2017年1月6-8日，第77届美国经济学年会（AEA）与美国金融学年会（AFA）在美国芝加哥召开。我司应用金融系助理教授顾弦老师的论文“How Lenders Evaluate Lawsuits: Evidence from Corporate Bond Market”入选美国经济学年会（1月6日分会场“Law, Banking and Growth”），应用金融系助理教授王盈老师的论文“The Momentum of News"成功入选美国金融学年会（1月6日分会场“Media and Finance”）。
顾弦老师的论文题目为“How Lenders Evaluate Lawsuits: Evidence from Corporate Bond Market”，该论文研究了债券持有人如何应对公司法律诉讼可能带来的声誉损失，进而影响公司的债券融资成本。文章发现，在其他条件相同的情况下，有法律诉讼的公司所发行的投资级债券发行利差要高约4.9%，期限平均短约11个月，发行量平均少约14.7百万美元，如果诉讼案件原告方是银行、或者信息披露的公司输掉案件的话，那么声誉损失带来的融资成本提升更加严重。相应的，诉讼案件公告对涉案公司的声誉损失也反映在二级市场债券超额收益与超额交易量上。政治关联在一定程度上缓解了声誉损失带来的成本。纽约大学教授April Klein从中国债券市场与法律的背景以及如何测度声誉损失等几个方面对论文进行了点评。
王盈老师的论文“The Momentum of News"基于一个大型新闻数据集，构造了2001-2014年公司层面的月度新闻得分，发现了新闻动量效应，即过去利好较多的股票，未来产生的利好也多。本文提出解释新闻动量的两个假说，发现新闻动量源于企业基本面的持续性，而非企业的信息环境。本文还发现了显著的新闻驱动的价格动量——用五分位数利好与利空新闻构造的多空对冲组合，会产生8.352%的风险调整后的年化收益率。该领域权威专家，哥伦比亚大学金融系教授Paul Tetlock作为论文的点评人，肯定了文章的潜在贡献，并给出了极具价值的建议。
论文简介
论文题目：How Lenders Evaluate Lawsuits: Evidence from Corporate Bond Market
作者：Xian Gu, Haitian Lu and Iftekhar Hasan
Abstract: Using litigation as an exogenous shock to debtors’ default risk, this paper documents how formal institutions (e.g. laws) and alternative governance mechanisms (e.g. reputation and networks) together shape loan contracts. We find public debt holders tighten their contracts after firms involved in litigation. All else equal, investment grade bonds of litigated issuers have 4.9% higher yield spread, 11-month shorter maturity, and $14.7 million less issuance volume than propensity score matched bonds of non-litigated issuers. The effect is more pronounced in bank-loan related cases, when issuers were defendants, losing the case, or headquartered in high trust regions. We also find issuers’ political capital and the reputation of their underwriter moderate bond price sensitivity to litigations. Results suggest a causal link between litigation and cost of debt and are robust to alternative tests. Additionally, the paper reports a negative and significant abnormal bond return and excess trading volume around public announcements of lawsuits.
论文题目：The Momentum of News
作者：Ying Wang, Xiaoneng Zhu, and Bohui Zhang
Abstract: Relying on a comprehensive data set of news releases, we construct monthly firm-level news scores during the 2001–2014 period and document a news momentum effect that stocks with more positive news in the past generate more positive news in the future. We propose two hypotheses to explain news momentum and find that news momentum is driven by the persistence of firms’ fundamentals instead of firms’ information environments. We also find significant news-driven price momentum – the strategy combining a long position in a good-news quintile portfolio with a short position in a bad-news portfolio generates 8.352 percent risk-adjusted return annually.
