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【 SUIBE思源金融讲坛——学术报告第49期 】:Maturity Mismatch and Incentives: Evidence from Bank Issued Wealth Management Products in China
发布时间:2018-05-09   浏览次数:15

题目:Maturity Mismatch and Incentives: Evidence from Bank Issued Wealth Management Products in China

报告人:方红艳 西南财经大学

时间2018327日下午1:00 -300

地点:博萃楼4楼阳光房


论文摘要

Commercial banks in China issued a multitude of wealth management products (WMPs) from 2009 to 2016. These products are largely short-term, but a significant proportion of capital is allocated to long-term investments. In this paper, we first construct a measure of WMP maturity mismatch for each bank in each quarter using R2s from regressing expected yields of WMPs on expected yields of banks’ generally claimed investments. The degree of maturity mismatch is positively related to banks’ quarter-end non-performing loan ratio (NPLR), after accounting for time-varying bank characteristics, bank and time fixed effects. The result indicates that severer mismatch is associated with reduced NPLR. Cross-sectionally, the positive relation is stronger in big banks and when banks had a larger NPLR in the previous quarter. The results highlight the fact that regulated commercial banks use financial innovation and exploit maturity mismatch in their issued WMPs to evade regulator’s credit risk monitoring.


报告人概况

方红艳,毕业于华盛顿州立大学(西雅图)金融系,获哲学博士学位(Ph.D),现为西南财经大学金融学院副教授、博士生导师,研究领域包括企业金融、风险投资与私募股权、影子银行等,主持完成国家自然科学基金一项,在Journal of Banking & Finance,《金融研究》等学术刊物发表论文多篇。


代表性论文

[1] Trading Restrictions and Firm Dividends: The Share Lockup Expiration Experience in China, with Zhihui Song, John R. Nofsinger and Yuyue Wang, Journal of Banking & Finance 85, 83-98 (2017)

[2] The effects of employee stock option plans on operating performance in Chinese firms with Hongyan Fang, John R. Nofsinger, Juan Quan, Journal of Banking & Finance 54, 141-159 (2015)

[3] 期权激励会促进企业创新吗?--基于中国上市企业专利产出的证据,合编辑:王姝勋、荣昭金融研究》,2017年第3, P176-191


研究项目

 [1]“资本市场影响及经理人行为:来自风险投资的证据,国家自然科学基金青年项目(2013-2015;编号: 71202174),主持,已结题。


 
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