研究兴趣包括实证资产定价、共同基金、对冲基金、可持续金融等。

Wenting Dai is an Assistant Professor from the School of Finance at Nankai University. He graduated from Texas A&M University in 2021. His research interests include empirical asset pricing, mutual funds, hedge funds, and sustainable finance.

内容简介：基于共同基金的资金流，本文研究了投资者对于尾部风险的态度。我们发现，即使在控制了基金的表现和特征之后，基金的资金流对横截面尾部风险也显著敏感。通过使用恐怖袭击和新冠肺炎作为对于投资者恐惧水平的外生冲击，我们发现基金的资金流对于冲击后的尾部风险更加敏感，这表明恐惧是尾部风险厌恶的一种驱动力。新冠肺炎刚爆发时期的资金流对于尾部风险的敏感性约为其他时期的5至9倍。此外我们发现尾部风险与共同基金投资策略的主动性有关。这些结果能够经受尾部风险其他估量方式的考量。总体而言，我们的研究结果表明投资者不仅关心传统风险，也关心尾部风险。

This paper examines investor attitude toward tail risk based on mutual fund flows. We show that fund flows are significantly sensitive to tail risk in the cross-section, even after controlling for fund performance and characteristics. Using terrorist attacks and COVID-19 as exogenous shocks to the investor fear level, we find that fund flows become increasingly sensitive to tail risk following the shocks, suggesting that fear is a driving force of the tail risk aversion. In particular, the flow-tail risk sensitivity during the onset of COVID-19 is about 5-9 times as large as that in other periods. In addition, tail risk is associated with the activeness of mutual fund investment strategies. The results are robust to alternative measures of tail risk. Overall, our findings suggest that investors care about tail risk beyond traditional risks.

6、两步分析法研究多重身份问题（First Foot Forward: A Two-Step Econometric Method for Estimating the Impacts of Multiple Identities）

汇报人：王博，助理教授，美国俄亥俄州立大学经济学博士。研究兴趣：教育经济、高层次人才劳动力市场、交叉学科、 健康经济、中国卫生政策等。

Bo Wang is an Assistant Professor of Finance in Nankai University. He graduated from Ohio State. His research interests include education economics, high-skilled workforce, interdisciplinarity, health economics, health policy in China.

内容简介：尽管公司层面的多重身份属性在营销战略等领域中有广泛研究，但是在个人层面上的学术研究却很有限。针对这一问题，本文分析了在美国从事交叉学科研究的博士生群体。这个快速增长的群体具备多重身份（交叉学科种类）属性，与此同时对他们的市场表现的研究也相对缺乏。本文提出了一个新的两步法模型，用线性的学科方向组合来刻画交叉学科研究者的市场回报。我们的实证结果不仅拒绝了交叉学科研究者存在工资溢价的原假设，同时也表明主研究学科方向在决定市场回报方面起到决定性作用。本文旨在用交叉学科群体作为研究对象，为研究不同领域中的多重身份问题提供一个新的实证方法途径。

Marketing and strategy researchers have often studied how firms navigate multiple identities but less attention has been paid to understanding how individuals do so. As a model domain to examine this question, we focus on interdisciplinary dissertators in the United States since there are clear uptrends in dissertators engaging multiple identities and unclear trends in their outcomes. We introduce a novel two-step econometric approach to characterize salaries of interdisciplinary dissertators as functions of the identities (academic fields) they acquire as graduate students. Our estimates robustly reject the hypothesis that interdisciplinarians receive a wage premium. We also find evidence that the market compensates researchers based on their primary discipline, an outcome that challenges emphases on interdisciplinarity. While our findings for interdisciplinarians point to the primary identity holding predominant importance for doctoral graduates in the United States, our two-step method provides a framework for studying the varied impacts of multiple identities across contexts.

7、共同基金是否言行合一？基于共同基金风险披露的文本分析（Do Mutual Funds Walk the Talk? A Textual Analysis of Risk Disclosure by Mutual Funds）

汇报人：徐楠，助理教授。美国加州大学尔湾分校金融学博士。研究兴趣：共同基金、机构投资者、实证资产定价、文本分析、行为金融等。

Nan Xu is an Assistant Professor of Finance in Nankai University. She graduated from University of California, Irvine. Her research interests include mutual funds, institutional investors, empirical asset pricing, textual analysis and behavioral finance etc.

内容简介：共同基金的风险披露能够反映真实的投资风险吗？运用文本分析，我们通过检验共同基金的简要招股说明书来验证基金是否准确地披露了风险。首先，我们记录了基金披露风险的种类并且研究了基金披露的风险和学术界研究的风险因子之间的关系。我们发现大多数披露的风险可以联系到学术界熟知的风险因子上。在我们的主要测试中，我们制定了基金层面的测度来评估基金风险披露的信息量，包括信息覆盖，简洁性，和唯一性。我们的发现显示了披露的风险基本上反映了大部分的投资风险，但是存在大量的基金之间的异质性。有趣的是，我们发现基金倾向于过度披露，披露的风险中一半并不能显著解释基金回报的差异性。进一步的检验显示低技能和高风险的基金倾向于披露的更多。然而，投资者现金流与风险覆盖无关。总的来说，本文为简要招股说明书中风险披露的信息量提供了新颖的证据。

Do risk disclosures by mutual funds reflect funds’ actual investment risks? Using textual analysis, we examine risk disclosures in funds’ summary prospectuses to determine whether funds do accurately disclose their risks. We first document the types of risks disclosed by funds and study the relation between fund-disclosed risks and risk factors documented in academic studies. We find that most disclosed risks can be linked to meaningful and well-known academic risk factors. In our main tests, we develop fund-level measures to evaluate the informativeness of funds’ risk disclosure, including risk coverage, conciseness, and uniqueness. Our findings suggest that disclosed risks in general reflect a large proportion of funds’ investment risks but with substantial cross-fund heterogeneity. Interestingly, we find that funds tend to overdisclose risks; half of the disclosed risks are not significant in explaining the variations in fund returns. Further tests show that less skilled funds and riskier funds tend to disclose more. However, new money flows are not related to risk coverage. Overall, this paper provides novel evidence on the informativeness of risk disclosure in summary prospectus.

8、共同基金的日常业绩表现（Daily Mutual Fund Performance）

汇报人：黄海涛，助理教授，美国佐治亚州立大学罗宾逊商学院工商管理博士（风险管理与保险学方向）。研究兴趣包括金融计量经济学、资产定价、共同基金等方面。学术成果发表于 Journal of Financial Econometrics, Journal of Applied Econometrics等刊物。

Haitao Huang is an Assistant Professor in the School of Finance at Nankai University. He obtained his PhD in Business Administration (with concentration in Risk Management and Insurance) from Robinson College of Business, Georgia State University in 2021. His research interests include financial econometrics, asset pricing and mutual funds. He has published in the Journal of Financial Econometrics and the Journal of Applied Econometrics.

内容简介：大量实证金融研究使用月度收益来评估基金业绩，这类研究通常受到横截面大而时间序列短的挑战。本文提出了一个使用每日收益数据来选择技术型基金的计量经济学框架。为了说明每日基金收益的经验特征，包括序列相关性和异方差性，基金残差由一类非常广泛的 ARMA-GARCH 过程建模。为了适应风险因子与残差的相关性以及重尾收益，我们提出了基于随机加权和加权最小二乘法的大维 alpha 检验。alpha 检验的适应性版本被应用于构建基金投资组合。在实证中，我们的检验发现的技术型基金享有更高的alpha和夏普比率。与主动管理型共同基金行业的下降趋势相一致，技术型基金的数量在减少，日常表现也在恶化。平均而言，技术型基金在季度回报期下具有持久的业绩表现，但其中相当大一部分似乎纯粹是出于偶然而具有出色的表现。业绩表现的持久性在更长的投资回报期下消失。

Many empirical finance studies use monthly returns to assess fund performance, which are typically challenged by a large cross-section with short time series. This paper proposes an econometric framework for using daily return data to select skilled funds. To account for the empirical features of daily fund returns, including serial correlation and heteroskedasticity, fund residuals are modeled by a very general class of ARMA-GARCH processes. To accommodate dependent risk factors and residuals, and heavy-tailed returns, a large-dimensional alpha test is proposed based on random weighting and weighted least squares. An adaptive version of the alpha test is applied to construct fund portfolios. Empirically, skilled funds found by our test enjoy higher alphas and Sharpe ratios. Consistent with the declining trend of the actively-managed mutual fund industry, skilled funds are shrinking in numbers with deteriorating daily performance. Skilled funds on average have persistent performance at the quarterly horizon, but a substantial proportion  of them appears to have superior performance purely by chance.  The performance persistence disappears at longer horizons.

9、养老金预期态度中的同群效应（Peer effect in pension expectation attitude）

汇报人：吕有吉，讲师，北京大学经济学院应用经济学博士（风险管理与保险学方向）。研究兴趣包括社会保险与保障和行为经济学。学术成果发表于Journal of Pension Economics & Finance、《金融研究》、《保险研究》等期刊。

Youji Lyu is a lecturer in the School of Finance at Nankai University. He obtained his PhD in Applied Economics (with concentration in Risk Management and Insurance) from School of Economics of Peking University in 2021. His research interests include social security and behavior economics. He has published in the Journal of Pension Economics & Finance, the Journal of Financial Research (in Chinese).

内容简介：基于中国健康与养老追踪调查（China Health and Retirement Longitudinal Study，CHARLS）2011年至2018年的数据，本文实证检验养老金预期态度的同群效应。本文研究表明，个体的养老金预期态度受到社区（村庄）其他个体养老金预期态度的显著影响。此外，本文还探析了上述同群效应的非对称性：男性、老年人、高学历群体和经历过老农保制度失败的群体更容易受到影响；男性和经历过老农保制度失败的群体更有影响力。本文还探讨了上述同群效应发挥作用的途径，发现相较于社会规范渠道，知识溢出渠道更能解释上述同群效应。最后，我们发现早期参与者的养老金预期态度对未来参与者的养老金预期态度有长期影响，即雪球效应。

Based on a nationally representative dataset from the China Health and Retirement Longitudinal Study (CHARLS) during the period 2011–2018, along with the instrumental variable approach to address the possible endogeneity, this research quantifies the peer effect in the context of pension expectations. This paper documents that individuals’ attitude towards expected pension benefit is significantly influenced by the peer group in the community. Moreover, this paper provides empirical evidence about the asymmetric peer effects: the male, the elderly, the high-education group, and those experiencing failed Old Rural Residents’ Pension program were easier to be influenced by the behavior of the peer group; the male and those experiencing failed Old Rural Residents’ Pension program were more influential and act like the herd in the peer group. This paper also explores the channels through which the peer effect operates. We find that the knowledge spillover channel dominates the social norms channel: the peer effect operates through transmitting information about the public pension system. Lastly, we find that the pension expectations of early participants have long-lasting effects on the pension expectations of future participants, i.e., snowball effect.