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手机验证领28彩金不限id第325期:3月24日施一宁助理教授
浏览次数: 次  | 发布时间:2021-03-17

手机验证领28彩金不限id第325期:324施一宁助理教授

本期主题: Are Hedgers Favored in Derivatives Markets? Evidence from CDS Transactions

摘要:

Using CDS transaction-level data, we document that CDS spread is lower for hedgers than for speculators. That is, for two investors who buy CDS on the same reference name from the same CDS seller, the one who buys CDS for hedging receives a more favorable price than the other for speculation. The price discount hedgers started to emerge after the 2008-09 credit crisis. The price discount is more pronounced in dealer-to-client trading, and in more volatile markets. Our findings provide evidence for price discrimination against speculators, a common assumption made in the over-the-counter derivatives literature. Meanwhile, our finding is not explained by trader sophistication or private information from holding the reference debt. Overall, our results suggest that hedgers are favored in the CDS market, and the post-crisis regulations on CDS trading may have led ‘naked’ CDS transaction to be more expensive.


报告人:施一宁助理教授, 对外经济贸易大学金融学院

时间:324日(周三) 12:15

地点:明德主楼515交流室


报告人简介:

施一宁博士现任对外经济贸易大学金融学院助理教授,2016年获得伦敦帝国理工金融学博士学位。此前获得了伦敦帝国理工金融工程与风向管理硕士学位和诺丁汉大学金融会计与管理学士学位。施一宁的研究领域主要包括信用风险,中国房地产与对外开放。她在Journal of Financial Markets, European Financial Management 等国际学术期刊上发表过多篇论文。

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