Yuanzhen Lyu
I am an Accounting Ph.D. candidate at UCLA Anderson School of Management. I will join Guanghua School of Management, Peking Univeresity, as an Assistant Professor of Accounting in Fall 2024. My research interests primarily lie in the intersection of accounting and macroeconomics. I work on empirics and use models to qualitatively and quantitatively understand the aggregate outcomes of firm dynamics.
I am also a CFA charterholder. Prior to my Ph.D. studies, I was a senior analyst in a private equity firm specilized in alternative investment in real assets.
Research Interests: Financial Accounting, Macroeconomics, Production Network, Fixed Income
Email: yuanzhen.lyu@hotmail.com
Working Papers
What Do Inventories Tell about the Future Economy? (Job Market Paper)
Committee: Judson Caskey (Chair), Henry Friedman, Bernard Herskovic and Hugo Hopenhayn
Presented in UCLA Accounting Workshop, UCLA Macro-Finance Workshop, 2022 AAA West Region DSFI, 2023 Hawaii Accounting Research Conference
Aggregate inventory growth mean and dispersion both negatively predict future economic growth changes. In a heterogenous firm model, I link this macro-level observation to firms' asymmetric response to news shocks at the micro level. In-sample and out-of-sample tests suggest that economists and government statistical agencies overlook the dispersion metric in GDP forecasts and estimation.
Aggregate Corporate Savings, Economic Uncertainty and Future Stock Returns
Revise & Resubmit at the Journal of Financial Economics; presented in UC Accounting Incubator, UCLA Finance Workshop, 2023 AAA Doctoral Consortium, 2023 AAA Annual Meeting
Aggregate corporate savings negatively predict future equity premium in the U.S. and globally. The time variation in risk premia arising from economic uncertainty at least in part drives the relation. This finding also sheds light on the aggregate accruals puzzle.
Government Support and the Term Structure of Yield Spreads for Chinese SOEs
with Fan Yu
Reject & Resubmit at Management Science; presented in UCLA Accounting Workshop, 2022 CICF
In the Chinese corporate bond market, local government financing vehicles (LGFVs) have lower spreads than regular SOEs at shorter maturities, but this relative advantage gets reversed at longer maturities. Policy uncertainty and the decline of government support after LGFV bond issuance are likely to be the cause.
Work in Progress
Investment Dispersion in Production Networks
with Yasutaka Koike-Mori
[preliminary draft available upon request]
Pre-Doctoral Publications
Local Government Implicit Debt and the Pricing of LGFV Bonds (In Chinese)
with Laura Xiaolei Liu and Fan Yu
Journal of Financial Research 金融研究 12 (2021): 170-188
[published version] [English version] [VOX China summary]
Outstanding paper award winner; featured in VOX China and CCTV News
We construct a novel proxy for Chinese municipal implicit debt, and analyze the impact of the local government implicit debt ratio on LGFV bond pricing.
Price Deviation in the Chinese Sovereign Bond Market (In Chinese)
with Haorui Bai
China Journal of Economics 经济学报 12 (2019): 35-57
Chinese sovereign bonds are not correctly priced along yield curves. We develop a trading strategy to exploit this mispricing, and show that the mispricing is due to the lack of arbitrage capital.
Pricing the Risk of Implicit Government Guarantee (In Chinese)
with Bosen Wang and Yongxin Ye
Economic Research Journal 经济研究 10 (2016): 155-167
SOE label is a more important pricing factor than credit ratings in Chinese bond market. We quantify implicit government guarantee in a latent factor model.
Mixed Duopoly with Foreign Firm and Subcontracting
with Jie Shuai
International Review of Economics & Finance 49 (2017): 58-68
We consider the pricing and location strategies of a public and a foreign firm in a mixed duopoly Hotelling model with subcontracting cooperation.