Empirical research on the financial market, with a primary focus on: the intersection of technological advancement and regulatory frameworks; the impact of information disclosure on stakeholder behavior; the implications of production networks; and the assessment of emerging risk factors.
Data Privacy Risk (with Ding Ding, Yin Liao, Zheyao Pan) [Download]
The Brattle Group FIRN Best Paper Award at the 2025 FIRN Annual Conference.
Presentation: FMA European* (Scheduled, Braga, June 2026), SBFC Conference (Sydney, December 2025); FIRN Annual Conference* (Perth, November 2025); FMA Annual Meeting (Vancouver, October 2025); The Third International Conference on Acturial Science & Quantitative Finance and Risk Management* (Beijing, July 2025); MQBS BrownBag Seminar (Sydney, May 2025); Auckland University of Technology (Auckland); Huazhong University of Science and Technology (Wuhan); Shandong University* (Ji'nan, September 2025); Beijing Jiaotong University* (Beijing, July 2025); University of Wollongong* (Wollongong, June 2025). ("*" represents the co-authors' presentation)
Abstract: Firms increasingly rely on personal data to drive growth, creating a growing and understudied risk: the risk of financial, operational, and reputational harm to firms arising from their data practices involving the collection, storage, and use of personal data. We develop a novel measure of firm-level data privacy risk (DPRisk) by applying textual analysis to earnings call transcripts where managers and analysts discuss related concerns. We show that DPRisk closely follows changes in the regulatory environment, rising notably around landmark policies and enforcement events. It is highest for firms that depend heavily on consumer data. We also show that DPRisk is distinct from other related risk measures like cybersecurity risk and general economic uncertainty. Firm-level DPRisk is persistent and predictive of real economic outcomes across both equity and debt markets: firms with elevated data privacy risk earn lower abnormal earnings announcement returns and face higher spreads on new bank loans. These findings suggest data privacy practices represent a priced and economically significant dimension of firm-level risk.
Mind the Cost of Disturbance: Firm-level Supply Chain Risk and the Bank Loan Cost (with Lei Gao, Yin Liao, Zheyao Pan) [Download]
Minor Revision on the Production and Operations Management.
Presentation: AFBC Conference (Sydney, December 2024); SBFC Conference (Sydney, December 2024); NZFM Conference (Auckland, December 2024); MQBS Graduate Research Expo (Sydney, July 2024).
Abstract: This study investigates whether and how supply chain risk, a core operational vulnerability, is priced in financial credit markets. Using a novel textual-analysis-based firm-level measure, we show that elevated supply chain risk leads to higher loan interest spreads. Exploiting natural disasters as exogenous shocks to production networks, we provide causal evidence that shocks increase perceived supply chain fragility and, in turn, raise borrowing costs. These effects are amplified when information asymmetry between firms and lenders is high. Critically, lenders treat supply chain fragility as a form of credit risk: firms with higher supply chain risk face an increased default risk, higher probability of covenant violation, and stricter loan contracting terms, signaling lenders’ anticipation of repayment difficulties. Our findings highlight a new financial consequence of operational risk, showing that supply chain disruption directly affects corporate financing outcomes.
Overlapping Institutional Ownership between Complementor Firms and Investment Efficiency (with Jianlei Han, Xiaona Ji, Zheyao Pan, Fan Yu)
Abstract: This paper examines whether complementor-based overlapping institutional ownership (COIO) affects corporate investment efficiency. Using U.S. publicly traded firms from 1980 to 2016, the analysis shows that firms with institutional ownership links to complementor peers exhibit significantly higher investment efficiency, reflecting reductions in both overinvestment and underinvestment. To address endogeneity, the study exploits S&P 500 additions as exogenous shocks to complementor-based ownership links. A difference-in-differences design shows that index inclusion increases COIO among treated complementor incumbents and is followed by a decline in investment inefficiency. Additional evidence is consistent with roles for information frictions and external governance. The results are robust across a broad set of additional tests. Overall, the findings show that overlapping institutional ownership shapes real corporate decisions not only among competitors or supply-chain partners, but also across complementor firms in non-contractual production networks.
Forecasting Supply Chain Stability Using Thermal Infrared Radiation (with Fulong Xiao)
We investigate how the factory/firm-level thermal infrared radiation (TIR) data can be applied in supply chain stability forecast and its economic consequences.
Baseline analysis finished, working on additional analyses.
Cash Flow Shock and Stakeholder Performance (with Mingze Gao, Zheyao Pan)
Baseline analysis finished, working on additional analyses.
Bank Creditors' Knowledge Cumulation on Production Network
Idea pitched, working on baseline analysis.
The geopolitical risk premium in the commodity futures market, (with Yin Liao, Zheyao Pan), 2023, Journal of Futures Markets, 43(8), 1069-1090. [Download]
"Top Cited Article 2023" in the Journal of Futures Market.
"Top Viewed Article 2023" in the Journal of Futures Market.
Presentation: MQBS Graduate Research Expo (2021, Sydney); Derivative Markets Conference (2022, Auckland)
Press/Media: BP’s production cuts signal future energy crisis, UnHerd, 2024 July
Press/Media: Why Invest In Commodities?, Savvy Investor, 2024 Feb.
Press/Media: Hedging Tension: the Geopolitical Risk Premium, Commodity Insight Digest, 2023 Dec.
Abstract: In this study, we investigate the geopolitical risk premium in the commodity futures market. By estimating the exposure of cross-sectional commodity futures excess returns on a historical geopolitical risk index, we find that commodities with low-risk betas generate 9.05% higher annual risk-adjusted returns than those with high-risk betas. The results indicate that low-geopolitical-risk-related commodity futures contracts require extra compensation by risk-averse investors due to hedging demand. We also explore the time-varying characteristics of the geopolitical risk premium: It appears more pronounced during high-geopolitical-risk periods and before the year 2000. Finally, we exploit the subcategories of geopolitical risk and find that geopolitical threats better explain the variation of the geopolitical risk premium than do geopolitical acts, making it a main source of the geopolitical risk premium.
( "*" represents the co-authors' presentation -- Thankful to all my wonderful co-authors! )
2026:
FMA European* (Scheduled, Braga); Auckland University of Technology (Auckland); Huazhong University of Science and Technology (Wuhan).
2025:
The 2025 Sydney Banking and Finance Stability Conference (Sydney); 2025 FIRN Annual Conference* (Perth); 2025 FMA Annual Meeting (Vancouver); The Third International Conference on Acturial Science & Quantitative Finance and Risk Management* (Beijing); Macquarie Business School BrownBag Seminar (Sydney); Shandong University* (Ji'nan); Beijing Jiaotong University* (Beijing); University of Wollongong* (Wollongong).
2024:
The 37th Australasian Finance & Banking Conference (Sydney); The 2024 Sydney Banking and Finance Stability Conference (Sydney); 2024 New Zealand Finance Meeting (Auckland); 2024 Macquarie Business School Graduate Research Expo (Sydney).
2022:
2022 Derivative Markets Conference (Auckland).
2021:
2021 Macquarie Business School Graduate Research Expo (Sydney).