报告人：张慧冰 教授，德克萨斯大学达拉斯分校

报告时间：2024年7月23日上午10：00-11：00

报告地点：金融中心105报告厅

报告摘要：We demonstrate that the operating leverage effect induced by fixed costs is affected by variable costs in firm production. This motivates us to propose two measures of firm-level operating leverage: a theoretically driven measure from a production-based model, and a measure from machine learning estimation. Both measures outperform the operating profits with respect to gross profits. Furthermore, the operating leverage and risk premium relation depends on firms'gross profitability. For more profitable firms, fixed cost indrces higher risk premium, consistent with the conventional wisdom on the operating leverage effect. For sufficiently low gross profitability firms, however, the operating hedge from variably costs creates a negative relation between operating leverage and risk premium. Our result poses a challenge for the explanation of the value premium relying on operating leverage.

报告人简介：张慧冰教授现任德克萨斯大学达拉斯分校金达尔管理学院金融学教授。他曾任北卡罗莱纳大学Kenan-Flagler商业学院副教授、卡内基-美隆大学工业管理研究所助理教授、长江商学院和北京大学光华管理学院的客座教授。于1994年获得美国杜克大学经济学博士，研究主要涉及最优投资学、投资组合决策和金融资产定价等领域，在国际著名学术刊物如Journal of Finance, Journal of Business, Review of Financial Studies, Journal of Econometrics等发表多篇研究论文。曾荣获2013-2014SWFA杰出论文奖和2010-2011德克萨斯大学达拉斯分校金达尔管理学院优秀教学奖。张慧冰教授现为the Financial Management, Journal of Financial Econometrics和Quarterly Journal of Finance期刊的副主编。