题目：Foreign Discount In International Corporate Bonds (国际公司债券的外国贴现)

演讲人：Zhe Geng（上海交通大学 博士）

时间：2022年1月18日（周二）12:00-13:00

地点：同济大厦A楼306室

Abstract:

In the dollar-denominated corporate bond market, 42% of bonds with an amount outstanding of USD 5.9 Trillion are issued by non-US firms. Despite the increasing importance of cross-border financing, foreign issuers are paying an extra premium of 23 bps, compared with their US counterparts. A similar foreign discount exists in the euro-denominated corporate bond and dollar-denominated sovereign bond market. Contrary to the common view, the standard risk and risk aversion cannot explain the discount. I propose a theoretical explanation based on uncertainty aversion. The model can generate the uncertainty effect in the cross-section and the volatility effect in the time series, both are supported by the data. Taking Covid-19 as an event study, I further document a foreign squeeze effect by showing that foreign dollar bonds suffer higher selling pressure relative to US dollar bonds during market turmoil. Such foreign discount (USA effect) dominates the dollar safety premium (USD effect). My results highlight the foreign discount and foreign squeeze effects in the international cross-border investment and financing.

Short Biography:

Zhe Geng is currently a Finance Ph.D. candidate in the Shanghai Advanced Institute of Finance (SAIF) at the Shanghai Jiao Tong University. His research focuses on asset pricing, credit market, China’s financial market, and international finance.