- "Subscribing to Transparency", w/ Yinghua He, Hong Guo and Jiong Yang, Journal of Banking and Finance, forthcoming.
The relationship between trade transparency and liquidity is non-monotonic, explaining why transparency effects vary in existing literature.
- "The Cost of Political Tension: An Anatomy" w/ Yinghua He (Toulouse School of Economics) and Yonglei Wang (Toulouse School of Economics). Online appendix available here.
The paper examines how increased
political tension affects stock returns and identifies the channels through
which this occurs. Focusing on Taiwan’s sovereign debate, we find that
non-violent events harming the political relationship with mainland China are
associated with an average daily drop of 200 basis points in Taiwanese stock
returns. Expectations of mild tension also adversely affect stock returns. The
impact is stronger on firms located close to potential conflict zones and on Taiwanese
firms openly supporting the pro-independence party. The adverse effect on
political opponents concentrates on those firms economically exposed to
mainland China through either investments or exports.
- "Proximity and IPO Underpricing" w/ Dariusz Wójcik (University of Oxford)
The paper analyses the relationship between issuers’ location
and IPO underpricing in the U.S. in the period 1985-2011. Issuers headquartered
in rural areas are associated with approximately seven percentage points lower
underpricing compared to urban firms. This finding is consistent with recent
literature indicating strong local bias in rural areas, accompanied by superior
local information and monitoring intensity, which results in more accurate
pricing and less ‘money left on the table’. The paper further finds that
proximity to finance professionals and density of financial expertise affects IPO underpricing more than proximity to large cities.