时间：2018年12月20日（星期四）上午10:00-12:00，下午14:00-15:00
地点：yh86银河国际南校区院系楼401yh86银河国际会议室
主办：yh86银河国际yh86银河国际
主题一：Firm Valuation Over Lifecycle: A Perspectiveon Growth Option
主讲人简介：刘浩，电子科技大学博士，主要研究领域为金融工程
内容简介：
该文构建了同时考虑企业不断执行已有增长期权和依概率创造新增长期权的企业估值模型，理论上分析了增长期权的执行和创造如何影响企业估值（市账比）随生命周期的变化趋势，研究发现：增长期权的不断执行会导致企业估值随生命周期整体上呈现下降趋势，而增长期权的创造可以缓解这种下降趋势，持续的创造更是会导致上升趋势。
实证证据方面，资本支出强度和R&D强度分别会加强和减弱企业估值与企业上市年龄间的负向关系，很好地支持理论预示；在持续进行R&D投资的子样本中，发现企业估值和企业上市年龄之间具有显著的正向关系。且即便控制融资约束、代理成本等已有文献的相关变量，这一正向关系依然存在，然而，一旦控制R&D强度后，这种正向作用消失。
主题二：Stable Paretian Distribution, Different Generating Processes and Habit Formation-The Implication for Equity Premium Puzzle
主讲人简介：付奇，澳门大学博士，主要研究领域为商业金融
内容简介：We study the asset pricing model with stable paretian shocks for solving the equity premium puzzle. We extend the model with different generating processes and habit formation utility function, prove the convergence of the solution with maximally negative skewness condition, and show that this new model can generate higher risk premium. Then we make analysis of stable paretian process for rare disasters economy using framework of cumulant-generating function. We attempt to capture as much discontinuity risk as jump-diffusion process of classic disaster model. The property of stable paretian distribution allows us to handle the joint effect of fat tails and heterogeneity, thus solve the equity premium puzzle with parsimonious model.
主题三：Earnings Management, Mandatory Contributions, and Pension Disclosure Standards
主讲人简介：覃依依，香港城市大学博士，研究方向包括实证公司金融——企业年金，盈余管理，会计准则变动，企业兼并与并购等；实证资产定价——尾部风险，期货市场等。
内容简介：
For underfunded defined benefit pension plans in which the market value of pension assets is smaller than the present value of future liabilities, firms are required by law to make mandatory contributions. Mandatory contributions represent an exogenous shock to internally generated cash flows and are associated with significant reduce in firms’ capital expenditures, increase in cost of capital, and negative stock market reactions. I find that firms inflate assumed returns on pension
assets to boost their reported earnings when facing mandatory contributions. I also find that managers alter earnings management behavior, in the case of mandatory contributions, following the introduction of new pension disclosure standards under SFAS 132R that become effective on December 15, 2003. Meanwhile managers become more sensitive to exploit such earnings manipulations opportunities when facing mandatory contributions, or in post-SFAS 132R period despite the fact that firms indeed respond to SFAS 132R requirements and set a lower expected rate of returns in general. Moreover, managers shift pension assets toward equity to justify higher expected rate of returns and match the risks and returns after SFAS 132R is in place.
