All Outputs (14)

Market Development, Information Diffusion and the Global Anomaly Puzzle (2022)
Journal Article

Previous literature finds anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion... Read More about Market Development, Information Diffusion and the Global Anomaly Puzzle.

The Chinese Warrants Bubble: Evidence from Brokerage Account Records (2020)
Journal Article

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investor... Read More about The Chinese Warrants Bubble: Evidence from Brokerage Account Records.

Negative tone in lobbying the International Accounting Standards Board (2019)
Journal Article

With the aid of computerized sentiment analysis, this paper analyzes the role of constituents' comment letters in the process of setting international financial reporting standards for financial instruments. Whilst explicit agreement in comment lette... Read More about Negative tone in lobbying the International Accounting Standards Board.

In Search of Winning Mutual Funds in the Chinese Stock Market (2019)
Journal Article

This paper provides a methodological approach, based on the false discovery rate (FDR) of Barras et al. (J Finance 65(1):179–216, 2010. https://doi.org/10.1111/j.1540-6261.2009.01527.x), by which investors can successfully select winning mutual funds... Read More about In Search of Winning Mutual Funds in the Chinese Stock Market.

FARVaR: Functional Autoregressive Value-at-Risk (2018)
Journal Article

Motivated by the stylized fact that intraday returns can provide additional information on the tail behavior of daily returns, we propose a functional autoregressive value-at-risk (VaR) approach which can directly incorporate such informational advan... Read More about FARVaR: Functional Autoregressive Value-at-Risk.

Overreaction to growth opportunities: an explanation of the asset growth anomaly (2018)
Journal Article

The negative relation between asset growth and subsequent stock returns is known as the asset growth anomaly. We propose that overreaction to growth opportunities is the source of the asset growth anomaly. This suggests that growth firms as opposed t... Read More about Overreaction to growth opportunities: an explanation of the asset growth anomaly.

Credit scores and the performance of newly-listed stocks: An exploration of the Chinese A-share market (2017)
Journal Article

This study assesses the power of S&P Global Market Intelligence’s CreditModel (CM) scores in explaining the short- and long-run performance of newly-listed Chinese firms. A unique feature of the data arises from such scores being outside the public d... Read More about Credit scores and the performance of newly-listed stocks: An exploration of the Chinese A-share market.

International Stock Market Leadership and its Determinants (2016)
Journal Article

We study time-varying price leadership between international stock markets using a Markov switching causality model. We demonstrate variations in the causality pattern over time, with the US being the dominant country in causing other markets. We exa... Read More about International Stock Market Leadership and its Determinants.

Marks & Spencer and the Decline of the British Textile Industry, 1950-2000 (2016)
Journal Article

From the end of World War II, British clothing retailers—most notably, Marks & Spencer (M&S)—increasingly dominated the domestic textile industry, to some extent arresting its decline. This article uses financial and archival evidence to examine the... Read More about Marks & Spencer and the Decline of the British Textile Industry, 1950-2000.

Capital account reform and short- and long-run stock price leadership (2015)
Journal Article

This paper studies the effect of capital account liberalization policies on the price discovery of cross-listings in Chinese stocks. We construct a non-linear causality framework that decomposes short- and long-run dimensions of price leadership. Our... Read More about Capital account reform and short- and long-run stock price leadership.

Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors? (2015)
Journal Article

We analyze whether four market-based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises. The tests based on the 2007–2008 crisis show that only one measure (∆CoVaR) consisten... Read More about Are Market-Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?.

Pension plan solvency and extreme market movements: A regime switching approach (2014)
Journal Article

We develop and test a new approach to assess defined benefit (DB) pension plan solvency risk in the presence of extreme market movements. Our method captures both the ‘fat-tailed’ nature of asset returns and their correlation with discount rate chang... Read More about Pension plan solvency and extreme market movements: A regime switching approach.

High-Frequency Exchange Rate Forecasting (2014)
Journal Article

Predictability of exchange rate movement is of great interest to both practitioners and regulators. We examine the predictability of exchange rate movement in the high-frequency domain. To this end, we apply a model designed for modelling high-freque... Read More about High-Frequency Exchange Rate Forecasting.

The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China (2014)
Journal Article

Despite the rapid growth and importance of small and medium-sized enterprises and the venture capital (VC) industry in China, this is the first article to examine comprehensively the role of VCs in public firms listed on the Small and Medium Enterpri... Read More about The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China.