Research

Publications: 

1. Macro Disagreement and International Stock Markets (with Wenli Huang, Shi Li, Qi Zhang), 2022, Journal of International Financial Markets, Institutions and Money, 81, 101659.

• Cross Country Perspectives of Finance Conference (2021)

2. Currency Carry Trade: the Decline in Performance after the 2008 Global Financial Crisis (with Zhenzhen Fan, Alexander Paseka, Qi Zhang), 2022, Journal of International Financial Markets, Institutions and Money, 76, 101460. 

1. • Cross Country Perspectives of Finance Conference (2020)

2. Discretionary Liquidity Trading, Information Production and Market Efficiency (with Xia Liu, Shancun Liu, Chunhui Wen) , 2020, Finance Research Letters, 35, 101299. 

Working Papers: 

1. International Corporate Bond Returns: Uncovering Predictability Using Machine Learning (with Delong Li, Lei Lu, Guofu Zhou) 

• UF Research Conference on Machine Learning in Finance (2022); New Zealand Finance Meeting (2022); FMA Doctoral Student Consortium (2023, Scheduled)

Abstract: In this paper, we apply machine learning techniques to predict corporate bond returns all over the world. With a novel dataset, we find there is strong predictability of corporate bond returns in international markets. However, the documented factors that drive bonds in the U.S. market are substantially different from factors that impact bonds in non-U.S. markets, where downside risk and illiquidity are more influential. We further find there are cross-country differences in the degree of bond cross-country integration and bond-stock integration, but these two integrations in developed markets are on average higher than in emerging markets.

2. Abnormal Temperatures, Climate Risk Disclosures, and Bank Loan Pricing: International Evidence (with with Wenxia Ge, Zhenyu Wu, Li Yu), R&R at British Journal of Management

• FMA (2022); AsianFA (2022); The Seventh Annual Volatility Institute Conference at NYU Shanghai (2021)

Abstract: This paper examines the effect of abnormal-temperature-related climate risk on bank loan pricing. Using a sample of syndicated loans from 35 countries or jurisdictions, we find that banks charge higher interest rates for borrowers with higher climate risk, especially for short-term loans. Our cross-sectional analyses reveal that borrowers’ voluntary climate risk disclosures in conference calls mitigate the effect of climate risk on loan spreads, and the moderating effect of climate risk disclosures is stronger when lead banks have less climate-risk-related lending experience and when borrowers have higher analyst coverage. In addition, the borrowing cost of high-climate-risk borrowers decreases in the U.S. after the SEC issued climate risk disclosure guidance, while the ESG disclosure requirements in other 19 countries, which are not climate-risk specific, do not alter the effect of climate risk on bank loan pricing.

3. Are Climate Risk Disclosures in Earnings Conference Calls Relevant to Analysts?   (with Walid Ben Amar, Wenxia Ge, Lei Lu)

• World  Finance Conference (2023); The SBS International Conference for Finance (SBSICF, 2023)

Abstract: We examine whether climate risk disclosures in earnings conference calls affect analyst forecast accuracy. Using a sample of U.S. firms from 2002 to 2019, we find that the disclosure of physical shocks related to climate change is associated with smaller analyst forecast errors, while the disclosures of regulatory and opportunity shocks related to climate change have no significant effect on analyst forecast errors or dispersion. Cross-sectional analyses show that the effect of physical climate risk disclosures on analyst forecast accuracy is stronger after the SEC provided guidance on disclosures of climate risk and opportunities, for firms located in regions that are more likely affected by extreme weather events and have higher disaster costs, and for firms located in states where people have stronger beliefs in climate change. Our findings suggest that only certain type of climate risk disclosures in earnings conference calls help analysts make more accurate earnings forecasts. 

Work in Progress: 

1. Geopolitical Risk and International Corporate Bond Returns (with Delong Li, Lei Lu)