Lin William Cong is a professor of Finance and PhD advisor at the University of Chicago, and a faculty affiliate at the Center for East Asian Studies. His research interests include real options, entrepreneurial finance, market efficiency, statistical learning, financial intermediation and innovation, and China's economy and financial markets. For his doctoral studies, Cong has received the Finance Theory Group Best Paper Award, the Shmuel Kandel Award, and the Zephyr Prize for Best Paper in Corporate Finance, amongst other honors and fellowships. He was also a George Shultz Scholar at the Stanford Institute for Economic Policy Research and a PhD Fellow at the Stanford Institute for Innovation in Developing Economies, with research grants from both institutes. Additionally, his undergraduate research in physics and applied mathematics resulted in publications in a variety of science journals. Cong currently referees for The American Economic Review, Review of Financial Studies, Management Science, Journal of Economic Theory, and Journal of Political Economy. He also serves as a member of the American Economic Association, European Finance Association, the Econometric Society, and the Society of Financial Studies.
Cong earned a Ph.D. in finance and a MS in statistics from Stanford University, where he received the Gerald Lieberman Fellowship for outstanding contributions in research, teaching, and university service, and the Asian American Award for graduate leadership. He also holds dual degrees from Harvard University where he graduated top in Physics in 2009 with summa cum laude and Phi Beta Kappa, receiving an A.M. in physics, an A.B. in math & physics, a minor in economics, and a language citation in French.
Cong is a native of Shenyang, China. Outside his research and teaching, Cong practices Chinese Calligraphy, and enjoys reading, sports, cross fitness, guitar, as well as learning French and Japanese. Cong is also passionate about education in China and in the U.S., and integrating quantitative and fundamental approaches to investments in various asset classes, to which he coined the term "Quantimental Investing."
2016 - 2017 Course Schedule
REVISION: Intervention Policy in a Dynamic Environment: Coordination and Learning
We model a dynamic economy with strategic complementarity among investors and a government that intervenes as a large player in global games to mitigate coordination failures. We establish existence and uniqueness of equilibrium, and show interventions not only affect contemporaneous coordination, but dynamically impact subsequent coordination by altering public information structures. Our results suggest that optimal policy should emphasize early intervention because coordination outcomes tend to be correlated. Failure to consider the information externality of initial interventions results in over- or under-interventions depending on the relative costs across interventions. Moreover, some funds are "too big to save first," because saving smaller funds costs less to generate the informational benefit. Our paper is applicable to intervention programs such as the bailouts of money market mutual funds and commercial paper market during the 2008 financial crisis.
REVISION: Rise of Factor Investing: Asset Prices, Informational Efficiency, and Security Design
We develop a theory of composite securities in which they facilitate trading large baskets of assets and potentially attract both informed and liquidity traders concerned with the same systematic factor of asset values. Our model predicts that financial innovations such as Exchange-Traded Funds (ETFs), smart beta products, and many index-based vehicles lead to greater price volatility and co-movements for underlying assets, and larger trading costs and synchronicity for illiquid assets. They reduce asset-specific information acquisition and efficiency, improve systematic efficiency, especially for illiquid assets, and their impact on overall pricing efficiency depends on the assets' fundamental and relative liquidity. Regardless of their informedness and liquidity needs, factor investors prefer the same composite security design. Feasible designs involve liquid assets representative of corresponding factors and attract factor investors. Our model generates implications consistent ...
REVISION: Auctions of Real Options
Governments and corporations frequently sell assets with embedded real options to competing buyers using security bids. Examples include the sales of natural resources, real estate, patents and licenses, and start-up companies. This paper models these auctions of real options, incorporating both endogenous auction timing and post-auction option exercise. I characterize the ways common security bids distort investments and strategic auction timing affects auction initiation, security ranking, equilibrium bidding, and investment. Revenue-maximizing sellers inefficiently delay auctions, including optimal auctions which align investment incentives using a combination of down payment and royalty payment. When sellers do not restrict security design, bidding and allocation outcomes are equivalent to cash auctions. Finally, informed bidders always initiate the auctions when they could. The results are broadly consistent with empirical observations and underscore that auction timing and ...