金融与财务学系系列讲座之294期

时   间：2023年11月28日（周二）10:00-11:30

Zoom会议号：896 3208 0148 密码： 076828

Zoom会议链接：https://us02web.zoom.us/j/89632080148?pwd=T01KRUNWUEtGMzR0bitNZmFPa1RmUT09

主   题：Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity

演讲者：Zhi Da   Professor of Finance, University of Notre Dame

摘   要：

Frequent market timing recommendations by a financial advisory firm generate substantial trading in currency markets by Chilean pension funds. These currency shocks are uncorrelated with standard predictors of foreign exchange rates, and hence are largely unintended consequences of the asset allocation decision. Local banks provide liquidity to pension funds in the spot market, which is partially segmented from foreign markets. Banks then hedge by trading in the forward market with foreigners. Currency flows result in deviations from the covered interest rate parity. Using bank balance sheet data, we confirm that banks’ risk bearing constraints create limits to arbitrage.

简   介：

Zhi Da is a Professor of Finance. His research focuses on empirical asset pricing and investment. In recent papers, he studied the returns on financial assets surrounding liquidity events, cash flow risks of financial assets, equity analyst forecasts, and the mutual fund performance. After gaining a BBA and an MSc from National University of Singapore, he worked at the interest rate and exotic derivative trading desk in DBS Bank. He subsequently earned a PhD in Finance from Northwestern University. His research has been published in the JF, JFE, RFS, MS, JFQA, etc. He currently serves as the Associate Editor of JF, MS, JFQA, CFR, JBF, IRF and PBFJ.

金融与财务学系

2023-11-23