SAIF Summer Camp 2018

SAIF Summer Camp 2018

July 14-15, 2018

Shanghai, China

The Shanghai Advanced Institute of Finance (SAIF) at Shanghai Jiao Tong University is pleased to announce the 2018 SAIF Summer Camp, to be held on July 14-15 in Shanghai.

Designed for emerging scholars in China, the SAIF Summer Camp introduces the participants to the frontiers of academic research in finance and provides them with cutting-edge research methodologies and fresh perspectives, with the objective to inspire their future academic careers and enhance the overall research and teaching in finance in China. This year’s Summer Camp consists of lectures given by three renowned finance professors from the United States and Canada (listed in alphabetical order):

Hui Chen

Associate Professor of Finance, MIT Sloan School of Management
Special-term Professor, Shanghai Advanced Institute of Finance

Professor Chen’s research focuses on asset pricing and its connections with corporate finance. He is particularly interested in the interactions between the macro economy and term structure, credit risk, and corporate financing or investment decisions.


Zhiguo He

Professor of Finance, PhD area advisor, and Faculty Director of the Fama-Miller Center
Booth School of Business, University of Chicago

Professor He’s main research interest lies in the implications of agency frictions and debt maturities for financial markets and macroeconomics, with a special focus on contract theory and banking.


Liyan Yang

Professor of Finance, Rotman School of Management, University of Toronto
Special-term Professor, Shanghai Advanced Institute of Finance

Prof. Yang’s research interest is on information and market frictions as well as return predictability in financial markets.


The SAIF Summer Camp lectures are provided free of charge, although it is necessary to register in advance. Please contact us via to register your participation. We welcome all faculty and senior PhD students to join us.

We look forward to seeing you soon.


Hong Yan (SAIF)
Organizer of SAIF Summer Camp


Preliminarily Program

2:00 - 5:00PM, July 14

Financial Market with Information Frictions

Professor Liyan Yang from University of Toronto

This short course summarizes some key contributions in the literature of asymmetric information in financial markets. The subject matter for the course will be mostly theoretical. The course consists of two parts, i.e., tools and applications. First, it overviews competitive rational expectation models and strategic market order models, which are the basic tools for analyzing various phenomena in modern financial markets. Second, the course provides a variety of applications of the theories discussed, such as insider trading, hedge/mutual funds, high-frequency trading, analysts, government intervention and regulations, disclosure, and the value and sales of data. The tools and insights developed in this course can be readily applied to understanding many recent phenomena arising in the emerging data economy.


9:00 - 12:00AM, July 15

Theoretical and Empirical Research on Market Crashes and Circuit Breakers

Professor Hui Chen from MIT

In this lecture, we will start by going over the theoretical framework of heterogeneous agent models, under both complete and incomplete markets. By extending this basic framework in different directions, one can capture a variety of institutional features and frictions that are relevant for the study of market and funding liquidity. As an in-depth example, we will cover my paper “The Dark Side of Circuit Breakers.” We will then go over a few recent empirical papers on market and funding liquidity, in particular the ones studying the Chinese stock market crash.

Prerequisites: The audience is expected to be familiar with the basic concepts in continuous time finance (specifically Brownian motion and Ito’s Lemma).


2:00 - 5:00PM, July 15

Credit Pricing and China's Bond Market

Professor Zhiguo He from the University of Chicago

In this three-hour lecture, we will first go over leading analytical frameworks for credit risk pricing. This include Merton’s model, Leland-type models, and various extensions incorporating market illiquidity. In the second part, we will offer an overview for the current development of Chinese bond market, and cover my recent working paper “Pledgeability and Asset Prices: Evidence from Chinese Bond Market” which utilize the unique institutional features of Chinese bond market to estimate the causal effect of asset pledgeability on asset prices.