金融科研工作坊系列活动

时 间：2023年6月14日（周三）13：00

地 点：上川路校区文博楼协创中心436会议室

主持人：张方 云顶yd2333备用平台 金融学院 副教授

主题报告一：Duration-driven Carbon Premium

报告人：李江远

报告人简介：

李江远，上海财经大学金融学院副教授，曾入选上海市晨光学者计划，并曾荣获新加坡管理大学校长奖学金，美国金融学年会游学奖学金及2020年、2021年普华永道最佳论文提名。其研究方向为宏观金融经济学、实证资产定价，特别是与宏观意见分歧、动量效应及机器学习方法应用的相关研究，已有两篇关于宏观金融和动量效应的研究成果分别发表于国际顶级金融学期刊Journal of Financial Economics，国际著名金融经济学期刊Journal of Banking and Finance和国际著名运筹学期刊European Journal of Operational Research，总计谷歌学术引用量为138，在社会科学研究网络（SSRN）总下载量为3198， 在全球SSRN中下载量排行中位于全球前10%。

摘要：We observe two seemingly contradicting facts on carbon premium in recent years: a negative brown-minus-green (BMG) return spread and a positive association between realized stock return and carbon emission. We reconcile these facts through the lens of equity duration. The variation of equity duration premium explains the observed declining carbon premium in the short periods since 2004. In particular, short (long) equity duration is associated with brown (green) firms with high regulatory (opportunity) climate change exposure. However, theories (Gormsen, 2021) predict the duration premium to be time-varying. The expected carbon premium may be positive, while we observe a negative realized carbon premium.

主题报告二：Determinants of the international crop trade dynamics: New insights from a network structure dependence perspective

报告人：汪鹏

报告人简介：

汪鹏，华东理工大学商学院，管理学博士，现为云顶yd2333备用平台金融学院讲师。主要从事互联网金融、绿色金融、国际粮食贸易、复杂网络。近年来，在Chaos Solitons & Fractals、EPJ Data Science、Entropy、《中国管理科学》期刊发表中英文学术论文4篇；同时作为项目骨干参与国家自科基金面上项目、国家自然科学重大研究计划培育项目等课题4项。

摘要：Delving into food security and food supply resilience requires a deep insight of the international crop trade dynamics, yet the complex patterns behind them are currently in the mist. This paper examines the determinants of the international crop trade networks, where complex dependencies and higher-order effects originating from hierarchical structures and temporal correlations can be captured. With a comprehensive indicator and the clique percolation method (CPM), we identify vital countries and detect overlapping communities. By introducing a family of exponential random graph models to complement the traditional gravity model, our results suggest that the formation of the international crop trade is highly correlated with endogenous structural effects, internal actor-attribute effects, external embedding effects, and temporal effects. Our findings support the impeding effects of the hierarchical structure on trade formation from endogenous network statistics and the depth of economic integration. Furthermore, delayed reciprocity and stability contribute to the formation of international crop trade.

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金融学院

2023年6月7日