報告人：張慧冰 教授，德克薩斯大學達拉斯分校

報告時間：2024年7月23日上午10：00-11：00

報告地點：金融中心105報告廳

報告摘要：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.

報告人簡介：張慧冰教授現任德克薩斯大學達拉斯分校金達爾管理學院金融學教授。他曾任北卡羅萊納大學Kenan-Flagler商業學院副教授、卡內基-美隆大學工業管理研究所助理教授、長江商學院和北京大學光華管理學院的客座教授。于1994年獲得美國杜克大學經濟學博士，研究主要涉及最優投資學、投資組合決策和金融資產定價等領域，在國際著名學術刊物如Journal of Finance, Journal of Business, Review of Financial Studies, Journal of Econometrics等發表多篇研究論文。曾榮獲2013-2014SWFA杰出論文獎和2010-2011德克薩斯大學達拉斯分校金達爾管理學院優秀教學獎。張慧冰教授現為the Financial Management, Journal of Financial Econometrics和Quarterly Journal of Finance期刊的副主編。