Zhe Geng
I’m an Assistant Professor of Finance at the School of Management, Fudan University.
I received my Ph.D. in Finance from Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University in June 2022. My research focuses on asset pricing, credit market, China’s financial market, and international finance.
Email: zhegeng@fudan.edu.cn
Research
Publications
The SOE Premium and Government Support in China’s Credit Market, with Jun Pan, Journal of Finance, forthcoming.
Studying China’s credit market using a structural default model that integrates credit risk, liquidity, and bailout, we document improved price discovery and deepening divide between state-owned enterprises (SOEs) and non-SOEs. Amidst liquidity deterioration, the presence of government bailout helps alleviate the heightened liquidity-driven default, making SOE bonds more valuable and widening the SOE premium. Meanwhile, the increased importance of government support makes SOEs more sensitive to bailout, while the heightened default risk increases non-SOEs’ sensitivity to credit quality. Examining the real impact, we find severe performance deteriorations of non-SOEs relative to SOEs, reversing the long-standing trend of non-SOEs outperforming SOEs.
– Best Paper Award, China International Conference in Finance 2021
– Presentations: NBER Capital Markets and the Economy 2021, FMA 2021, NFA 2021, CICF 2021, CICM 2021, CFRC 2021, CMES 2021, ABFER’s 2021 monthly webinar series, Sixth Annual Bank of Canada-Tsinghua PBCSF-University of Toronto Conference on the Chinese Economy, GISF 2022, SAIF, MIT Finance Student Workshop, and CUHK Shenzhen, Peking HSBC, Tsinghua SEM, Johns Hopkins Carey Business School, China Renmin University, UNSW Sydney
Working Papers
Foreign Discount In International Corporate Bonds, Working Paper, 2024
In the dollar-denominated corporate bond market, 41% of bonds with an amount outstanding of USD 6.2 Trillion are issued by non-US firms by 2023. Despite the increasing importance of cross-border financing, these foreign issuers are paying an extra premium of 20 bps, compared with their US counterparts. A similar foreign discount exists in the euro-denominated corporate bond and dollar-denominated sovereign bond market. While the standard risk measures fail to account for the discount, the Economic Policy Uncertainty (EPU) index from Baker, Bloom, and Davis (2016) can explain a substantial portion of the foreign discount, consistent with the calibration result from an uncertainty-based model. Using COVID-19 as an event study, I further document a foreign squeeze effect, where foreign dollar bonds suffer higher selling pressure than US dollar bonds. Such foreign discount (USA effect) dominates the dollar safety premium (USD effect). My results highlight the foreign discount and foreign squeeze effects in international corporate bonds, particularly amidst a backdrop of escalating global economic instability and uncertainty.
– Presentations: ABFER 2024, CICM 2022, CFRC 2022, SAIF, Tsinghua PBCSF, Fudan SOM, FiSF, SUFESOF, SUSTech, BI Norwegian Business School, Tongji SEM, USTC
Beta Ambiguity and Security Return Characteristics, with Tan Wang, Working Paper, 2020
We study the cross-sectional properties of asset returns in the presence of ambiguity in asset returns. In our model, the cross-sectional expected returns are described by three factors, capturing risk, mean ambiguity and variance-covariance ambiguity, respectively. The expected returns exhibit cross-sectional characteristics consistent with the empirical fact that the overall beta-return relation and IVOL-return relation are both negative, but the beta-return relation is negative and stronger among over-priced stocks while positive and weaker among under-priced stocks, and the IVOL-return relation is negative and stronger among over-priced stocks but positive and weaker among under-priced stocks.
– Presentations: WFA 2019, AFA Ph.D. Poster 2019, SERC 2019, CICF 2018
Zhe Geng's Homepage 