Yuanzhen Lyu
I am an Assistant Professor of Accounting in Guanghua School of Management, Peking University. I received my Ph.D. in Accounting from UCLA Anderson in 2024. 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.
Research Interests: Financial Accounting, Macroeconomics, Innovation, Fixed Income
Email: yuanzhen@gsm.pku.edu.cn
Working Papers
Government Support and the Term Structure of Yield Spreads for Chinese SOEs
with Fan Yu
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. The tendency of local governments to cut support of their LGFVs following bond issuance likely accounts for this term structure pattern
Disclosure Policy and Endogenous Innovation Networks
with Li Azinovic-Yang
[draft coming soon]
We analyze the effect of mandatory disclosure on firm-to-firm learning based on innovation networks. The centrality of firms with high exposure to the American Inventor's Protection Act (AIPA) increases relative to those with low exposure following the implementation of the Act. We further show that these AIPA-induced changes in learning weights explain up to 3.64% of future aggregate innovation growth. To capture and interpret this transition in learning patterns, we develop a theoretical model formalizing the evolving structure of interfirm knowledge flows.
Publications
What Do Inventories Tell about the Future Economy?
Solo-authored
Forthcoming at The Accounting Review
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
Solo-authored
Journal of Financial Economics 183 (2026): 104329
[paper] [appendix] [replication package]
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.
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.