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Outputs (55)

Small Business Lending and Regulation for Small Banks (2021)
Journal Article
Srivastav, A., & Vallascas, F. (2022). Small Business Lending and Regulation for Small Banks. Management Science, 68(10), 7742-7760. https://doi.org/10.1287/mnsc.2021.4176

Since May 2015 several U.S. Bank Holding Companies (BHCs) have been newly classified as small banks by regulators, thus benefiting from a friendlier regulatory capital environment. Using a difference-in-differences setting, we show that less regulati... Read More about Small Business Lending and Regulation for Small Banks.

Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning (2021)
Journal Article
Han, C. (2022). Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning. Management Science, 68(10), 7701-7741. https://doi.org/10.1287/mnsc.2021.4189

This paper documents the bimodality of momentum stocks: both high- and low-momentum stocks have nontrivial probabilities for both high and low returns. The bimodality makes the momentum strategy fundamentally risky and can cause a large loss. To alle... Read More about Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning.

Auctions for Charity: The Curse of the Familiar (2021)
Journal Article
Carpenter, J., Damianov, D., & Matthews, P. (2022). Auctions for Charity: The Curse of the Familiar. International Economic Review, 63(3), 1109-1135. https://doi.org/10.1111/iere.12559

Recently there has been considerable interest in the use of raffles and auctions to fund public goods. Economists have developed theories that predict which of the standard mechanisms should do well and they have run a variety of experiments to test... Read More about Auctions for Charity: The Curse of the Familiar.

A machine learning approach for the short-term reversal strategy (2021)
Journal Article
Tan, Z., Li, Y., & Han, C. (2021). A machine learning approach for the short-term reversal strategy. International journal of data science and analysis, 7(6), 150-160. https://doi.org/10.11648/j.ijdsa.20210706.13

The short-term reversal effect is a pervasive and persistent phenomenon in worldwide financial markets that has been found to generate abnormal returns not explainable by traditional asset pricing models. In contrast to the linear model employed in m... Read More about A machine learning approach for the short-term reversal strategy.

The Reshaping Oil and Arms Trade between the United States and GCC: Is the Theory of Complex Interdependence Still Prevailing? (2021)
Journal Article
Akkas, E., & Altiparmak, S. O. (2022). The Reshaping Oil and Arms Trade between the United States and GCC: Is the Theory of Complex Interdependence Still Prevailing?. Journal of Asian and African Studies, 57(7), 1430-1445. https://doi.org/10.1177/00219096211058880

This paper makes use of interdependence theory to analyse the historical development of the economic relations between the GCC countries and the United States. The focus will be on oil and arms trade between the GCC countries and the United States. T... Read More about The Reshaping Oil and Arms Trade between the United States and GCC: Is the Theory of Complex Interdependence Still Prevailing?.

Does Shareholder Litigation Affect the Corporate Information Environment? (2021)
Journal Article
Le, N., Nguyen, D., & Sila, V. (2021). Does Shareholder Litigation Affect the Corporate Information Environment?. Journal of Financial Markets, 56, Article 10060. https://doi.org/10.1016/j.finmar.2020.100600

This paper examines whether shareholder litigation contributes to the decline in the number of U.S. stock market listings. We find that higher litigation risk induces firms to delist. We establish causality using two exogenous shocks to ex-ante litig... Read More about Does Shareholder Litigation Affect the Corporate Information Environment?.

Gender and Herding (2021)
Journal Article
Zheng, Z., Tang, K., Liu, Y., & Guo, M. (2021). Gender and Herding. Journal of Empirical Finance, 64, 379-400. https://doi.org/10.1016/j.jempfin.2021.10.005

This study uses a unique dataset from a large anonymous brokerage firm to examine the herding behavior of Chinese individual investors. The empirical evidence reveals that females are more inclined to follow the behavior of ‘same-sex’ investors. Mark... Read More about Gender and Herding.

Natural disasters and economic growth: The role of banking market structure (2021)
Journal Article
Duqi, A., McGowan, D., Onali, E., & Torluccio, G. (2021). Natural disasters and economic growth: The role of banking market structure. Journal of Corporate Finance, 71, Article 102101. https://doi.org/10.1016/j.jcorpfin.2021.102101

Following a natural disaster, the rate of economic growth recovers faster in less competitive banking markets. A 10% reduction in competition increases the rate of economic growth by 0.3%. In less competitive markets, banks respond to a disaster by i... Read More about Natural disasters and economic growth: The role of banking market structure.