Yuna Heo, Ph.D. FinanceAssistant Professor
M847 Li Ka Shing TowerHong Kong Polytechnic University Email:, yunaheo@gmail.comWeb: View my research on my SSRN Author page: --------------------------------------------------

Curriculum Vitae

I find herding by big banks interacts with boom period to provide a stronger predictive power of systemic risk to next period beyond what is predicted by bank herding and boom period individually. I attribute these results to evidence of too-many-and-big-to-fail.

I find that, following periods of high inflation, anomalies are stronger and returns in short leg portfolios are lower. However, following periods of deflation, returns in short leg portfolios are not lower and long-short strategies are not profitable. These findings indicate that money-illusioned investors excessively extrapolate the upside potential of stocks in short leg portfolios following periods of high inflation and, subsequently, experience negative returns.

LLP is a bank’s dominant accruals and a key determinant of the informativeness of banks’ financial reports. I find banks with low LLPs to have significantly higher returns than banks with high LLPs. A long-short investment strategy that buys stocks in the lowest LLP portfolio and that sells in the highest LLP portfolio earns a statistically significant alpha of 97 basis points per month.

In emerging economies, greater corruption is related to greater capital expenditures. In advanced economies, greater corruption is positively related to innovation. Our findings suggest that corruption leads firms to take more action in the areas that the economy has a competitive edge in.

The change of legal environment can help firms partially overcome the problems of a corrupted culture. Our results suggest corruption impedes corporate investment but the better policy can help firms reduce the decline in firms’ investment located in corrupted states.