报告题目：Leverage is a Double-Edged Sword？（杠杆是双刃剑吗？）

报 告 人：汤珂

时   间：7月7日（周三）上午9:00-11:00

腾讯会议：620 193 054

报告人简介：

汤珂，清华大学社会科学学院经济所教授、所长。主要研究方向为大宗商品市场（包括加密货币、数据要素）、金融科技和数字经济。在Journal of Finance, Review of Financial Studies等顶级英文期刊上发表多篇论文，目前担任国际期刊Quantitative Finance的执行编辑以及Journal of Commodity Markets的副主编。研究成果得到美国期货管理委员会、联合国大宗商品报告以及多家媒体的报道。获得过中宣部四个一批暨哲学社会科学领军人才、国家杰出青年科学基金、中组部“青年拔尖人才支持计划（万人计划）”等奖励，入选2020年爱思唯尔中国高被引学者。

摘要：

We use proprietary futures brokerage data to study the impact of leverage on investors' trading performance. We find that leverage is a double-edged sword. For the bulk of investors, even though high leverage increases the risk (volatility) of their portfolio, it actually decreases performance. Specifically, a one unit increase in leverage implies an 11% increase in the annualized volatility of portfolio returns and reduces investment returns by 5.3 bps per day (13% annualized). A difference-in-differences analysis around regulatory shifts in margin ratios confirms this qualitative result. Leveraged losses occur due to forced liquidation (margin calls) as well as additional trading costs due to enlarged leverage-induced positions. High leverage amplifies unskilled investors' losses stemming from the disposition effect and gambling preferences. On the other hand, a few skilled investors do take advantage of leverage by actively timing the market and conducting arbitrage trades; these traders on average earn a 19.3 bps daily (47% annualized) return per additional unit of leverage.

经济与金融学院

2021年7月1日