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Institutions and Corporate Reputation: Evidence from Public Debt Markets (2022)
Journal Article
Gu, X., Hasan, I., & Lu, H. (2022). Institutions and Corporate Reputation: Evidence from Public Debt Markets. Journal of Business Ethics, https://doi.org/10.1007/s10551-021-05020-x

Using data from China’s public debt markets, we study the value of corporate reputation and how it interacts with legal and cultural forces to assure accountability. Exploring lawsuits that change corporate reputation, we find that firms involved in... Read More about Institutions and Corporate Reputation: Evidence from Public Debt Markets.

The Walls Have Ears: Local Information Environments and Corporate Fraud (2021)
Journal Article
Hagendorff, J., Le, N., & Nguyen, D. (2022). The Walls Have Ears: Local Information Environments and Corporate Fraud. Journal of Money, Credit and Banking, 54(8), 2377-2410. https://doi.org/10.1111/jmcb.12906

This paper shows that a firm's likelihood of committing corporate fraud is affected by the local information environment. We use the density of local bank branch networks as a proxy for the local information environment. We show that denser bank bran... Read More about The Walls Have Ears: Local Information Environments and Corporate Fraud.

Forward Guidance and Corporate Lending (2021)
Journal Article
Delis, M., Hong, S., Paltalidis, N., & Philip, D. (2022). Forward Guidance and Corporate Lending. Review of Finance, 26(4), 899-935. https://doi.org/10.1093/rof/rfab027

We suggest that forward guidance, via publicly committing the central bank to future actions and creating associated expectations, fundamentally affects bank lending decisions independently of other forms of monetary policy. To test this hypothesis,... Read More about Forward Guidance and Corporate Lending.

When It Rains It Drains: Psychological Distress and Household Net Worth (2021)
Journal Article
Balloch, A., Engels, C., & Philip, D. (2022). When It Rains It Drains: Psychological Distress and Household Net Worth. Journal of Banking and Finance, 143, https://doi.org/10.1016/j.jbankfin.2022.106620

This paper establishes a sizeable negative effect of poor mental health on individuals’ net worth. In a representative panel of U.S. households, we find that a one standard deviation (or four unit) increase in Kessler’s K6 psychological distress leve... Read More about When It Rains It Drains: Psychological Distress and Household Net Worth.

A Survey of Fintech Research and Policy Discussion (2021)
Journal Article
Allen, F., Gu, X., & Jagtiani, J. (2021). A Survey of Fintech Research and Policy Discussion. Review of corporate finance, 1(3-4), 259-339. https://doi.org/10.1561/114.00000007

The intersection of finance and technology, known as fintech, has resulted in the dramatic growth of innovations and has changed the entire financial landscape. While fintech has a critical role to play in democratizing credit access to the unbanked... Read More about A Survey of Fintech Research and Policy Discussion.

Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns (2021)
Journal Article
Andreou, P., Kagkadis, A., Maio, P., & Philip, D. (2021). Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns. Critical finance review, 10(1), 65-81. https://doi.org/10.1561/104.00000091

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and... Read More about Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns.

Institutional ownership and firms’ thrust to compete (2021)
Journal Article
Andreou, P. C., Fiordelisi, F., Harris, T., & Philip, D. (2022). Institutional ownership and firms’ thrust to compete. British Journal of Management, 33(3), 1346-1370. https://doi.org/10.1111/1467-8551.12496

This article provides evidence on the impact of transient (short-term) institutional investors on a firm’s thrust to compete. A firm’s thrust to compete, as an attribute of corporate culture, captures the relative importance of corporate values that... Read More about Institutional ownership and firms’ thrust to compete.

Misconduct in Banking: The Role of the Board of Directors (2020)
Book Chapter
Nguyen, D., Hagendorff, J., & Eshraghi, A. (2020). Misconduct in Banking: The Role of the Board of Directors. In C. Alexander, & D. Cumming (Eds.), Corruption and Fraud in Financial Markets: Malpractice, Misconduct and Manipulation

Multifactor Models and Their Consistency with the APT (2020)
Journal Article
Cooper, I., Ma, L., Maio, P., & Philip, D. (2021). Multifactor Models and Their Consistency with the APT. The Review of Asset Pricing Studies, 11(2), 402-444. https://doi.org/10.1093/rapstu/raaa024

We examine the consistency of several prominent multifactor models from the empirical asset pricing literature with the arbitrage pricing theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a ric... Read More about Multifactor Models and Their Consistency with the APT.

International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics (2020)
Working Paper
Nicolae, A., & Nower, M. (2020). International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics

How do the interactions between non-trading firms and labour market frictions impact the domestic and international transmission of macroeconomic shocks? In this paper we explore the impact of these interactions on labour productivity and unemploymen... Read More about International Trade and the Interaction of Labour Market Frictions and Endogenous Firms Exit: An Examination of Labour Productivity and Trade Dynamics.

Shadow banking in China compared to other countries (2020)
Journal Article
Allen, F., & Gu, X. (2021). Shadow banking in China compared to other countries. Manchester School, 89(5), 407-419. https://doi.org/10.1111/manc.12331

China's shadow banking has been rising rapidly in the last decade, mainly driven by regulations for banks, the Fiscal Stimulus Plan in 2008 and credit constraints in restrictive industries. This sector has continued growing although the regulators re... Read More about Shadow banking in China compared to other countries.

Probabilistic Forecasting of Bubbles and Flash Crashes (2020)
Journal Article
Banerjee, A., Chevillon, G., & Kratz, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. The Econometrics Journal, 23(2), 297-315. https://doi.org/10.1093/ectj/utaa004

We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an... Read More about Probabilistic Forecasting of Bubbles and Flash Crashes.

Measuring firms' market orientation using textual analysis of 10-K filings (2020)
Journal Article
Andreou, P., Harris, T., & Philip, D. (2020). Measuring firms' market orientation using textual analysis of 10-K filings. British Journal of Management, 31(4), 8725-895. https://doi.org/10.1111/1467-8551.12391

Market‐oriented firms are committed to understanding their customers’ evolving expectations and meeting their needs, while outwitting competitors, to achieve a sustainable competitive advantage and improve performance. This paper develops a measure f... Read More about Measuring firms' market orientation using textual analysis of 10-K filings.

The Endgame (2019)
Journal Article
Banerjee, A., Markovich, S., & Secciay, G. (2019). The Endgame. Games and Economic Behavior, 118, 176-192. https://doi.org/10.1016/j.geb.2019.08.010

On December 1st, 2009 President Obama announced that the U.S. troops would have started leaving Afghanistan on July 2011. Rather than simply waiting \the U.S. troops out," the Taliban forces responded with a spike in attacks followed by a decline as... Read More about The Endgame.

The information content of forward moments (2019)
Journal Article
Andreou, P., Kagkadis, A., Philip, D., & Taamouti, A. (2019). The information content of forward moments. Journal of Banking and Finance, 106, 527-541. https://doi.org/10.1016/j.jbankfin.2019.07.021

We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structu... Read More about The information content of forward moments.

Financial literacy and fraud detection (2019)
Journal Article
Engels, C., Kumar, K., & Philip, D. (2020). Financial literacy and fraud detection. European Journal of Finance, 26(4-5), 420-442. https://doi.org/10.1080/1351847x.2019.1646666

Who is better at detecting fraud? This paper finds that more financially knowledgeable individuals have a higher propensity to detect fraud: a one standard deviation increase in financial knowledge increases fraud detection probabilities by 3 percent... Read More about Financial literacy and fraud detection.

International trade, non-trading firms and their impact on labour productivity (2019)
Working Paper
Millard, S., Nicolae, A., & Nower, M. (2019). International trade, non-trading firms and their impact on labour productivity

In this paper we examine the impact of non-trading firms on labour productivity and its persistence in response to macroeconomic shocks, through their entry and exit into the domestic market, in a model with monopolistic competition and heterogeneous... Read More about International trade, non-trading firms and their impact on labour productivity.