2026年4月24日（周五）10:00-11:30 宋兆刚（约翰霍普金斯大学）

讲座系列：现代金融理论与政策系列讲座第6场（学科发展系列讲座总期第114场）

讲座人：宋兆刚（约翰霍普金斯大学）

时间：2026年4月24日（周五）10:00-11:30 

地点：求索楼302

主持人：李晓明（国际经济贸易学院金融学系讲师）

讲座题目：Corporate-Bond-Specific Excess Returns

讲座摘要：This paper provides a comprehensive analysis of excess returns specific to corporate bonds. We construct a measure of excess returns that uses synthetic Treasury securities with identical cash flows as benchmarks, thereby fully removing interest rate effects and isolating the component of returns specific to corporate bonds. Using a monthly sample from 2002 to 2024, we find that our fully adjusted excess return differs significantly from the standard excess return that uses T-bills as benchmarks, both on average and in the cross section. We further examine the effects of a broad set of bond-level characteristics and systematic risk factors on excess returns. We also decompose the difference between the standard and fully-adjusted excess returns into duration and higher-order components. Together, these findings provide a foundational benchmark for future research on corporate bond returns.

主讲人简介：Zhaogang Song is a Professor of Finance and the R. Clayton Emory Chair of Real Estate and Infrastructure at the Carey Business School of Johns Hopkins University. Prior to joining Johns Hopkins, he served as an Economist at the Board of Governors of the Federal Reserve System, where he was responsible for monitoring and analyzing developments in financial markets for the Federal Open Market Committee （FOMC）.

Song conducts academic research on fixed-income markets, financial intermediaries, monetary policy, and real estate finance using various economic frameworks, including asset pricing, market structure and liquidity, financial intermediation, and macro-finance. His research also extends to financial econometrics, China's financial markets and monetary policy, and FinTech. He has published articles in leading academic journals such as the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics, Management Science, Real Estate Economics, and China Economic Review. His work has been recognized with important research awards, including the NASDAQ Best Paper Award in Market Microstructure, the Dennis J. Aigner Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics, the Q Group Research Award, the Research Award of the Global Association of Risk Professionals, and the Research Award of the Montreal Institute of Structured Products and Derivatives.  

Song is also actively engaged in policy matters related to financial markets and the investment practices of the asset management industry. He has served as an Academic Expert for the US Commodity Futures Trading Commission （CFTC）, consulted with the Dimensional Fund Advisors （DFA） on fixed-income investment, been a visiting scholar at the Federal Reserve Bank of Philadelphia, and served as a scholar of the Thematic Research Programme at the Hong Kong Institute for Monetary and Financial Research. He has  published articles in practitioner and policy outlets such as the Journal of Investment Management and Liberty Street Economics of the Federal Reserve Bank of New York. His research has been featured in Bloomberg, Fortune, Mortgage News Daily, and in reports by the U.S. Securities and Exchange Commission （SEC） and the U.S. Government Accountability Office.  

Song holds a PhD in Economics from Cornell University, as well as a BA in Management Science and Engineering and a MA in Finance, both from Shandong University, China.