经济与金融系学术讨论会第217期

题目： Betting on Bond Ratings Disagreement

演讲人：杨楠（香港理工大学 副教授）

时间：2024年5月28日（周二）12:00-13:00

地点：同济大厦A楼505室

同步#腾讯会议：683850812

会议密码：982664

链接：https://meeting.tencent.com/dm/XzUl6a6PEeDk

摘要： This paper analyzes insurers’ corporate bond investment behavior when credit ratings disagree. Data indicates that rating splits do not predict rating changes, thus clouding investor perception of credit risks. Insurers generally adjust bond holdings to reduce uncertainty but increase risky bond holdings with greater rating dispersion. For bonds with the lowest credit, a one standard deviation increase in rating dispersion raises insurer holdings by 0.8%, about 13% of the median. This relation persists with controls for rating changes and bond yields, indicating that rating forecasts and risk-based stories do not explain the behavior. Reaching for uncertainty intensifies with capital constraints.

简介：

Nan Yang is an Associate Professor with tenure at School of Accounting and Finance, The Hong Kong Polytechnic University (PolyU). His research focuses on the area of Corporate Governance, Managerial Compensation Incentive, Financial Institutions, Cross-listing, ESG, Healthcare, and Credit Risk. He has published in Journal of Financial Economics and Management Science. His works are also featured in Harvard Law School Forum. His works have been presented at top finance conferences (WFA, CICF, and FMA), prestigious universities (University of Hong Kong, Renmin University of China), and Federal Reserve Bank of Dallas. He also has won several competitive merit-based Hong Kong government research grants, totaling over HK$2 Million of funding awarded.

Nan earned a Ph.D. in Finance from Texas A&M University, a M.A. in Economics from State University of New York at Stony Brook and a B.A. in Economics from Renmin University of China. His profile can be accessed at https://www.polyu.edu.hk/af/people/academic-staff/dr-nan-yang/