On July 10th and 11th, the Fourth SAIF-CAFR Financial Research Summer Camp was successfully held in a hybrid online-offline format. It was jointly organized by the Shanghai Advanced Institute of Finance (SAIF) and the China Academy of Financial Research (CAFR) at Shanghai Jiao Tong University (SJTU).
Designed for young scholars, teachers, and Ph.D. students both in China and internationally, the SAIF-CAFR Financial Research Summer Camp introduces participants to the frontiers of academic research in finance. It provides them with cutting-edge research methodologies and fresh perspectives delivered by world-renowned professors. Its intent is to inspire their future academic careers and further enhance the overall quality of research and teaching of finance in China.
The 2021 Summer Camp consists of onsite lectures given by three renowned finance professors. These include: Zhiguo He (Fuji Bank and Heller Professor of Finance and Jeuck Faculty Fellow, Booth School of Business, University of Chicago; Distinguished Visiting Professor at SAIF), Kewei Hou (Ric Dillon Endowed Professor in Investments, Fisher College of Business, Ohio State University; Special-Term Professor of Finance at SAIF), and Jianfeng Yu (Jianshu Chair Professor of Finance at PBCSF, Director of the Research Center for Asset Management, PBCSF-NIFR, Tsinghua University).
The summer camp has received a lot of academic attention, and financial scholars from both home and abroad have actively applied. Eventually, 65 offline participants and 239 online participants were admitted. Most were professors, Ph.D. students, and researchers from renowned universities in China and beyond. Overseas scholars and researchers from Europe, America, Oceania, and the Asia-Pacific region accounted for 17% of the total participants.
Professor Hong Yan (Professor of Finance, Deputy Dean for faculty and research at SAIF) delivered a welcome speech. In his speech, Professor Yan stated that the camp was established to promote academic exchanges in China and the Asia-Pacific region, stimulate innovative ideas and enhance the research capacity of young scholars. He also praised the participants’ enthusiasm for financial academic research and introduced the teaching faculty of the camp.
The 1½ day program started with a lecture delivered by Professor Zhiguo He on "Fintech (Theory) and China's Financial Market (Empirical)". The lecture went over the most recent work that Professor He had been working on over the past five years. He first focused on theoretical modeling of bitcoin mining pools and competition between fintech and the traditional banking industry under open banking, together with empirical research related to these theoretical models. Then he discussed developments in China's bond market, including its interaction with local government debt and shadow banking, and the economic issues of SOE reforms in detail.
Professor Jianfeng Yu gave a lecture on "Behavioral Approach to Asset Pricing Puzzles". In his lecture, Professor Yu gave a summary of recent developments in behavioral asset pricing. He then discussed the latest developments on the applications of extrapolation, prospect theory, investor trading behavior, and applications of several under-explored behavioral biases (such as the priming effect). Lastly, he investigated the role of mispricing in several prominent factor models.
The theme of the lecture given by Professor Kewei Hou was "Factor Pricing and Anomalies: Latest Developments". The lecture was centered around a set of academic papers. It covered topics such as: the robustness of the anomaly literature, the latest factor models, stress-testing factor models with robust anomalies, and the relation between security analysis and factor models. The lecture helped participants to acquaint themselves with ongoing research in related fields. It also equipped them with a solid understanding of the quantitative tools in these fields in order to conduct related research.
During the camp, the participants had thorough discussions with the professors and expressed their expectations for future Financial Research Summer Camp programs.