Chuck Fang
I am an Assistant Professor of Finance at Drexel University. My research interests are Credit Markets, Monetary Policy, and Financial Innovations. I received PhD in Finance from UPenn Wharton in 2023 and BAs in Econ, Math and Stat from UC Berkeley in 2015. My Chinese name is Chenbo Fang 方辰博.
chuck dot fang at drexel dot edu
Update
New Historical Bond-Compustat Link
I'm attending 2024 FIRS, 2024 WFA as discussant
I'm presenting my paper "Monetary Policy Amplification through Bond Fund Flows" at 2024 CEBRA, 2024 ICI, 2023 WFA
I'm presenting my paper "Liquidity Misallocation on Decentralized Exchanges" at 2024 Columbia TLDR, 2024 MFA
Working Paper
WFA Brattle Group PhD Candidate Award for Outstanding Research
Presentation at CEBRA, ICI, Iowa, McGill, WFA, Kentucky Finance Conference, MFA, EasternFA, NHH, MBS, CUHK, HKU, SMU, NUS, BIS, Wisconsin, Drexel, Tsinghua PBCSF, Tsinghua SEM, PHBS, CKGSB, OFR, FMA, RBFC, Wharton
Presentation at Columbia TLDR, EasternFA, MFA, Sydney Digital Finance Meeting (invited), Tsinghua PBCSF, FMA, JFDS Conference, UCSB-ECON DeFi Seminar, Wharton-INSEAD Doctoral Consortium, Cardiff FinTech Conference, Wharton
Publication
Restructuring Sovereign Bonds: Holdouts, Haircuts and the Effectiveness of CACs with Julian Schumacher and Christoph Trebesch
IMF Economic Review, 2021, volume 69, issue 1, 155-196
Presentation at IMF Research Conference, DebtCon3, German Ministry of Finance
Work in Progress
A Demand Approach to Bond Market Transmission of Monetary Policy with Kairong Xiao
Capital Supply, Debt Maturity, and Real Investment with Greg Nini
Unrealized Losses and Arbitrage Capital in the Corporate Bond Market
Make Brown Firms Greener with Green Bonds
Dissecting Preference for Decentralization with Austin Adams, Itay Goldstein and Xin Wan
Data
This is part of my paper "Monetary Policy Transmission through Bond Fund Flows"
Captures changes over time, e.g. CUSIP 362338AQ8 changed ultimate parent from Verizon (GVKEY 002136) to Frontier Communications (GVKEY 135484) in 2016
Covers foreign issuers (e.g. BMW, GVKEY 100022) and issuers without public equity (e.g. MassMutual, GVKEY 122614), which are not covered in CRSP
Covers 144A bonds (e.g. CUSIP 36164NFH3), which are currently not covered by WRDS Bond-CRSP Link
I hand check the following violations:
Sum of total bond outstanding (using Mergent FISD) should be less than total debt outstanding (DLC + DLTT) for each GVKEY
Cleaning Capital IQ Debt Structure
Each instance can be associated with multiple collections: one 10K can contain balance sheet, income statement, etc
Each collection can be associated with multiple instances: Apple's 2010Q4 balance sheet can come from press release, S-4, 10K, 10K/A
componentid can change over time. For example, 923510253 and 926071562 refer to the same bond, 923510253 is used for 2021-09 and 2022-03, and 926071562 is used for 2021-12 and 2022-06. Therefore, we cannot interpolate data for each component.
dataitemvalue is in filing currency, see Apple ¥250.0 billion 0.35% notes
Cleaning Compustat
Fiscal date vs calendar date. For example, Walmart Inc's fiscal Q4 is November, December and January. We should map its Q4 financials to end-of-January stock/bond prices.
Cash flow variables (e.g. CAPXY) are cumulative over the fiscal year. Therefore, to calculate CAPX in Q3, we should use Q3 CAPXY – Q2 CAPXY.