科学研究

Prof. Zhiyao (Nicholas) Chen is an Associate Professor of Finance at the department of Finance and Insurance, Lingnan University. He received a Ph.D. in Finance from the Foster School of Business, University of Washington (Seattle) in 2011. His research interests mainly focus on corporate finance in connection with asset pricing, particularly in dynamic models of capital structure/credit risk, agency conflicts, mergers and acquisitions, and stock and bond returns. He has presented his research papers at major conferences, such as the annual meetings of American Financial Association, Western Financial Association, European Finance Association, and SFS Cavalcade North America. His research papers have been published at the leading finance journals, including Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis and Management Science. He has been teaching various courses for undergraduate, postgraduate and doctoral students, such as financial policy, financial management, options and derivatives, and theoretical asset pricing.

Using bond transaction data, we introduce a new measure of rollover risk, the difference between market value and par value of corporate debt, and demonstrate its negative impact on mergers and acquisitions (M&A). Short-term debt exacerbates rollover risk, leading to a short-maturity overhang. To explain these findings, we develop a dynamic M&A model that incorporates cash accumulation, rollover risk, and payment choices. Our analysis reveals that acquirors facing higher rollover loss are more sensitive to changes in cash reserves, allocate less to acquisitions, and prefer equity as a payment method over cash. Empirical evidence supports our model's mechanism and highlights distinguishing roles of short maturity and high rollover risk.