一、主讲学生与论文题目：

1. 毕嘉（2016级博士生）：Large Transactions and the MAX Effect: Evidence from China

2. 刘艳（2017级博士生）：Do issuer importance and competition affect rating inflation?

二、时间：2022年7月9日（周六）下午14:00-16:00

三、地点：腾讯会议

四、点评与讨论教师：

姜富伟 中央财经大学皇冠足球比分 教授

魏旭 中央财经大学皇冠足球比分 副教授

夏聪 中央财经大学皇冠足球比分 助理教授

五、主持人：姜富伟 中央财经大学皇冠足球比分 教授

六、论文摘要

1.  Large Transactions and the MAX Effect: Evidence from China

In this paper, we ?rst con?rm the existence of the maximum daily return (MAX) effect in the Chinese stock market. Furthermore, we ?nd that the existence of a maximum daily return is driven by large transactions whereby their relative transaction values explain the MAX effect. This paper proposes the economic mechanism for the maximum daily return effect as follows: institutional investor trading increases ?rst, which causes individual investors to follow and the total transaction value to increase. As a result, the daily stock return reaches its monthly highest, followed by a quick decay of the institutional trading. In contrast, trading by retail investors decreases much slower after the maximum daily return date.

2. Do issuer importance and competition affect rating inflation?

This paper analyzes the effect of issuer importance on rating inflation of the Chinese bond market, and provides empirical evidence for Bolton et al. (2012)’s theoretical model. We make four hypotheses about how high issuer importance affects credit rating: rating catering, reputation effect, information production and competition effect. Through exploring credit rating and spread, the results support the rating catering and reputation effect hypotheses. The conclusions provide some policy implications, such as disclosing the list of major clients, promoting a market-based bond market, and restricting the competition of the rating industry.

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