第83期公司财务与金融市场学术论坛

时间：2018年12月21日（星期五）上午10:00-11:45

地点：南开大学商学院B1003

报告题目：

Rainy Day Liquidity

报告人：虞彤  教授

现为美国辛辛那提大学Lindner商学院金融学教授，研究兴趣集中于资产定价、金融风险、保险、机构投资者等领域。研究成果发表在Journal of Financial Economics、Management Science、Journal of Accounting Research、Journal of Financial Intermediation、Journal of Banking and Finance、Journal of Risk and Insurance等国际顶尖杂志上。曾于2011年获得美国风险与保险协会颁发的杰出青年学者学术成就奖。在加入辛辛那提大学之前，曾在美国罗德岛大学担任金融学教授。先后获得复旦大学经济学学士学位，美国佐治亚州立大学MBA学位，美国南卡罗来纳大学金融学博士学位。他是中国国际风险论坛的发起人。

主持人：覃家琦  教授

主办方：财务管理系

论文摘要：

As insurers' underwriting cash ow is independent of capital market conditions, insurers are expected to provide liquidity to the sell-side in times of market stress. We present evidence to support the role of “rainy day” liquidity providers in the corporate bond market. We find that insurer corporate bond purchases improve bond liquidity. Separating the sample into crisis and non-crisis periods and bond groups based on rating and illiquidity, we _nd that liquidity provision by insurers is stronger in stressful conditions. Such liquidity provision function in rainy days is not only limited to the bonds purchased by insurers - the liquidity of bonds with similar characteristics to insurer purchased bonds also increases under stressful conditions. Our findings show that insurers' funding level, proxied by insurers' cash ow position, strongly influences their propensity to purchase bonds with low ratings and their ability to provide rainy-day liquidity, indicating that the improvement in rainy-day market liquidity is related to additional funding liquidity of the insurers