Empirical research related to financial market with primary focus on: information dislosure and investor behaviour, supply chain relationship and disruption, emerging risk impact and management, banking finance.
Data Privacy Risk: Measurement and Effect (with Ding Ding, Yin Liao, Zheyao Pan) [Download]
Under Review in Management Science.
Presentation: FMA Annual Meeting 2025 (*Schedualed in Vancouver, October 2025); Seminar in University of Wollongong (Wollongong, June 2025); MQBS BrownBag Seminar (Sydney, May 2025).
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]
Reject and Resubmit in the Production and Operations Management.
Presentation: MQBS Graduate Research Expo (Sydney, July 2024); NZFM Conference (Auckland, December 2024); SBFC Conference (Sydney, December 2024); AFBC Conference (Sydney, December 2024)
Abstract: We investigate how the credit market evaluates firm-level supply chain risk. We document that supply chain risk is associated with unfavorable loan condition changes, including a significant increase in the loan interest spread and collateralization requirement. The effect of supply chain risk is timevarying, as the response of bank loan cost is more pronounced when global supply chain pressure or geopolitical risk is high. Additionally, we observe that the relationship between borrower firms and bank creditors decreases by amount but not length after the supply chain risk information is renewed at a higher level. We also find evidence that bank creditors learn from borrowers’ earnings calls about this risk exposure information. Overall, we conclude that the bank market treats the supply chain risk as an unfavourable factor by incorporating it in the loan contracts, which emphasizes the importance of supply chain risk management in firm operations.
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 forcast and its economic consequences.
The Effect of AI Investment on Operational Management (with Mingze Gao, Zheyao Pan)
We investigate how firm-level AI investment affects the production and operational management in the manufacturing industry.
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 2022 & 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.