一、主讲学生与论文题目：
1. 李晴（2018级博士生）：Measuring Litigation Risk in China
2. 姚薇（2017级博士生）：On the relationship between real interest rates and commodities’ real returns in the context of quantitative easing: Evidence from a wavelet coherence analysis
3. 喻曾（2018级博士生）：The effect of relative performance evaluation contracts on accounting conservatism
4. 李奇泽（2016级博士生）：Social interactions and Chinese households’ participation in the risky financial market
二、时间：2021年11月6日（周六）下午14:00-16:30
三、地点：腾讯会议
四、点评与讨论教师：
陈锐 suncitygroup太阳新城 副教授
魏旭 suncitygroup太阳新城 副教授
杜焕程 suncitygroup太阳新城 助理教授
五、主持人：陈锐 suncitygroup太阳新城 副教授
六、论文摘要：
1. Measuring Litigation Risk in China
Previous research commonly uses indicator variables such as industry, company size, growth, and stock volatility to proxy for litigation risk. Using a unique dataset of corporate lawsuits disclosed by China’s corporate bond issuers, this study constructs a cost-efficient litigation risk measurement model for Chinese enterprises. It extends the research field of litigation risk to non-listed firms and proves that corporate litigation risk is the integrated consequence of both internal and external factors. It also provides evidence on the construct validity of the previous measure by presenting the predictive ability of alternative models of litigation risk in China and verifies the effect of related parties’ lawsuits filings on corporates litigation risk. Further analyses show that credit ratings cannot efficiently measure and predict debt-related litigation risk of corporates as expected in China.
Using a unique database of debt related litigation cases, we look at 855 debt related lawsuits (like disputes over financial loans, loan contracts, bill disputes and financial lease disputes) and study which company factors determine the likelihood of being sued. We find the the probability of being sued depends largely on size of the company (with a ten percent increase for every million in asset value. This contradicts the US results where Johnson and Johnson find that smaller companies are more likely to be sued.
2. On the relationship between real interest rates and commodities’ real returns in the context of quantitative easing: Evidence from a wavelet coherence analysis
We investigate the dynamic covariation between the expected real Federal Funds rate, the expected real short-term and long-term Treasury bill rates and thirteen commodities’ real returns in the context of quantitative easing (QE) policy. In this direction, we adopt a wavelet coherence analysis which is applied to US data over the period from 2000:1 to 2018:7. Our results indicate that there is more positive and significant covariation between commodities’ real returns and the expected real interest rates under unconventional monetary policy. The positive covariation between commodities’ real returns and the expected real Federal Funds rate and short-term interest rate emerges earlier than that between commodities’ real returns and the expected real long-term interest rates in short horizons, which then gradually turns negative in long horizons. Moreover, the covariances between commodities’ real returns and the expected real short-term interest rates are stronger in short horizons but weaker in long horizons than the covariances between commodities’ real returns and the expected real long-term interest rates. Our results also supplement the existing evidence on the lead-lag relationships that run from metal, energy and agricultural commodities’ real returns to the expected real interest rates over long-term horizons. Finally, we observe that more commodities’ real returns exhibit a lead-lag relationship with the expected real long-term interest rates than with the expected real Federal Funds rate and short-term interest rates under QE.
3. The effect of relative performance evaluation contracts on accounting conservatism
Using a sample of US firms from 2006 to 2018, we discover the use of relative performance evaluation (RPE) contracts has a positive causal impact on the level of accounting conservatism (proxied by firm-year conservatism measurement C-score). To establish causal relation and avoid estimation bias from self-selection problem, we introduce a unique firm-specific and time-variant exogenous variable Z (Similar_Firmt-1) based on the Mahalanobis Distance calculation, and employ Heckman’s treatment effects model to control unobserved factors. Furthermore, in the heterogeneity test, we discover the demand of accounting conservatism is higher for RPE adopted firms with characteristics of bigger size, or higher leverage ratio, or lower firm age, or classified as higher litigation industries, or operated in more competitive environment.
4. Social interactions and Chinese households’ participation in the risky financial market
This paper explores how social interactions affect households’ financial investment. Based on data from the 2018 China Family Panel Studies (CFPS), we construct three different indices of social interactions. Our results suggest that social interactions are positively related to households’ participation in risky financial market. Furthermore, this effect is more pronounced among households with limited channels of obtaining information, such as those who have an older age a lower level of education
