Publication:
中国新基金过度发行之谜和投资者保护 ，《金融研究》 2025 （与张劲帆、郑凯轩）
本文经修改后，被证监会下属研究机构中证金融研究院收录进内参。
截止2021年底，中国公募基金管理资产25万亿元，基金数量达到9288支。虽然规模只有美国公募基金行业34万亿美元的1/10，但数量已经超过美国同期的8840支。中国公募基金行业募资主要靠发行新基金，平均每位经理管理2.7支基金。本文发现大量发新的原因是基金依赖银行渠道募资，又必须向银行支付高昂的托管费。基金公司在争夺银行渠道资源时，性价比极高的方式是发售一支新基金托管在该行，用托管费换取募资的支持。新基金大量发行影响市场公平。对比同一基金经理管理的新老基金，新基金年化收益率平均优于老基金1.5%-2%。当一个基金经理发行新基金后，其管理的老基金表现出现下降。由于新基金的资金流入更加依赖其近期表现，基金经理有更强动机提升新基金业绩。大量发行新基金不利于投资者保护, 尤其伤害了老基金投资者利益。同时，反复的赎回和申购也不利于基金经理管理，加剧了基金投资散户化倾向，最终影响整个基金行业的投资收益。
Working Papers:
How do ETFs Affect the Liquidity of the Underlying Corporate Bonds?
There is considerable concern over the impact of ETFs on illiquid markets. This paper shows that corporate bond ETFs improve the liquidity of the underlying bonds. ETF ownership increases turnover and reduces transaction costs. I identify an important channel for this positive impact: ETF arbitrage. The profits that dealers can earn from ETF arbitrage are considerable. Consequently, when ETF arbitrage opportunities arise, dealers are incentivized to both compete and give price concessions. In the cross-section, the impact of ETFs is stronger on the less liquid bonds because these bonds are rarely traded by other types of investors.
How Urbanization Affects Regional Wealth Inequality: The Housing Channel (with Jiaofen Hu)
China went through rapid urbanization in the past decade. We document that cheap apartments appreciate much faster than expensive apartments in this period. We identify two channels for the pattern: (1) Demand for cheap apartments increases more relative to expensive apartments. (2) The location values in poor neighborhoods increase more due to city construction. Combined with the evidence that cheap apartments are mostly owned by poor people, we find that the housing market causes regional wealth inequality to decrease among homeowners. Our findings suggest new win-win scenarios where economic growth and inequality reduction can be achieved simultaneously.
Housing Boom in Major Cities and Inter-Generation Wealth Transfer (with Tao Shu and Sheridan Titman)
We examine a self-feeding mechanism of China’s housing price boom, i.e., the increase in parents’ housing values enables parents to financially subsidize their children’s home purchases. Using a unique census dataset covering millions of residents in Shenzhen, China, we investigate Shenzhen residents’ home purchase decisions. Consistent with the self-feeding mechanism, hometown housing price increase, a proxy for parents’ financial subsidy, is significantly positively associated with Shenzhen residents’ probability of home purchases. Additionally, conditional on home purchases, Shenzhen residents whose hometowns experience larger housing price increases also buy more expensive and larger properties. Further analyses support the subsidy channel rather than the alternative explanation of price expectation.
Creating More Reliable Measures in the Bond Market with Matrix Pricing (with Jinfan Zhang and Delong Li)
The major difficulty in corporate bond research is dealing with missing data. This paper proposes a method to fill in the missing data using matrix price techniques. I then document several important findings. First, the monthly return data on the WRDS Bond database, which uses the last trade in TRACE, could be unreliable. The correlation between returns reported on WRDS and the returns I calculate using adjusted month-end prices is only 70%. Second, many commonly used liquidity measures are unreliable. This is in stark contrast with Schestag et al. (2016), who claim that most measures can capture the cross-sectional variations of trading costs. I show that regression-based methods systematically underestimate the magnitude of trading costs, and they do not highly correlate with the effective spreads. Of all the liquidity measures that use only TRACE data, Roll's measure is the best at both estimating the magnitude of trading costs and identifying the cross-sectional variation in bond liquidity.
“北上广深杭”顶级学区溢价是如何分布的？ (with Jiaofen Hu)
本文针对中国房地产市场的特点，改进了传统文献中计算学区房溢价的方法，实现了对大部分学校的学区溢价的逐一计算。本文首次揭示了一个城市内学区房溢价的分布情况，并以此量化优质教育资源被垄断的程度。我们收集了北京、上海、广州、深圳和杭州2011-2019年的房产交易数据，发现北京、上海、深圳最顶尖的小学在2017年的学区溢价高达500万，即使学区内最便宜的房子也让全市约95\%的家庭负担不起。广州和杭州在2017年顶尖学区溢价在200万左右。该溢价有非常强的头部效应，排第十的学校往往溢价只有第一的五分之一。如果对学区房溢价计算基尼系数，在只考虑前10的学校时，北上深杭在0.5到0.6之间，广州只有0.26；如果考虑所有学校，那这些城市均超0.98。可见这些城市教育不平等问题非常严重。为了破除优质教育资源的垄断现象，国家需要一定的行政手段来打压天价学区房。我们通过准自然实验发现大学区政策确实是抑制学区溢价增长行之有效的方法，但不能完全消除学区溢价。要进一步促进教育机会平等，我们需要在教育制度上进行改革，如实行教师轮岗。
Work-in-progress:
Why do Retail Investors Underperform? (with Xiaomeng Lu)
According to the retail trading data from the Shenzhen Stock Exchange, the average alpha of small retail investors can be as low as -10%. We decompose this negative alpha into different components caused by various behavioral biases. We find that the most important behavioral bias that contributes to investors' losses is the disposition effect. The result has a strong implication for investor education.