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学术讲座:Dynamic Runs and Optimal Termination

金融学院SBF论坛2019年第18讲

讲座题目: Dynamic Runs and Optimal Termination

时间:5月30日(周四) 12:20-13:30

地点:博学楼925

主讲人:周臻

主讲人简介:

周臻,2016年博士毕业于纽约大学,现任清华大学五道口金融学院助理教授。他的主要研究领域为金融经济学,信息经济学,金融危机以及金融监管。周臻教授曾在诸多顶尖院校及会议宣讲论文,他的工作论文“Diffusing Coordination Risk”现在在AER进行2nd round RR.

讲座内容简介:

Abstract:Investors may fail to coordinate and run on distressed firms, which often forces those firms to terminate. How can firms design termination rules to promote coordination among investors? To address this question, we build a dynamic coordination model in which investors learn about a hidden bad shock in an asynchronous manner and then decide when to withdraw capital. The firm in the model can choose the termination threshold and clawback payments made to investors who withdraw within a certain window prior to its termination. Surprisingly, the firm can survive longer if it commits to terminate while there are still assets left for the remaining investors, because a higher termination payoff alleviates investors' ex-ante incentives to run. We analytically characterize the optimal clawback window and show that it should not be excessively long. A longer clawback window lowers the chance for an investor to exit the firm successfully, and therefore may lead investors to leave sooner.