科学研究

Dr. Zheyao Pan is a Senior Lecturer in the Department of Applied Finance at Macquarie University. He holds a PhD in Finance from the University of Queensland and a Master’s degree in Economics from WISE, Xiamen University. Dr. Pan’s research primarily focuses on Corporate Finance (capital structure, corporate innovation), Financial Intermediation (credit rating agencies, analysts, financial advisors), and Financial Regulations. His work has been published in/accepted by the Review of Financial Studies, Research Policy, Journal of Corporate Finance, Financial Management, Journal of Financial Markets, and Journal of Banking and Finance, among others. Dr. Pan has won more than 10 competitive research awards and serves on the editorial boards of the Australian Journal of Management and Accounting & Finance. His research has also been featured in the Harvard Business Review and other media outlets.

Bunching estimation is a growing technique in finance research that leverages distributional discontinuities created by regulatory thresholds. By incorporating an economic model, this method helps uncover key economic parameters. In this talk, we will focus on estimating the shadow cost of collateral as an example to introduce bunching estimation. Specifically, we measure the cost of pledging collateral for small businesses by taking advantage of a regulatory anomaly in the SBA disaster lending program, where firms are exempt from providing collateral if their loan amount falls below a certain threshold. This causes firms to cluster their loan sizes just below the threshold, and the resulting distortion in the loan size distribution allows us to quantify the collateral cost. The talk will also touch on the broader applications of bunching estimation in finance and discuss some of its recent developments.