Publications

Selected Publications

1. "Reproducibility in management science" with Fišar, M. et al., Management Science 70, 1343–1356, 2024

2. "Non-standard errors" with Albert Menkveld et al., Journal of Finance 79, 2339-2390, 2024, SSRN Version 

3. “Equity trading activity and treasury bond risk premia" with Stefanie Schraeder, Avanidhar Subrahmanyam, and Wing Wah Tham, Journal of Financial and Quantitative Analysis 58, 677-710, 2023 SSRN Version

The volatility to volume ratio data are available for download here.

4. “Deleting unreported innovation” with Ping-Sheng Koh, David Reeb, Wing Wah Tham, and Wendun Wang, Journal of Financial and Quantitative Analysis 57, 2324-2354, 2022 SSRN Version

The imputed R&D data and the associated code are available for download here.

5. “Quoting activity and the cost of capital” with Ioanid Rosu and Wing Wah Tham, Journal of Financial and Quantitative Analysis 56, 2764-2799, 2021 SSRN Version

The quote to trade ratio data are available for download here. Wharton Research Data Services (WRDS) data was used in preparing this output, please cite accordingly.

6. "Common mental disorders and economic uncertainty: Evidence from the COVID-19 pandemic in the U.S." with Wing Wah Tham, Richard Bryant, and Michael McAleer, PLoS ONE 16(12): e0260726, 2021

7. "COVID-19 restrictions and age-specific mental health—U.S. probability-based panel evidence" with Wing Wah Tham, Richard Bryant, and Michael McAleer, Translational Psychiatry 11: 418, 2021

The COVID-Impact survey data is available here.

8. “Identifying cross-sided liquidity externalities” with Johannes Skjeltorp and Wing Wah Tham, Management Science 64, 2901-2929, 2018 SSRN Version

9. “Foreign political connections” with Wing Wah Tham, Journal of International Business Studies 48, 244-266, 2017

10. “Flashes of trading intent at the NASDAQ” with Johannes Skjeltorp and Wing Wah Tham, Journal of Financial and Quantitative Analysis 51, 165-196, 2016 SSRN Version

11. “Divided governments and futures prices” with Wing Wah Tham, Journal of Econometrics 187, 622-633, 2015 

12. “Exchange rate forecasting, order flow and macroeconomic information” with Dagfinn Rime and Lucio Sarno, Journal of International Economics 80, 72-88, 2010 

Top 5 Most Cited Article in JIE since 2010

13. “The feeble link between exchange rates and fundamentals: Can we blame the discount factor?” with Lucio Sarno, Journal of Money, Credit and Banking 41,  437-442, 2009

Other Publications

14.  “Managing systemic risk in the Netherlands” with Shuyu Liao and Wing Wah Tham, International Review of Economics and Finance, 231-245, 2015

15. “Economic valuation of liquidity timing” with Dennis Karstanje, Wing Wah Tham, and Michel van der Wel , Journal of Banking and Finance 37, 5073-5087, 2013

16. “Timing exchange rates using order flow: the case of the Loonie” with Michael King and Lucio Sarno, Journal of Banking and Finance 32, 2917-2928, 2010

17. “The Impact of Foreign Government Investments: Sovereign Fund Investments in the U.S.” with Wing Wah Tham, in J. Cosset & N. Boubakri (Eds.) International Finance Review: Institutional Investors in Global Capital Markets. U.K.: Emerald Group Publishing Limited, 2011

18. “Financial Crises Propagation: A Comparison of the Russian and Turkish Crises” with Renee Fry,  in J. Batten & P. Szilagyi (Eds.), Contemporary Studies in Economics and Financial Analysis: The Impact of the Global Financial Crisis on Emerging Financial Markets. U.K.: Emerald Group Publishing Limited, 2011

19. “Investeringen van Sovereign Wealth Funds” with Rene van der Eijk, Wilfred Dolfsma, and Hassan Yassine, Economisch Statistische Berichten, 301-302, 2009

20. “Contagion in emerging markets: the Russian debt crisis” Applied Financial Economics 17, 197-213, 2007

21. “Order flow analysis of exchange rates” with Dagfinn Rime, Norges Bank Economic Bulletin, no. 3, 2006