Yang Zhao

Update: June 18, 2019

YANG ZHAO (赵洋)

Institute of Finance Cell: (886)-974-158300
College of Management Email: zy0383905@foxmail.com
National Chiao Tung University YangZ@g2.nctu.edu.tw
1001 University Rd., Hsinchu, Taiwan Citizenship: China (Liaoning)
Webpage: https://yang-zhao.weebly.com/

Education
Ph.D. Candidate, Finance 09/2014- 05/2019
College of Management, National Chiao Tung University(NCTU)
M.S.Sc., Economics 09/2012-07/2014
Faculty of Social Sciences, University of Macau
B.A., Economics 09/2008-07/2012
School of Business, Xinjiang Normal University

Fields of Research Interest

Financial Markets, Insurance and Risk Management, Empirical Corporate Finance.

Publications

[1] Yang Zhao, & Min-Teh Yu*. (Accepted, 2019) “Measuring the Liquidity Impact on Catastrophe Bond Spreads”.
Pacific-Basin Finance Journal. (SSCI, JCR: Q2)

[2] Jin-Ping Lee*, Edward M. H. Lin, James Juichia Lin , & Yang Zhao. (Accepted, 2019) “CEO Overconfidence
and Bank Systemic Risk” North-American Journal of Economics and Finance. (SSCI, JCR: Q3)

[3] Xiaodan Li, Yang Jiao, Min-Teh Yu, & Yang Zhao*. (Accepted, 2018). “Founders and the Decision of Chinese
Dual-Class IPOs in the U.S.” Pacific-Basin Finance Journal. (SSCI, JCR: Q2)

[4] Jai-Jen Wang*, Jin-Ping Lee, & Yang Zhao. (2018). “Pair-trading profitability and short-selling restriction:
Evidence from the Taiwan stock market. ”International Review of Economics & Finance, 55, 173-184. (SSCI,
JCR: Q2)

[5] Jin-Ping Lee, Edward M.H. Lin, Min-Teh Yu*, & Yang Zhao. (2017). “Bank Capital Standards and
Subordinated Debt Prices.” Advances in Pacific Basin Business, Economics and Finance, 5, 77-99.

* for corresponding author

Working Papers

[1] Yang Zhao, Min-Teh Yu, & Cheng-Few Lee. “Prediction Markets for Catastrophe Risk: Evidence of Catastrophe
Bond Markets”

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(Job market paper) (Revise and resubmit at Journal of Banking and Finance (SSCI, JCR: Q1))
This paper examines the efficiency of prediction markets by studying markets of catastrophe (CAT) bonds, which make up an

active financial market, compared to previous studies of prediction markets that used small-scale observational field data or

experiments. We collect actual catastrophe loss data, match the defined trigger events of each CAT bond contract, and then

employ an empirical pricing framework to obtain the excess CAT premiums in order to represent the market-based forecasts.

Our results indeed show that the market-based forecasts have more significant predictive content for future CAT losses than

professional forecasts that use natural catastrophe risk models. Although the predictive information for CAT events is

specialized and complex, our evidence supports that CAT bond markets are successful prediction markets that efficiently

aggregate information about future CAT losses. Our results also highlight that actual CAT losses in future periods can explain

the excess CAT bond spreads in the primary market and provide evidence of market efficiency in pricing CAT risk.

[2] Yang Zhao, Cheng-Few Lee, & Min-Teh Yu,. “Does Equity Market Timing have a Persistent Impact on Capital
Structure? -Evidence from Equity Funding Supply in China”
(Revise and resubmit at British Accounting Review (SSCI, JCR: Q1))
This paper uses the change of individual securities accounts as a measure of equity funding supply to examine whether the
persistent timing effect on capital structure exists for the Chinese equity market. This new equity timing measure can avoid

previous criticisms of timing measure for not being independent of firm characteristics of capital structure and reflect the

impact of investors’ non-fundamental demand on equity capital. Our empirical results show that this new measure is an

effective market timing variable for issuing equity in the Chinese equity market and there are more than 7 years of a

persistent effect of equity market timing on firm capital structure. This paper offers evidence that the market conditions of

equity funding supply play an important role in corporate financial decisions in China.

[3] Yang Zhao, Chia-Chien Chang, & Min-Teh Yu. “Climate Risk and Catastrophe Bond Prices”
(Submitted to a journal)
This research analyzes how the fluctuations of climate cycles and carbon dioxide (CO2) levels affect catastrophe (CAT) bond

prices in primary and secondary markets. Our results uncover a significant link between the primary and secondary markets

whereby CAT bond prices in the secondary markets incorporate both explained and unexplained risk information in the

primary market. More importantly, CAT bond prices in the secondary market reveal risk information from the six climate

cycles and CO2 variations, but not so in the primary market. Thus, the secondary market with more informed agents helps

market prices reveal private information and improves price quality, providing real-world empirical evidence to support the

conjecture of Grossman and Stiglitz (1980). Overall, our empirical evidence also supports that CAT bond markets are a

successful financing scheme for CAT risk in terms of timely reflecting the risk information of climate cycles and carbon

dioxide for CAT bond prices in secondary markets.

[4] Xiaodan Li, Min-Teh Yu, & Yang Zhao “An Empirical Investigation of the Determinants of Mortality -linked
Bond Prices” (Submitted to a journal)
This paper is the first empirical study of the determinants of mortality-linked bonds (MLB) prices. Our results show that

expected loss, bond ratings, covered perils, and corporate bond spreads are common factors for MLB prices in both the

primary and the secondary markets during 2005:Q1 to 2018:Q1. Apart from that, the reinsurance underwriting cycle exhibits

a significant impact on issue prices, and a positive correlation exists between the return of S&P 500 Index and the secondary

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market prices. Furthermore, based on the econometric pricing model, we find that unknown risk factors of the primary

market prices can be interpreted as a reliable signal of trading risks for secondary market participants. Overall, identified

determinants by this paper have about 90% (80%) explanatory powers on MLB prices in the primary (secondary) market.

Selected Works in Progress

[1] “Stock Market Liberalization and Commonality in Liquidity”
[2] “The Impacts of Bribery Risk on Asset Prices”
[3] “The Risk Implications of InsurTech”
[4] “Goodwill, R&D Assets, and Identifiable Intangible Assets in Business Combinations”

Conference Papers

[1] “Does Equity Market Timing have a Persistent Impact on Capital Structure? -Evidence from Equity Funding
Supply in China”
△ 9th NCTU International Finance Conference, Hsinchu 01/2016
△ 2016 International Conference of Taiwan Finance Association, Taipei 03/2016
△ 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Hsinchu 06/2016
△ The 11th NCTU International Finance Conference, Hsinchu 12/2017

[2] “Prediction Markets for Catastrophe Risk: Evidence of Catastrophe Bond Markets”
△ 2016 Taiwan Risk and Insurance Association (TRIA) Annual Meeting, Taipei 12/2016
△ 21st International Congress on Insurance: Mathematics and Economics - IME 2017, Vienna 07/2017
△ Financial Management Association (FMA) 2018 Annual Meeting, San Diego 10/2018

[3] “Liquidity Premium and Catastrophe Bond Spread”

△ 2017 Taiwan Risk and Insurance Association (TRIA) Annual Meeting, Hsinchu 12/2017
△ 2018 Meeting of Central Taiwan Finance Association, Yunlin 05/2018
△ 2018 China International Risk Forum, Hangzhou 12/2018

[4] “Founders and the Decision of Chinese Dual-Class IPOs in the U.S.”
△ 2017 China International Risk Forum, Shanghai 12/2017
△ 2018 International Conference of Taiwan Finance Association, Taipei 05/2018

[5] “Climate Risk and Catastrophe Bond Prices ”

△ 18th Asia-Pacific Conference on Global Business, Economics, Finance & Social Sciences, Bangkok 02/2018
△ 2018 Risk Management and Insurance Seminar, Taipei 06/2018
△ 2018 Vietnam’s Business and Economics Research Conference, Ho Chi Minh 07/2018
△ Asia-Pacific Risk and Insurance Association (APRIA) 2018 Annual Conference, Singapore 07/2018

[6] “CEO Overconfidence and Bank Systemic Risk ”

△ 26th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, New Jersey 09/2018

[7] “An Empirical Investigation of the Determinants of Mortality -linked Bond Prices ”

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△ 2019 International Conference of Taiwan Finance Association, Taipei 05/2019

△ International Conference on Financial Development and Stability in Dynamic Global Economy, Ningbo 07/2019

Honors and Awards

Award of Excellent Students, NCTU Scholarship 2016

Award of Outstanding Students, NCTU Scholarship 2017; 2018; 2019

Memberships in Professional Organizations

Taiwan Finance Association (TFA) 2016- Present
Taiwan Risk and Insurance Association (TRIA) 2016- Present

Professional Services
Ad hoc Referee, Review of Quantitative Finance and Accounting/ Emerging Markets Finance and Trade/
North American Journal of Economics and Finance/ Review of Pacific Basin Financial Markets and Policies

Teaching and Research Assistants

Research Assistant- Department of Economics, University of Macau 07/2013-07/2014
Teaching Assistant - Course: Credit Risk Management, NCTU 09/2015-02/2016
Teaching Assistant - Course: Financial Management, NCTU 09/2015-02/2016
Research Assistant - Institute of Finance, NCTU 09/2015- Present

Research Projects
[1] Empirical Analysis- Catastrophe Bond Trading (Project Director: Min-Teh Yu, Project Funds: NT$ 2,697,000)

References

Min-Teh Yu 俞明德 (Co-Advisor; Chair)

Chair Professor of Finance Tel.: 886-3-5731883
National Chiao Tung University & China University of Technology, Taiwan E-mail: mtyu@nctu.edu.tw

Cheng-Few Lee 李正福 (Co-Advisor)

Distinguished Professor of Finance Tel.: 848-4453530
Rutgers University, USA E-mail: cflee@business.rutgers.edu
Chair Professor
National Chiao Tung University, Taiwan

Jui-Chia Lin 林瑞嘉

Assistant Professor Tel.: 886-3-5712121
National Chiao Tung University, Taiwan E-mail: jamesntu@gmail.com

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