Selected Publications

5. "The timing of voluntary delisting", (with Alcino Azevedo, Gonul Colak and Radu Tunaru), (2024), Journal of Financial Economics forthcoming. (ABS 4*, ABDC A*, FT50)

For many firms, voluntarily delisting from a stock exchange can be optimal. We model an entrepreneur’s incentives to voluntarily delist the firm as a trade-off between the consumption of private benefits when listed and expected improvements in the firm’s performance after delisting. Our model allows for heterogeneity across firms and countries, and various micro and macro shocks affect the delisting decision. Such a model makes novel predictions regarding the delisting patterns around the world. We empirically confirm these predictions using manually collected delisting data from 26 countries. Increasing policy and regulatory uncertainties can partially explain the greater popularity of voluntary delistings.

Keywords: Voluntary Delisting; Political Uncertainty; Regulatory Uncertainty; Competing Risk.

Presented at: European Financial Management Association - EFMA; Financial Management Association - FMA Europe; The 22nd Real Options Conference; Special Interest Group - British Accounting and Finance Association Meeting; International Finance and Banking Society; IFABS; Research seminars at University of Bath, Cardiff Business School, Kent Business School, Nagoya Business School, Aston Business School, and Adam Smith Business School.

4. "Engaged ETFs and Firm Performance", (with Onur Tosun and Robert Hudson), (2024), European Financial Management. (ABS 3, ABDC A)

ETFs have often tracked indices and charged low fees so their incentives to improve firm performance are questionable although little empirical work has investigated this issue. Theoretically, however, we expect firms to perform better when held by more engaged ETFs. We develop a new measure of engagement using a weighted-average concentration measure which captures the combined effect of the concentration of the portfolios of the ETFs investing in a firm and the ownership of the firm by those ETFs. Using ETFs’ investment in US-listed firms for the period 2000-2019, we confirm our expectations that more engaged ETFs improve firm performance.

Keywords: Exchange Traded Funds (ETFs), Portfolio Concentration, Corporate Governance, Monitoring, Firm Performance.

3. "Non-Standard Errors", (with 342 co-authors), (2024), Journal of Finance forthcoming. (ABS 4*, ABDC A*, FT50)

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

Keywords: non-standard errors; multi-analyst approach; liquidity.

Presented at: Microstructure Exchange 2021, Derivatives Forum Frankfurt 2022, Financial Intermediation Research Society (FIRS) 2022, Research in Behavioral Finance Conference (RBFC) 2022, Society for Experimental Finance (SEF) 2022, Society for Financial Econometrics (SoFiE) 2022, Vienna-Copenhagen Conference on Financial Econometrics 2022, and the Western Finance Assocation (WFA) 2022.

Prizes: runner-up for the best-paper prize at Society for Financial Econometrics (SoFiE) 2022.

Co-authors: Albert J. Menkveld; Anna Dreber; Felix Holzmeister; Juergen Huber; Magnus Johannesson; Michael Kirchler; Michael Razen; Utz Weitzel; David Abad; Menachem (Meni) Abudy; Tobias Adrian; Yacine Ait-Sahalia; Olivier Akmansoy; Jamie Alcock; Vitali Alexeev; Arash Aloosh; Livia Amato; Diego Amaya; James Angel; Amadeus Bach; Edwin Baidoo; Gaetan Bakalli; Andrea Barbon; Oksana Bashchenko; Parampreet Christopher Bindra; Geir Hoidal Bjonnes; Jeff Black; Bernard Black; Santiago Bohorquez; Oleg Bondarenko; Charles S. Bos; Ciril Bosch-Rosa; Elie Bouria; Christian T. Brownlees; Anna Calamia; Viet Nga Cao; Gunther Capelle-Blancard; Laura Capera; Massimiliano Caporin; Allen Carrion; Tolga Caskurlu; Bidisha Chakrabarty; Mikhail Chernov; William M. Cheung; Ludwig B. Chincarini; Tarun Chordia; Sheung Chi Chow; Benjamin Clapham; Jean-Edouard Colliard; Carole Comerton-Forde; Edward Curran; Thong Dao; Wale Dare; Ryan J. Davies; Riccardo de Blasis; Fany Declerck; Oleg Deev; Hans Degryse; Solomon Deku; Christophe Desagre; Mathijs A. van Dijk; Chukwuma Dim; Thomas Dimpfl; Yun Jiang Dong; Philip Drummond; Tom Dudda; Ariadna Dumitrescu; Teodor Dyakov; Anne Haubo Dyhrberg; Michał Dzieliński; Asli Eksi; Izidin El Kalak; Saskia Ter Ellen; Nicolas Eugster; Martin D. D. Evans; Michael Farrell; Ester Félez-Viñas; Gerardo Ferrara; El Mehdi Ferrouhi; Andrea Flori; Jonathan Fluharty-Jaidee; Sean Foley; Kingsley Y. L. Fong; Thierry Foucault; Tatiana Franus; Francesco A. Franzoni; Bart Frijns; Michael Frömmel; Servanna Fu; Sascha Füllbrunn; Baoqing Gam; Thomas Gehrig; Dirk Gerritsen; Javier Gil-Bazo; Lawrence R. Golsten; Thomas Gomez; Arseny Gorbenko; Ufuk Güçbilmez; Joachim Grammig; Vincent Gregoire; Björn Hagströmer; Julien Hambuckers; Erik Hapnes; Jeffrey H. Harris; Simon Hartmann; Jean-Baptiste Hasse; Nikolaus Hautsch; Xuezhong He; Davidson Heath; Simon Hediger; Terrence Hendershott; Ann Marie Hibbert; Erik Hjalmarsson; Seth A. Hoelscher; Peter Hoffmann; Craig W. Holden; Alex R. Horenstein; Wenqian Huang; Da Huang; Christophe Hurlin; Alexey Ivashchenko; Subramanian R. Iyer; Hossein Jahanshahloo; Naji Jalkh; Charles M. Jones; Simon Jurkatis; Petri Jylha; Andreas Kaeck; Arzé Karam; Egle Karmaziene; Bernhard Kassner; Markku Kaustia; Ekaterina Kazak; Fearghal Kearney; Vincent van Kervel; Saad Khan; Marta Khomyn; Tony Klein; Olga Klein; Alexander Klos; Michael Koetter; Jan Pieter Krahnen; Aleskey Kolokolov; Robert A. Korajczyk; Roman Kozhan; Amy Kwan; Quentin Lajaunie; F.Y. Eric C. Lam; Marie Lambert; Hugues Langlois; Jens Lausen; Tobias Lauter; Markus Leippold; Vladimir Levin; Yijie Li; (Michael) Hui Li; Chee Yoong Liew; Thomas Lindner; Oliver B. Linton; Jiacheng Liu; Anqi Liu; Guillermo Llorente; Matthijs Lof; Ariel Lohr; Francis A. Longstaff; Alejandro Lopez-Lira; Nicola Mano; Alexis Marchal; Charles Martineau; Francesco Mazzola; Debrah Meloso; Roxana Mihet; Vijay Mohan; Sophie Moinas; David Moore; Liangyi Mu; Dmitriy Muravyev; Dermot Murphy; Gabor Neszveda; Christian Neumeier; Ulf Nielsson; Mahendrarajah Nimalendran; Sven Nolte; Lars Nordén; Peter O'Neill; Khaled Obaid; Bernt Arne Ødegaard; Per Östberg; Marcus Painter; Stefan Palan; Imon Palit; Andreas Park; Roberto Pascual; Paolo Pasquariello; Lubos Pastor; Vinay Patel; Andrew J. Patton; Neil D. Pearson; Loriana Pelizzon; Matthias Pelster; Christophe Pérignon; Cameron Pfiffer; Richard Philip; Tomáš Plíhal; Puneet Prakash; Oliver-Alexander Press; Tina Prodromou; Tālis J. Putniņš; Gaurav Raizada; David A. Rakowski; Angelo Ranaldo; Luca Regis; Stefan Reitz; Thomas Renault; Rex Wang Renjie; Roberto Renó; Steven Riddiough; Kalle Rinne; Paul Rintamäki; Ryan Riordan; Thomas Rittmannsberger; Iñaki Rodríguez-Longarela; Dominik Rösch; Lavinia Rognone; Brian Roseman; Ioanid Rosu; Saurabh Roy; Nicolas Rudolf; Stephen Rush; Khaladdin Rzayev; Aleksandra Rzeznik; Anthony Sanford; Harikumar Sankaran; Asani Sarkar; Lucio Sarno; Olivier Scaillet; Stefan Scharnowski; Klaus Reiner Schenk-Hoppé; Andrea Schertler; Michael Schneider; Florian Schroeder; Norman Schürhoff; Philipp Schuster; Marco A. Schwarz; Mark S. Seasholes; Norman Seeger; Or Shachar; Andriy Shkilko; Jessica Shui; Mario Sikic; Giorgia Simion; Lee A. Smales; Paul Söderlind; Elvira Sojli; Konstantin Sokolov; Laima Spokeviciute; Denitsa Stefanova; Marti G. Subrahmanyam; Sebastian Neusüss; Barnabas Szaszi; Oleksandr Talavera; Yuehua Tang; Nicholas Taylor; Wing Wah Tham; Erik Theissen; Julian Thimme; Ian Tonks; Hai Tran; Luca Trapin; Anders Bjerre Trolle; Giorgio Valente; Robert A. Van Ness; Aurelio Vasquez; Thanos Verousis; Patrick Verwijmeren; Anders Vilhelmsson; Grigory Vilkov; Vladimir Vladimirov; Sebastian Vogel; Stefan Voigt; Wolf Wagner; Thomas Walther; Patrick Weiss; Michel van der Wel; Ingrid M. Werner; P. Joakim Westerholm; Christian Westheide; Evert Wipplinger; Michael Wolff; Christian C. P. Wolff; Leonard Wolk; Wing Keung Wong; Jan Wrampelmeyer; Shuo Xia; Dacheng Xiu; Ke Xu; Caihong Xu; Pradeep K. Yadav; José Yagüe; Cheng Yan; Antti Yang; Woongsun Yoo; Wenjia Yu; Shihao Yu; Bart Z. Yueshen; Darya Yuferova; Marcin Zamojski; Abalfazl Zareei; Stefan Ziesberger; S. Sarah Zhang; Xiaoyu Zhang; Zhuo Zhong; Z. Ivy Zhou; Chen Zhou; Xingyu Sonya Zhu; Marius Zoican; Remco C. J. Zwinkels; Jian Chen; Teodor Duevski; Ge Gao; Roland Gemayel; Dudley Gilder; Paul Kuhle; Emiliano Pagnotta; Michele Pelli; Jantje Sönksen; Lu Zhang; Konrad Ilczuk; Dimitar Bogoev; Ya Qian; Hans C. Wika; Yihe Yu; Lu Zhao; Michael Mi; Li Bao; Andreea Vaduva; Marcel Prokopczuk; Alejandro Avetikian; Zhen-Xing Wu.

2. "The Bank of Japan's Equity Purchases and Stock Illiquidity", (with Woon Sau Leung, Hidenori Takahashi, and Kazuo Yamada), (2022), Journal of Financial Markets. (ABS 3, ABDC A*)

Using the large-scale index-linked exchange-traded fund (ETF) purchase program of the Bank of Japan (BOJ), we examine the role of unconventional equity-based monetary policies in the market liquidity of the underlying securities. Using a large sample of Japanese stocks, we document a significant increase in stock illiquidity when a firm’s ownership by the BOJ increases. Intensified ETF arbitrage activities partially mediate such effect. The increased illiquidity is concentrated among small and young firms and those whose shares are likely subject to strong buy pressure. Finally, BOJ ownership increases comovement in liquidity and stock returns and reduces informational efficiency.

Keywords: Bank of Japan; Monetary Policy; ETF; ETF Arbitrage; Stock Illiquidity.

Presented at: World Finance Conference 2021, Research seminar series at Cardiff Business School, Sussex Business School, and Kadir Has University.

1. "ETF ownership and corporate cash holdings", (with Onur Tosun), (2022), European Financial Management. (ABS 3, ABDC A)

Do exchange traded funds (ETFs) influence corporate cash holding decisions? Consistent with reduced managerial learning from the stock market and increased uncertainty due to higher ETF ownership, we show that firms included in ETF baskets have higher cash holdings as a precautionary response. We address endogeneity concerns through different natural experiments, namely, the reconstitution of the Russell 1000/2000 index and BlackRock’s acquisition of iShares. We identify changes in revenue, external financing, share repurchases, and net working capital as potential channels through which cash holdings increase due to higher ETF ownership, with cash holdings increases having positive impact on firm value.

Keywords: Exchange traded funds, Cash holdings, Share price informativeness, Cash value, Managerial learning

Presented at: BAFA - Asset Pricing and Corporate Finance Conference 2019; World Finance Conference 2021.

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