题目：In Search of Habitat
报告人：Tong Yu(虞彤) Lindner College ofBusiness, University of Cincinnati
时间：2016年5月24日下午1: 30 -3: 00
地点：教学楼B306
论文：学院内网
【论文摘要】We perform portfolio-level analysis to understandinvestors' preferred-habitat behavior in the government bond market. Based onportfolio durations and portfolio weights across maturities, we find thatinsurance firms' aggregate government bond portfolio has stable interest raterisk exposure and limited elasticities to market conditions. Across individualinsurers, their interest rate risk exposures and portfolio elasticities arerelated to characteristics of operating liabilities and risk preferences. Weprovide further evidence that insurers exhibit habitat preferences at both theportfolio duration level and the maturity level, and that operating liabilitiesrestrain insurers' reaching-for-duration behavior during the recent
quantitative easing" era.
【报告人简介】 Dr. Tong Yu is a Professor of Finance atthe University of Cincinnati. He holds a doctorate in Financefrom the University of SouthCarolina in 2001. His research interest includes EmpiricalAsset Pricing, Risk Management and Insurance, Institutional Investments.
【发表论文】
1.The Dark Side of Cross-listing: A New Perspective fromChina, with Walid Busaba, Lin Guo,and Zhenzhen Sun, Journal of Banking and Finance, 2015, 57, pp.1-16.
2.Learning and Incentives: A Study Based on AnalystResponse to Pension Underfunding,
with Jane Chen, Tong Yao, and Jeffery Zhang, Journal ofBanking and Finance, 2014, 45,
pp26-42.
3.The Asset Growth Effect and Market Efficiency: Insightsfrom International Stock Markets,
with Akiko Watanabe, Yan Xu, and Tong Yao, Journal ofFinancial Economics, 2013, 108,
pp526-563.
4.Do Mutual Funds Pro_t from Accruals Anomalies? withAshiq Ali, Xuanjuan Chen and Tong Yao, Journal of Accounting Research, 2008, 46 (1), pp. 1-25.
5. Catastrophic Losses and Firm Profitability: Evidencefrom 9/11, with Xuanjuan Chen, Helen Doerpinghaus, and Bingxuan Lin, Journal ofRisk and Insurance, 2008, 75(1), pp. 39-62.
6. Do Mutual Funds Time the Market? Evidence fromPortfolio Holdings, with George Jiang
and Tong Yao, Journal of Financial Economics, 2007, 86, pp. 724-758.
