Publications
Unraveling the Impact of Female CEOs on Corporate Bond Markets [Journal]
with Jasmine Yur-Austin, and Lu Zhu, Financial Management, 2024, 53(2): 391-423.
with Jasmine Yur-Austin, and Lu Zhu, Financial Management, 2024, 53(2): 391-423.
Credit Derivatives and Corporate ESG Performance [Journal]
with Lu Zhu, Journal of Banking and Finance, 2024, 159: 107079.
with Lu Zhu, Journal of Banking and Finance, 2024, 159: 107079.
- FMA Annual Meeting 2022.
Salience Theory and Cryptocurrency Returns [Journal] [SSRN] [Video Abstract]
with Charlie Cai, Journal of Banking and Finance, 2024, 159: 107052.
with Charlie Cai, Journal of Banking and Finance, 2024, 159: 107052.
- FMA Annual Meeting 2022, European FMA Annual Meeting 2022.
Improving the Asymmetric Stochastic Volatility Model with Ex-post Volatility: The Identification of the Asymmetry [Journal] [SSRN]
with Zehua Zhang, Quantitative Finance, 2023, 23(1): 35-51.
with Zehua Zhang, Quantitative Finance, 2023, 23(1): 35-51.
- SFA Annual Meeting 2020.
Credit Derivatives and Corporate Default Prediction [Journal] [SSRN]
with Xiaoxia Ye and Fan Yu. Journal of Banking and Finance, 2022, 138: 106418.
with Xiaoxia Ye and Fan Yu. Journal of Banking and Finance, 2022, 138: 106418.
- FMA Doctoral Student Consortium 2020, SFA Annual Meeting 2020, MFA Annual meeting 2021.
The Externalities of Credit Default Swaps on Stock Return Synchronicity [Journal]
with Lu Zhu. Journal of Futures Markets, 40(1): 92–125, 2020.
with Lu Zhu. Journal of Futures Markets, 40(1): 92–125, 2020.
- FMA Annual Meeting 2019; EFA Annual Meeting 2019.
Working Paper
The Capital Market Implications of Climate Risk Disclosure [SSRN]
with Jiang Luo, Konstantinos Stathopoulos, Avanidhar Subrahmanyam, and Xiaoxia Ye.
with Jiang Luo, Konstantinos Stathopoulos, Avanidhar Subrahmanyam, and Xiaoxia Ye.
- Abstract: Corporate climate risk (CR) disclosures have become more widespread in recent years following enhanced public awareness about climate change and regulatory interventions. We hypothesize that increased CR disclosure allows a firm to appeal to a larger set of institutional investors, and thereby enhances breadth of ownership. In turn, this leads to a greater supply of lendable shares, less binding short-selling constraints, and improved stock market liquidity as well as price efficiency. Using the SEC (2010) CR-disclosure guidance as a treatment event in a difference in differences (DiD) setting, we find evidence consistent with our hypotheses. Our study identifies CR disclosures as a novel source of ownership breadth, and, ultimately, financial market quality. We also show that socially responsible mutual funds are particularly important in channeling CR disclosures' positive effects on financial markets.
Climate Change Risk Disclosure and Carbon Tail Risk
with Charlie Cai, Jiaping Qiu, and Zehua Zhang.
with Charlie Cai, Jiaping Qiu, and Zehua Zhang.
- Abstract: We show that textual climate change risk (CCR) disclosure in the 10-K report mitigates the forward-looking carbon tail risk. However, this disclosure effect is not uniformly applied to all. It only concentrates on firms that are more resourced to take climate actions (less financial constraints), with higher end-user demand for climate information (more institutional investors and in states with stringent environmental regulation), and provide more readable and specific 10-K reports. Our findings support the effectiveness of the 2010 SEC ruling on mandatory disclosure of material climate risk and the market’s ability to differentiate the reliability of the information provided by this less structured report.
- Conference: FMA Annual Meeting 2023 (Best Paper Semifinalist), Climate Risk and Financial Markets Frontier Forum 2023, The 5th International Conference on Interdisciplinary Research in Accounting, The 7th China Finance and Accounting Conference (Excellent Paper Award), The 3rd Carbon Neutrality and Climate Finance Forum, The 2nd Xiangjiang River Forum in Economics, Finance, and Management for Young Scholars.
- Seminar: San Diego State University, University of Liverpool
How Do Voluntary Disclosures on Climate Risk and Their Tone Affect CDS Premiums? [SSRN]
with Xiaoxia Ye and Michael Imerman. Revise and Resubmission.
with Xiaoxia Ye and Michael Imerman. Revise and Resubmission.
- Abstract: We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about climate risks. The model predicts a negative relation between the informativeness of climate risk disclosure and the CDS premium, and asymmetric effects of positive and negative disclosure tone on the CDS premium. Using climate change disclosure and climate risk measures quantified from textual analysis of earnings call transcripts, we provide evidence supporting these predictions. Our study suggests that climate risk is priced in the CDS market where investors pay close attention to climate risk disclosures.
Bond Volatility and CDS Auctions [SSRN]
with Jennifer Mace and Fan Yu.
with Jennifer Mace and Fan Yu.
- Abstract: We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This finding does not extend to time periods far ahead of default, and there is no significant difference between the idiosyncratic stock return volatility of CDS firms and non-CDS firms around the time of default. These results are more consistent with CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of price discovery by CDS traders into the stock and bond markets.
- Conference: FMA Annual Meeting 2020, SFA Annual Meeting 2020.
- Seminar: University of Liverpool.
Informational Friction, Economic Uncertainty, and CDS-Bond Basis [SSRN] [Video Abstract]
with Charlie Cai and Xiaoxia Ye.
with Charlie Cai and Xiaoxia Ye.
- Abstract: We study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations of the credit default swap (CDS)-bond bases. We develop a structural model in which common EU induces informational friction affecting the pricing in the bond and CDS markets. Higher EU will lead to a larger cross-sectional divergence in the bases. Furthermore, the difference between the two markets' exposure to EU measured by the EU betas can predict cross-sectional variations in the bases, which is confirmed in our empirical study. We also study the practical implication of EU as a new basis determinant in the context of the basis arbitrage.
- Conference: FMA Annual Meeting 2021, MFA Annual Meeting 2022.
- Seminar: University of Liverpool, Durham University Business School, and ICAM centre University of Reading.
Other Publications
Volatility or Higher Moments: Which Is More Important in Return Density Forecasts of Stochastic Volatility Model? [Journal]
with Chenxing Li, Zehua Zhang. Finance Research Letters, 2024, forthcoming.
with Chenxing Li, Zehua Zhang. Finance Research Letters, 2024, forthcoming.
Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns [Journal] [SSRN]
with Zehua Zhang. International Review of Financial Analysis, 2023(89): 102712.
with Zehua Zhang. International Review of Financial Analysis, 2023(89): 102712.
- 2022 Annual Conference in Digital Economics.
Carbon Emission and Credit Default Swaps [Journal]
with Zehua Zhang. Finance Research Letters, 2022, 50: 103286.
with Zehua Zhang. Finance Research Letters, 2022, 50: 103286.
Firm-level Political Sentiment and Corporate Tax Avoidance [Journal] [SSRN]
with Justin Jin, Yi Liu, Zehua Zhang, International Review of Financial Analysis, 2022(84): 102358.
with Justin Jin, Yi Liu, Zehua Zhang, International Review of Financial Analysis, 2022(84): 102358.
Voluntary Disclosure of Pandemic Exposure and Stock Price Crash Risk [Journal]
with Justin Jin, Yi Liu, Zehua Zhang. Finance Research Letters, 2022, 47(B): 102799.
with Justin Jin, Yi Liu, Zehua Zhang. Finance Research Letters, 2022, 47(B): 102799.
The Impact of Financial Constraints on Banks’ Cash Tax Avoidance [Journal]
with Justin Jin, Yi Liu, Zehua Zhang. Review of Accounting and Finance, 2022, 21(3): 109-129.
with Justin Jin, Yi Liu, Zehua Zhang. Review of Accounting and Finance, 2022, 21(3): 109-129.
An Infinite-Dimensional Model of Liquidity in Financial Markets [Journal] [ArXiv] [Online Appendix]
with Sergey Lototsky and Henry Schellhorn, Probability, Uncertainty and Quantitative Risk, 2021, 6(2): 117-138.
with Sergey Lototsky and Henry Schellhorn, Probability, Uncertainty and Quantitative Risk, 2021, 6(2): 117-138.
- CGU SPDE Seminar 2017; CGU Financial Derivatives Seminar 2018; The 6th Annual High Frequency Finance and Data Analytics 2015 (using title "No-Arbitrage Model of Liquidity In Financial Markets Involving Brownian Sheets: Applications To High-Frequency Data").