Download XIA MENG Brandeis University International Business School Phone

XIA MENG
Brandeis University
International Business School
415 South Street, MS 032
Waltham, MA 02454
Phone: (617) 966-1648
Email: [email protected]
Website: people.brandeis.edu/~xiameng/
AREAS OF INTERESTS
Research
Primary: Asset Pricing, Empirical Finance, Applied Econometrics, Foreign Exchange
Secondary: Macroeconomics, Development Economics
Teaching
Statistics, Econometrics, Empirical Finance, Development Economics
EDUCATION
Ph.D., International Economics and Finance, International Business School at Brandeis
University, 2012
Dissertation: “Three Essays on Empirical Finance”
Expected Completion Date: May 2012
Committee Members: Blake LeBaron, Carol L. Osler, and Jens Hilscher
B.S., Internatioanl Economics and Trade, Peking University, 2006
RESEARCH PAPERS
“Rare Bubbles and Disasters and Tail Distribution of Daily Stock Returns”
“Exchange Rates and Commodity Prices ---- An Analysis and Trading Strategy on G10
Currencies” (with Ritirupa Samanta)
“Volatility of Stock Return Variance and Capital Gains Tax” (with Junbo L. Wang and Zhipeng
Yan and Yan Zhao)
TEACHING EXPERIENCE
Brandeis University
Instructor
Econometrics (Undergraduate), Spring, Summer, and Fall 2010
Statistics for Economic Analysis (Undergraduate), Summer 2008, 2009 and Spring 2010
Teaching Assistant
Advanced Econometrics I (Ph.D.) for Professor G. Michael Rife, Spring 2011
Financial Manias and Crises (Masters) for Professor Blake LeBaron, Spring 2010
Financial Forecasting (Masters) for Professor Blake LeBaron, Spring 2010
Advanced Econometrics II (Ph.D.) for Professor Hong Li, Fall 2009
Econometrics (Undergraduate) for Professor Linda Bui, Fall 2008
Topics in Sustainable Development (Masters) for Professor Ricardo Godoy, Spring 2008
Statistics for Economic Analysis for Professor Nidhiya Menon, Fall 2007
Survey Design and Data Analysis (Masters) for Professor Ricardo Godoy, Fall 2007
RESEARCH EXPERIENCE AND OTHER EMPLOYMENT
Advanced Research Center, State Street Global Advisors , Boston, MA
Quantitative Research Intern
Designed a trading model of a G10 currency portfolio based on the co-integration
relationship between currency prices and their customized commodity indexes using
Error Correction Model, Summer and Fall 2010
Elaborated a fundamental model for G10 currency trading which considers several
economic factors as signals to predict exchange rates, Summer 2009 and 2010
Explored the pros and cons of different productivity proxies for emerging market
countries, which are used as a factor in dynamic strategic hedging on EM currencies,
Summer 2009
Brandeis University
Research Assistant
For Professor Gary Jefferson, explored the impact of restructuring on the research
institutes' productivity with dataset from Chinese research institutes, examined the
reasons of change in energy intensity in Chinese firm's production process using the LME
dataset provided by National Bureau of Statistics, Fall 2006, Spring, Summer and Fall
2007, Spring 2008
HONORS AND AWARDS
Graduate student fellowship, Brandeis University, 2006-2010
NSF Travel Grant for the 3rd Lindau Meeting with Nobel Laureates in Economics, Summer 2008
Mary Kay Scholarship for Outstanding Study, Peking University, 2005
Outstanding Social Work Award, Peking University, 2004
PROFESSIONAL ORGANIZATIONS
American Economic Association, 2011-present
American Finance Association, 2011-present
Financial Management Association International, 2011-present
COMPUTER SKILLS AND QUALIFICATIONS
Computer Programs and OS: Matlab, SAS, Stata, and Windows
Databases: WRDS, CRSP, Compustat, Global Insight, Factset, and Bloomberg
Passed all 3 levels of CFA exams upon the first attempts
LANGUAGES
Chinese (native), English (fluent), French(intermidate)
REFERENCES
Blake LeBaron (Committee Chair)
Abram L. and Thelma Sachar Professor of
International Economics
International Business School (IBS) - MS 032
Brandeis University
415 South Street
Waltham, MA 02454
Phone: 781-736-2258
Email: [email protected]
Jens Hilscher
Assistant Professor of Finance
International Business School (IBS) - MS 032
Brandeis University
415 South Street
Waltham, MA 02454
Phone: 781-736-2261
Email: [email protected]
Carol L. Osler
Associate Professor of Finance
International Business School (IBS) - MS 032
Brandeis University
415 South Street
Waltham, MA 02454
Phone: 781-736-4826
Email: [email protected]
RESEARCH PAPER ABSTRACTS
Rare Bubbles and Disasters and Tail Distribution of Daily Stock Returns
(Job Market Paper)
The existence of fat-tailed distributions underlying financial time series has been known for
a long time. In this paper, I use OLS Hill estimator to measure the tail thickness of daily returns
of US stock market. Based on bootstrap test, I show that 1) the return distribution is not
symmetric in tails, with a significantly fatter right tail than the left; 2) the daily returns of US
stock market exhibit significantly fatter tails during economic recession than during expansion.
The fat tail features can be driven by rare events of bubbles and disasters, which refer to
relatively large increase or decline in consumption with a very small probability. To demonstrate
this argument, I develop a bubble-disaster model based on Rietz-Barro rare-disaster model which
allows for: 1) Epstein-Zin preference of representative agent, 2) time-varying probability of
bubble, 3) a probability of disaster after the bubble. I then calibrate the model at daily frequency
and find that the model not only generates consumption series with plausible properties, but also
equity returns with tail exponent comparable with that of real data. Furthermore, I examine how
the tail behavior of equity return distribution is influenced by some key parameters in the model,
such as the size, probability, and duration of bubble and disaster, the risk aversion, and the
intertemporal elasticity of substitution.
Exchange Rates and Commodity Prices ---- An Analysis and Trading Strategy on G10
Currencies, Joint paper with Ritirupa Samanta
There is a dual relationship between commodity prices and exchange rates. On the one hand,
commodity prices can be used to construct a proxy of a country’s terms of trade, which serves as
a determinant of real exchange rates. On the other hand, as soon as an economy has enough
market share in the world market of some commodities, the appreciation or depreciation of its
currency will influence the world price of these commodities through the impact on supply
and/or demand in their world market.
Based on the structural model of the joint determination between commodity prices and real
exchange rates, this paper empirically tests the cointegration relationship between nominal
exchange rates of G10 currencies and their country-specific real commodity price indices.
Further, we design a simple monthly trading strategy on G10 portfolio based on the errorcorrection framework. During the sample period from December 1996 to December 2009, the
representative long/short portfolio realizes an annualized return of 16.5% after transaction costs,
with an information ratio of 1.74 and a maximum drawdown of 8.3%.
Volatility of Stock Return Variance and Capital Gains Tax, Joint paper with Junbo L. Wang,
Zhipeng Yan, and Yan Zhao
We examine how the violation of loan covenants (technical default) impacts firm dividend
policy. Using contract-level private loan data for nonfinancial firms in the U.S., we find that the
occurrence of a covenant violation significantly increases the likelihood of a dividend reduction
in the subsequent quarter. This evidence suggests that creditors can influence firm policies even
outside of bankruptcy. We also find that the degree of creditor-shareholder conflict significantly
impacts this result: firms near financial distress and firms with weak corporate governance
practices are more likely to experience dividend cuts after technical default. Finally, we find that
the likelihood of dividend cuts upon technical default declined after the repeal of the GlassSteagall Act. This is consistent with less stringent monitoring from creditors due to the conflict
of interest introduced by the repeal, which allowed both underwriting and commercial banking
services within the same financial institution. Our findings suggest that loan covenants serve a
critical role in mitigating creditor-shareholder conflicts but the repeal of Glass-Steagall has
significantly diminished their efficacy.