Sijia Fan is a PhD student in Applied Economics and Management at Dyson in Cornell University. Her research passion lies in the subdisciplines of applied econometrics and applied microeconomics with a focus on finance and environment economics where she can apply computational and analytical analyses to complex societal and economic challenges to make policy implications. More specifically, she is interested in conducting research related to data-driven financial markets and environmental issues and aim to develop statistical methods that could help shape relevant public policies.
Download my resumé.
PhD in Applied Economics and Management, Expected 2025
MEng in Operations Research and Information Engineering, 2019
BA in (Hons) Economics and Mathematics, 2018
Motivated to examine the effectiveness of the Black-Litterman model and find a more practical model for portfolio optimization, we extend our previous paper on the comparison of three risk measures: variance, expected shortfall and factor model covariance. We collected investors' views from analysts' reports and incorporated them into the market views to obtain our posterior returns and conducted the Markowitz portfolio optimization with the risk measures. By tuning the constraints and parameters over the period of 2010 to 2014, we showed that the implementation of the BL model helps enhance the portfolio performance and the outperformance is consistent throughout all of the three risk measures for 2014-2018. Therefore, our paper makes a contribution by providing a quantitative approach of obtaining investor’s views. We found an empirical evidence of the effectiveness of the Black-Litterman model, which advocates for the application of the Black-Litterman model for portfolio management in the financial industry.
My paper analyzes the impacts of chemical disasters on both incident firms and non-incident firms. I consider a sample of 58 explosions in chemical plants in the U.S. over the period 1990-2017. Using event study, I find that incident firms on average experience a statistically and economically significant drop in market value following chemical disasters, and the negative impacts are permanent. In addition, my paper finds that on average the equity value of competitor firms suffers significant losses stemming from contagion effects; however, competitive effects dominate when accidents are minor. Using cross-sectional analysis, I show that the loss is significantly related to the severity of the incident as measured by causalities and by chemical pollution. Therefore, my research can be used to promote and justify the cost of safety mechanisms in the petrochemical industry.