Finance Webinar（2022- 01）-Job talk

Topic: Inefficient Information Intermediary and its Asset Pricing Implications: Evidence from the Corporate Bond Market

Speaker: Hong Xiang, The University of Hong Kong

Time: Tuesday, January 4, 10:00-11:30 a.m. Beijing Time

Location: Microsoft Teams

Abstract：

Asset managers not only manage investment capital delegated by investors but also synthesize and disseminate information for investors' capital allocation. I argue that asset managers delay the information transmission to investors due to a conflict of interests. Consequently, investors' capital allocation in response to information is delayed, resulting in market inefficiencies. I test this argument and its asset pricing implications in the corporate bond market. The main finding is that the delayed information transmission by corporate bond funds leads to price momentum in the corporate bond market. In addition, the delayed information transmission by corporate bond funds generates cross-bond return predictability among corporate bonds that are held by common fund owners. Finally, this paper sheds light on the over-valuation of high beta bonds relative to low beta bonds (beta anomaly) in the corporate bond market.

Biography

Hong Xiang is a PhD candidate in finance at the University of Hong Kong. His research interests lie in the field of empirical asset pricing, with focuses on asset management, investor behavior, and their implications on asset pricing. His research papers have been published at Journal of Financial Economics and have been presented at top conferences. His research outputs have also been featured in mainstream media such as Bloomberg.