个人简介
胡杏博士现任清华大学五道口金融学院副教授。胡杏于2011年至2019年间担任香港大学金融学助理教授，2011年获得普林斯顿大学经济学博士学位。此前获得了西北大学硕士学位和中国科学技术大学计算机科学学士学位。
胡杏的研究领域主要包括实证资产定价，重点关注资产流动性、信贷风险以及金融危机。她在Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and International Review of Finance 等一流学术期刊上发表过多篇论文。
工作经历
2019.7至今 清华大学五道口金融学院，副教授
2011.07-2019.06 香港大学，金融学助理教授
教育背景
2011 普林斯顿大学，经济学，博士学位
2008 普林斯顿大学，经济学，硕士学位
2004 西北大学，计算机科学，硕士学位
2002 中国科学技术大学，学士学位（少年班）
研究领域
中国资本市场、市场流动性、信贷风险、市场异象、市场有效性、金融危机
相关研究
期刊发表
Noise as Information for Illiquidity, Journal of Finance, Volume 68, page 2223–2772, 2013 (with Jun Pan and Jiang Wang)
Early Peak Advantage? Efficient Price Discovery with Tiered Information Disclosure, Journal of Financial Economics, Volume 126, pages 399-421,2017 (with Jun Pan and Jiang Wang)
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (I), SIAM/ASA Journal on Uncertainty Quantification, Volume 6, pages 34-60, 2018 (with Yong Zeng and David Kuipers)
Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II), SIAM/ASA Journal on Uncertainty Quantification, volume 6, pages 61-86, 2018 (with Yong Zeng and David Kuipers)
Fama-French in China, Size and Value Factors in Chinese Stock Returns, International Review of Finance, volume 1, pages 3-44, 2019 (with Can Chen, Yuan Shao, and Jiang Wang)
Rollover Risk and Credit Spreads in the Financial Crisis of 2008, Journal of Financial and Data Science, volume 6, pages 1-15, 2020
Tri-party Repo Pricing, Journal of Financial and Quantitative Analysis, volume 56, pages 337-371, 2021 (with Jun Pan and Jiang Wang)
Chinese Capital Market: An Empirical Overview, Critical Finance Review, volume 10, pages 125-206, 2021 (with Jun Pan and Jiang Wang)
Premium for Heightened Risk: Solving the FOMC Puzzle, Journal of Financial Economics, Forthcoming, 2021 (with Jun Pan, Jiang Wang, and Haoxiang Zhu)
A Review of China’s Financial Markets, Annual Review of Financial Economics, Volume 14, pages 465-507, 2022 (with Jiang Wang)
工作论文
Uncertainty Resolution Before Earnings Announcements, Working Paper, 2022 (with Chao Gao and Xiaoyan Zhang) First draft 2019, Current draft 2022, Conference presentations: MFA 2021, FMA 2021, CICF 2021, CMES 2021，SFS Cavalcade Asia 2022
Corporate Basis and the International Role of Dollar, Working Paper, 2022 (with Zhan Shi, Ganesh Viswanath-Natraj, and Junxuan Wang)
From Wall Street to Hong Kong: The Value of Dual Listing for China Concept Stocks, Working Paper, 2022 (with Zhuo Chen, Ziqiong Xi, and Xiaoquan Zhu)
Comovements in Global Markets and the Role of U.S. Treasury, Working Paper, 2022 (with Zhao Jin and Jun Pan)
Macroeconomic Announcements and Price Discovery Without Trading, Working Paper, 2022 (with Haozhe Han and Calvin Dun Jia)
“811”汇改前后抛补利率平价在中国的实证检验,工作论文，2022 (胡杏，李思扬，金昭，施展)
债券市场对外开放提高了流动性吗?— 基于债券通的实证经验,工作论文，2022 (何佳，陈卓，胡杏)
著作章节
Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data, Stochastic Analysis, Stochastic Systems and Application to Finance, Edited by Allanus Tsoi, David Nualart and George Yin, World Scientific, Singapore, pages 133-162, 2011 (with David Kuipers and Yong Zeng)
中国资本市场年鉴, 经济科学出版社，预计 2022 年出版
中国上市公司调查, 经济科学出版，预计 2022 年出版
其他中文发表
我国资本市场互联互通的历程、现状与展望, 清华金融评论, 2021 年 9 月 (胡杏，齐稚平，何佳)
不确定性增加的溢价：解释宏观经济指数发布前的市场回报, 清华金融评论, 2021 年 12 月
资本市场跨境互联模式比较—基于陆港通与沪伦通的案例分析, 银行家, 2021 年 6 期 (胡杏，齐稚平，何佳)
中美技术交易平台主要运营模式分析，清华金融评论，2022 年 10 月 （胡杏，马陶然）
陆港通、债券通 – 架起资本市场双向开放的桥梁, 清华大学五道口金融学院案例库, 2021-2-006 (胡杏，齐稚平，何佳)
保险+期货：农业生产的“保护伞”, 清华大学五道口金融学院案例库,2022 (胡杏，邓颖，董明新)
中概股何去何从，清华大学五道口金融学院案例库,2022 (陈卓，胡杏，胡畔)
教学经历
Advanced Microeconomics, 2019 – current, Ph.D., Tsinghua University
Continuous-Time in Finance, 2019 – current, Ph.D., Tsinghua University
Advanced Topics in Financial Economics, 2021, Ph.D., Tsinghua University
Risk Management, 2011 – 2018, Master of Finance, HKU
Advanced Option Pricing Models, 2014 – 2018, Master of Finance, HKU
Quantitative Risk Management, 2011 – 2014, Undergraduate, HKU
Summer Math Camp for Master in Finance Program, 2009, Master of Finance, Princeton University
科研项目
Arbitrage Spreads and Aggregate Liquidity, Early Career Scheme, PI, competitive grant of HKD$456K, 2012 – 2014
Tri-party Repo Pricing, General Research Fund, PI, competitive grant of HKD $512K, 2014 – 2016
Supply Chain, News and Post-Earnings Announcement Drift, General Research Fund, co-PI, competitive grant of HKD $478K, 2017-2019
中国资本市场改革与开放, 清华大学双高项目, PI, competitive grant of RMB ¥1.2Million, 2021-2023
Seed Funding, University of Hong Kong, 2011
Seed Funding, Tsinghua University, 2022
学术演讲
Boston University; Central University of Finance and Economics; Cheung Kong Graduate School of Business; Chinese University of Hong Kong (Shenzhen); City University of Hong Kong; Fudan University; Hong Kong University of Science and Technology; Massachusetts Institute of Technology; McGill University; Monash University (scheduled); Ohio State University; PBC School of Finance; Peking University; Renmin University; Shanghai Jiaotong University; University of Hong Kong; Zhejiang University
American Finance Association Meetings; China Financial and Research Conference; China Meeting of the Econometric Society; China International Conference of Finance; Factor Symposium; Five Star Conference; Financial Management Association; Macquarie Global Quantitative Conference; Midwest Finance Association; Summer Institute of Finance; Volatility Institute at NYU Shanghai; Western Finance Association
专业服务
期刊评审：Journal of Finance; Review of Financial Studies; Management Science; Review of Finance; Journal of Empirical Finance; Journal of Financial and Quantitative Analysis; Journal of Banking and Finance; Annual Review of Financial Economics; Journal of Financial Markets; Journal of Money, Credit and Banking; Journal of Finance and Data Science
