Published/forthcoming research

13. "Joining Forces: The Spillover Effects of EPA Enforcement Actions and the Role of Socially Responsible Investors" (with Sudipto Dasgupta and Ying Xia) 2023. Review of Financial Studies 36: 3781–3824.

Companies reduce toxic emissions at their local plants after the EPA takes enforcement actions against nearby facilities operated by peer companies. Socially responsible mutual funds that hold shares in parent companies actively influence these emission reductions.


12. "Panic selling when disaster strikes: Evidence in the bond and stock markets" (with Ying Xia) 2023. Management Science 69: 7151-7882.

When a firm is exposed to disasters, investors overreact by depressing the current bond and stock prices, causing future returns to be higher. Non-sustainability-oriented funds, rather than sustainability-oriented funds, contribute to this selling pressure.


11. "Product market competition and corporate relocations: Evidence from the supply chain" (with Chen Chen, Sudipto Dasgupta, and Ying Xia) 2023. Management Science  69: 4973-5693.

Over the last two decades, suppliers in the U.S. have relocated closer to their customers--a trend that is not explained by the economy getting more crowded over time. Increasing competition and globalization play a role in driving this trend.


10. "Climate change news risk and corporate bond returns" (with Ying Xia)  2021. Journal of Financial and Quantitative Analysis 56: 1985--2009.

Investors prefer bonds that provide a good hedge against climate change news risk. When investors are concerned about climate change risk, they are willing to pay higher prices for bonds issued by firms with better environmental performance. 


9. "Customer satisfaction and cost of capital" (with Thu Ha Nguyen and Cameron Truong) 2021. Review of Accounting Studies 26: 293--342

Firms with higher customer satisfaction, measured by the American Customer Satisfaction Index and Amazon product reviews, enjoy a lower cost of equity capital.


8. "Treasury rates no longer predict returns: A reappraisal of Breen, Glosten and Jagannathan (1989)" (with Philip Gray) 2021. Critical Finance Review  10: 429--444

The success of Treasury bill rates as a predictor of stock returns is specific to the time period. Over the period 1954-2018, there is little statistical or economic evidence of predictability.


7. "Climate risk: The price of drought" (with Thu Ha Nguyen and Cameron Truong) 2020. Journal of Corporate Finance  65: 101750.

Firms affected by severe drought conditions face a 92 basis point increase in their cost of equity capital. However, for firms with diversified cash flows/investments, geographically dispersed business operations, and high cash holdings, the impact of drought on ICC is significantly lessened.



6. "Institutional trading and asset pricing" (with Bart Frijns, Alireza Tournani-Rad, and P. Joakim Westerholm) 2018. Journal of Banking and Finance 89: 59--77. 

The beta-return relation is strong and positive on days with high institutional trading activity. Beta risk is important after all.


5. "Herding in analysts’ recommendations: The role of media" (with Bart Frijns) 2018. Journal of Banking and Finance 91: 1--18 (Lead article)

Analysts' herding behavior is influenced by firm-specific news coverage, news sentiment, and disagreement in the media.


4. "Explaining anomalies in Australia with a five-factor asset pricing model" 2018. International Review of Finance. 18(1): 123--135. 

This paper compares the ability of three- and  five-factor asset-pricing models to explain the apparent profitability of 16 anomalies in Australian equity returns. The empirical evidence provides cautious support for the five-factor model.


3. "Stock price reaction to news: The joint effects of tone and attention on momentum" (with Daniel Smith) 2017. Journal of Behavioral Finance. 18: 304--328. 

By employing a comprehensive dataset of firm-specific news in 4 regions (the U.S., Europe, Japan, and Asia Pacific), we find that stocks having important and positive news exhibit stronger return continuation.


2. "Conditional asset pricing in international markets" 2017. International Review of Economics and Finance. 49: 168--189.

Instrumenting the global Fama-French model with lagged component betas can reduce the unconditional alpha of COMBO (value and momentum) portfolios by 11–72%, pointing to the efficacy of this instrumental variable in international markets.


1. "Delisted stocks and momentum: Evidence from a new Australian dataset" (with Daniel Smith) 2017. Australian Journal of Management. 42: 140--160. 

We construct a new dataset of hand-collected delisting returns for all Australian stocks and provide the first study outside the U.S. to jointly examine the effects of delisting and missing returns on the magnitude of momentum profits.