Hai LIN
Department of Finance and Quantitative Analysis
University of Otago,
Po Box 56, Dunedin 9054, New Zealand
Email: hai.lin@otago.ac.nz EDUCATION
Ph.D. 2003 (Finance) Xiamen University
M.A. 2001 (Finance) Xiamen University
B.A. 1998 (International Trade) Xiamen University ACADEMIC POSITIONS:
Senior Lecturer, 2010- Department of Finance and Quantitative Analysis
University of Otago
Professor, 2009- 2010 Department of Finance and WISE, Xiamen University
Associate Professor , 2007-2009 Department of Finance and WISE, Xiamen University
Assistant Professor, 2004-2007 Department of Finance and WISE, Xiamen University
Visiting Scholar, 2006.01-2006.06 Department of Economics, Cornell University
Visiting Research Fellow, 2006.07-2007.02 Lee Kong Chian School of Business, Singapore Management University AWARDS / HONORS Best Paper award at Chinese Management Association meeting, 2006.
Best Paper award at Chinese Finance Association meeting, 2004
Best instructor of 2008 KENT-WISE MSFE (Master of Science in Financial Engineering ) Program RESEARCH Areas
Fixed-Income Securities, Asset Pricing, Market Microstructure Publications
He, Y., H. Lin, C. Wu and U. Dufrene, 2009, The 2000 Presidential Election and the Information Cost of Sensitive Vs. Non-Sensitive S&P 500 Stocks? Journal of Financial Markets 12, 54-86.
Lin, H. and C. Wu, 2010, Term Structure of Default-free and Defaultable Securities: Theory and Empirical Evidence Handbook of Quantitative Finance and Risk Management (edited by C.F. Lee and A. C. Lee), Springer Publisher, 979-1005.
He, Y., H. Lin, J. Wang and C. Wu, 2009, Price Discovery and Trading After Hours in the U.S. Treasury Market Journal of Financial Intermediation 18, 464-490.
Hong, Y., H. Lin and S. Wang, 2010, Modeling the Dynamics of Chinese Spot Interest Rates Journal of Banking and Finance 34, 1047-1061.
Lin, H., J. Wang and C. Wu, 2010, Liquidity Risk and Expected Corporate Bond Returns? Journal of Financial Economics, Forthcoming.
Lin, H., S. Liu and C. Wu, 2010, Dissecting Corporate Bond and CDS Spread Journal of Fixed Income, Forthcoming. Working Paper
Dawson, P., H. Lin and Y. Liu, 2010, Stochastic Survival Rates and Derivative Pricing
Hong, Y., H. Lin and C. Wu, 2006, The Predictability of Corporate Bond Market Returns
Hong, Y. and H. Lin, 2006, New Tests of Asset Pricing Models in China Projects Under Process
Smooth structure changes in high frequency financial time series.
Pricing of fixed income securities with correlated factors.
Information spillover during subprime loan crisis.
Spread components of municipal bonds. CONFERENCE PRESENTATION
Liquidity and the Pricing of Municipal Bonds? Presented at the 2010 China International Conference in Finance (CICF2010).
Liquidity and the Expected Corporate Bond Returns? Presented at the 2009 FMA Asian Conference, the 2009 China International Conference in Finance (CICF2009), the Second WISE-SKKU-BOK Financial Markets Workshop,Otago University and Fudan University.
Determinants of Corporate Bond and CDS Spreads? Presented at the 2009 China International Conference in Finance (CICF2009) and the 2009 International Symposium on Risk Management and Derivatives.
Price Discovery and Trading After Hours in the U.S. Treasury Market? Presented at the 2008 China International Conference in Finance (CICF2008) and 2008 International Symposium on Recent Developments of Time Series Econometrics (RDTSE).
Asymmetric Information and Price Discovery in the Round-the-Clock U.S. Treasury Market? Presented at the 2007 Advanced Symposium of Econometrics.
The Predictability of Corporate Bond Market Returns? Presented at the 2006 SMU-WISE Joint Symposium.
New Tests of Asset Pricing Models in China? Presented at 2005 Chinese Economics Association Conference.
Dynamic Behavior of Interest Rates in China? Presented at the 2004 China International Conference in Finance (CICF2004).
Nonparametric Specification Tests of Discrete Spot Interest Rate Models in China? Presented at 2004 Chinese Finance Association Conference. TEACHING Teaching Interests: Financial Engineering, Fixed Income Securities, Stochastic Process of Financial Derivatives, Introduction to Mathematical Finance Courses Taught:
Stochastic Process of Derivatives and Financial Engineering (English Teaching)
Financial Mathematics (English Teaching)
Financial Engineering
Fixed Income Securities (English Teaching) REFEREES SERVICE Journal of Banking and Finance, Journal of Business and Economics Statistics, Journal of Econometrics, Review of Quantitative Finance and Accounting, Review of Futures Markets, Quantitative Finance, Journal of Convergence and Information Technology
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