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Yang Zhao Update: April 26, 2018 YANG ZHAO (趙洋) Institute of Finance Cell: (886)-974-158300 College of Management Email: zy0383905@foxmail.com National Chiao Tung University
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  Y  ang  Z  hao - 1 - Update: April 26, 2018  Y   ANG Z HAO ( 趙洋 ) Institute of Finance Cell: (886)-974-158300 College of Management Email: zy0383905@foxmail.com National Chiao Tung University Citizenship: China 1001 University Rd., Hsinchu, Taiwan  Webpage:  https://yang-zhao.weebly.com/     Education Ph.D. Candidate, Finance 09/2014- Present College of Management, National Chiao Tung University(NCTU) M.S.Sc., Economics 09/2012-07/2014 Faculty of Social Sciences, University of Macau B.A., Economics 09/2008-07/2012 School of Business, Xinjiang Normal University Fields of Research Interest Insurance and Risk Management, Financial Markets, Empirical Corporate Finance Publications [1] Jin-Ping Lee, Edward M.H. Lin, Min-Teh Yu*, &  Yang Zhao . (2017).   “ Forbearance, Prompt Closure, and the  Valuation of Bank Subordinated Debt. ”    Advances in Pacific Basin Business, Economics and Finance , 5, 77-99.   [2] Jai-Jen Wang*, Jin-Ping Lee, &  Yang Zhao . (2018). “ Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market. ”  International Review of Economics & Finance , 55, 173-184. (SSCI,   JCR ranking: Q2) [3] Xiaodan Li, Yang Jiao, Min-Teh Yu, &  Yang Zhao *. (Accepted, 2018). “ Founders and the Decision of Chinese Dual-Class IPOs in the U.S. ”    Pacific-Basin Finance Journal  . (SSCI, JCR ranking: Q2)   * for corresponding author  Working Papers   [1]  Yang Zhao , & Min-Teh Yu. “ Prediction Markets for Catastrophe Risk: Evidence of Catastrophe Bond Markets ”  (Job market paper) This paper examines the efficiency of prediction markets by studying markets of catastrophe (CAT) bonds, which make up an active financial market, compared to previous studies of prediction markets that used small-scale observational field data or experiments. We collect actual catastrophe loss data, match the defined trigger events of each CAT bond contract, and then employ an empirical pricing framework to obtain the excess CAT premiums in order to represent the market-based forecasts. Our results indeed show that the market-based forecasts have more significant predictive content for future CAT losses than  Y  ang  Z  hao - 2 - professional forecasts that use natural catastrophe risk models. Although the predictive information for CAT events is specialized and complex, our evidence supports that CAT bond markets are successful prediction markets that efficiently aggregate information about future CAT losses. Our results also highlight that actual CAT losses in future periods can explain the excess CAT bond spreads in the primary market and provide evidence of market efficiency in pricing CAT risk. [2]  Yang Zhao , Min-Teh Yu, & Cheng-Few Lee. “ Does Equity Market Timing have a Persistent Impact on Capital Structure? -Evidence from Equity Funding Supply in China ”   This paper uses the change of individual securities accounts as a measure of equity funding supply to examine whether the persistent timing effect on capital structure exists for the Chinese equity market. This new equity timing measure can avoid previous criticisms of timing measure for not being independent of firm characteristics of capital structure and reflect the impact of investors’ non -fundamental demand on equity capital. Our empirical results show that this new measure is an effective market timing variable for issuing equity in the Chinese equity market and there are more than 7 years of a persistent effect of equity market timing on firm capital structure. This paper offers evidence that the market conditions of equity funding supply play an important role in corporate financial decisions in China. [3]    Yang Zhao , & Min-Teh Yu. “ How Liquidity Risk is factored into Catastrophe Bond Prices? ”   The previous literature does not propose effective proxies to measure CAT bond liquidity in the secondary market and concludes that liquidity risk is not factored into CAT bond prices. Considering eight different liquidity proxies of corporate  bonds proposed in the literature, this paper uses liquidity-sorted portfolios and entire sample analysis to examine liquidity risk in the secondary market for CAT bonds. Controlling other sources of risk than liquidity, our empirical results show that time to maturity, yield volatility, and yield dispersion are the three most effective liquidity proxies that capture different dimensions’ liquidity effects on CAT bond spreads. Based on our three liquidity proxies, the average liquidity risk premium i n the secondary CAT bond market is about 67.57 basis points during the period between 2002 and 2016. [4] Chia-Chien Chang,  Yang Zhao , Min-Teh Yu. “ How Does Climate Information Affect Catastrophe Bond Prices in the Primary and Secondary Markets? ”   This article employs both primary and secondary market data to examine how climate cycle and carbon dioxide (CO2) affect catastrophe (CAT) bond prices and the link between primary and secondary markets. We use principal component analysis to propose a climate cycle proxy combining a set of six climate indices. Our results show that CAT bond prices in the secondary market reveal CAT risk information from the climate cycle proxy and CO2 variation, but not in the primary market. Furthermore, the residual risk of CAT bond prices in the primary market significantly impacts CAT bond spreads in the secondary market. Our study on CAT bond markets provides evidence for the conjecture of Grossman and Stiglitz (1980) in that increasing the number of informed traders and therefore market thickness helps market prices reveal private information and improves the quality of market prices. Selected Works in Progress   [1]  Yang Zhao & Min-Teh Yu .“ Demand-side Shock and Commonality in Liquidity: Evidence from the Shanghai- Hong Kong Stock Connect Program”    Y  ang  Z  hao - 3 - [2] Guoxing Li, Tingting Zhu &  Yang Zhao * “ The Impacts of Bribery Risk on Asset Prices ”   Conference Papers   [1] “ Does Equity Market Timing have a Persistent Impact on Capital Structure? -Evidence from Equity Funding Supply in China ”   △  The 9th NCTU International Finance Conference, Hsinchu 01/2016 △  2016 International Conference of Taiwan Finance Association, Taipei 03/2016 △   The 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Hsinchu 06/2016 △ The 11th NCTU International Finance Conference, Hsinchu 12/2017 [2] “ Prediction Markets for Catastrophe Risk: Evidence of Catastrophe Bond Markets”   △  2016 Taiwan Risk and Insurance Association (TRIA) Annual Meeting, Taipei 12/2016 △   Insurance: Mathematics and Economics - IME 2017, Vienna 07/2017 △  Financial Management Association (FMA) 2018 Annual Meeting , San Diego 10/2018   [3] “ How Liquidity Risk is factored into Catastrophe Bond Prices? ”   △  2017 Taiwan Risk and Insurance Association (TRIA) Annual Meeting, Hsinchu 12/2017 △   2018 Meeting of the Central Taiwan Finance Association, Yunlin 05/2018 [4] “ Founders and the Decision of Chinese Dual-Class IPOs in the U.S. ”   △   2017 China International Risk Forum, Shanghai 12/2017 [5] “How Does Climate Information Affect Catastrophe Bond Prices in the Primary and Secondary Markets? ”   △  18th Asia-Pacific Conference on Global Business, Economics, Finance & Social Sciences, Bangkok 02/2018 Honors and Awards  Award of Excellent Students, NCTU Scholarship 2016  Award of Outstanding Students, NCTU Scholarship 2017; 2018  Memberships in Professional Organizations   Taiwan Finance Association (TFA) 2016- Present Taiwan Risk and Insurance Association (TRIA) 2016- Present Professional Services  Ad hoc Referee,  Review of Quantitative Finance and Accounting ;  Emerging Markets Finance and Trade   Teaching and Research Assistant   RA-   Department of Economics, University of Macau 07/2013-07/2014 TA- Course: Credit Risk Management, NCTU 09/2015-02/2016 TA- Course: Financial Management, NCTU 09/2015-02/2016  Y  ang  Z  hao - 4 - References Min-Teh Yu  明德  (chair) President Tel.: 886-3-5731883 China University of Technology, Taiwan E-mail: mtyu@nctu.edu.tw Chair Professor of Finance China University of Technology & National Chiao Tung University, Taiwan Cheng-Few Lee 李正福   Distinguished Professor of Finance Tel.: 848-4453530 Rutgers University, USA E-mail: cflee@business.rutgers.edu Jui-Chia Lin 林瑞  Assistant Professor Tel.: 886-3-5712121 Institute of Finance E-mail: jamesntu@gmail.com National Chiao Tung University, Taiwan
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