Working Papers

Security Design under Common-Value Competition​ [slides]

FTG Best Paper in Finance Theory on the Job Market, 2021

WFA PhD Candidate Award for Outstanding Research, 2021

Abstract: Securities are often designed by informed agents under competition. This paper studies a model in which privately informed investors compete for a common-value investment opportunity by designing securities. In the unique symmetric monotonic D1 equilibrium, all types of investors offer debt finanicng, which is the least sensitive to information, for protection against the winner's curse. There is no asymmetric monotonic equilibrium in which both investors offer securities from ordered sets such that one is steeper than the other.

Presentations: FTG Fall Meeting at Yale, OxFIT, University of Rochester Simon, EEA-ESEM, CMES, AMES, WFA, Barcelona GSE Summer Forum, City University of Hong Kong, UCL, New Economic School, Frankfurt School of Finance and Management, SAIF, HEC Lausanne, Copenhagen Business School, University of Mannheim (Department of Economics), Tsinghua PBCSF, Chinese University of Hong Kong, University of Washington Foster, University of Amsterdam, Tsinghua SEM, EEA-ESWM, HEC Liege Corporate Finance Day, LSE

Share Issues versus Share Repurchases, with Philip Bond and Hongda Zhong [slides]

Abstract: Almost all firms repurchase shares through open market repurchase (OMR) programs. In contrast, issue methods are more diverse: both at-the-market offerings, analogous to OMR programs, and SEOs, analogous to the rarely-used tender-offer repurchases are used by significant fractions of firms. Moreover, average SEOs are larger than at-the-market offerings. We show that this asymmetry in the diversity of transaction methods in issuances and repurchases and the size-method relation in issuances are natural consequences of the single informational friction of a firm having superior information to investors. Finally, repurchasing firms are likely maximizing long-term shareholders' payoffs rather than boosting short-term share prices.

Presentations: AFA (scheduled), EFA (scheduled), BSE Summer Forum (scheduled), FTG Summer Meeting in Budapest, Esade Spring Workshop, Tsinghua PBCSF, SGF Conference, CICF, LSE

Security Design under Two-Sided Asymmetric Information [slides]

Abstract: This paper studies a model in which a firm organizes a security-bid auction when both the firm and investors have private information. Two-sided asymmetric information is novel to the literature, which has been focused on one-sided private information. The firm aims at both signaling high valuation to investors and intensifying competition among investors to reduce their informational rent. In equilibrium, all types of the firm pool on requiring payments in the most information-sensitive security family.

Presentations: FIRS, EEA-ESWM

Suspended Work

Social Networks and Loan Repayments, with Christian Julliard, Zhengwei Wang and Kathy Yuan

Discussions

[2] Bargaining in Securities, Isaias Chaves and Felipe Varas, SaMMF Workshop on Financial Intermediation and Security Design 2021 [slides]

[1] Does Options Trading Complement Information Conveyed by Subsequent Stock Repurchase Activity, Yifan Liu, MFA 2021

Teaching

Lecturer, Tsinghua

Advanced Theory of Corporate Finance (PhD), 2021-22

Teaching Assistant, LSE, 2016-21

FM212 Principles of Finance (undergraduate)

FM409 Risk Management in Financial Markets (master)

FM430 Asset Markets (master)

FM441 Derivatives (master)

FM473 Financial Markets (master)

Teaching Assistant, LSE Summer School, 2016-18

FM230 Alternative Investments

FM250 Finance

FM350 Advanced Corporate Finance

FN209 Corporate Finance in a Global World