Selected Publications
Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums [Journal] [SSRN]
with Michael Imerman, Xiaoxia Ye, Journal of Corporate Finance, 2025, 94: 102831.
with Michael Imerman, Xiaoxia Ye, Journal of Corporate Finance, 2025, 94: 102831.
ESG Performance and Bond Return Volatility [Journal]
with Trevor Chamberlain, Zehua Zhang, and Lu Zhu, Journal of Financial Stability, 2025, 79: 101434.
with Trevor Chamberlain, Zehua Zhang, and Lu Zhu, Journal of Financial Stability, 2025, 79: 101434.
- Sydney Banking and Financial Stability Conference 2024.
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.
Selected Working Paper
Geopolitical Risk and Corporate Geographic Disclosure Obfuscation [SSRN]
with Jenny Li Zhang, Shuping Chen, and Chi Wan.
with Jenny Li Zhang, Shuping Chen, and Chi Wan.
- Abstract: We examine whether geopolitical risk affects the specificity of corporate geographic disclosure. Using a firm-year measure of revenue-weighted geopolitical exposure that combines FactSet destination sales with the Caldara and Iacoviello (2022) geopolitical risk index, we find that more exposed U.S. firms provide coarser geographic disclosures. This pattern holds for segment disclosures and 10-K country mentions, measured as cosine similarities between actual and reported geographic distributions. A difference-in-differences design around the 2018 U.S.-China trade war mitigates endogeneity concerns. Consistent with proprietary cost concerns, the effect is stronger for firms more exposed to domestic regulatory action, political and reputational stakeholder scrutiny, and foreign-government retaliation; consistent with capital-market monitoring, it is weaker under greater analyst coverage and institutional ownership. Obfuscation extends to conference calls and supply-chain disclosures. Among highly exposed firms, lower specificity is associated with larger analyst forecast errors, greater dispersion, and wider bid-ask spreads, indicating a deteriorating information environment.
Corporate Bond Market Reaction to Firms’ Disclosure of Derivative Usage
with Pia Gupta, Jeff J. Wang, and Lu Zhu. Revised and Resubmitted.
with Pia Gupta, Jeff J. Wang, and Lu Zhu. Revised and Resubmitted.
- Abstract: This study investigates private information in firms’ discretionary disclosure of derivative usage. Using textual analysis to capture derivative usage disclosure in 10-Ks, we find strong positive relationships between firms’ disclosure of derivative usage and both bond yields and bond volatilities in the secondary market. Our results are robust to alternative measures of derivative usage disclosure, alternative samples, and endogeneity controls. Further, we find that this positive relationship is attenuated after the implementation of Statement of Financial Accounting Standards No. 161 (SFAS 161). This finding suggests that bond market participants are less concerned about adverse selection in disclosure when regulatory changes increase market transparency by reducing information asymmetry. Additional cross-sectional analyses show that the observed positive relationship is more pronounced for firms with low hedging demand, low cash holdings, and high financial constraints.
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.
Institutional ESG Commitment Exposure and Corporate Bond Pricing
with Qianqiu Liu, Zehua Zhang, and Lu Zhu.
with Qianqiu Liu, Zehua Zhang, and Lu Zhu.
- Abstract: This paper examines whether corporate bond markets price ESG commitments differently when those commitments are institutionally salient. We define ESG Commitment Exposure as the product of a firm’s ESG performance and institutional ownership, capturing settings in which ESG policies are prominent and actively monitored by institutional investors. Using 38,201 U.S. corporate bond-year observations from 2002 to 2022, we find that ESG performance and institutional ownership are each associated with lower yield spreads and lower yield volatility, while ESG Commitment Exposure is associated with higher spreads and volatility. Economically, for a firm at the 95th percentile of institutional ownership, a one-standard-deviation increase in ESG Score is associated with a 0.34 percentage-point increase in yield spreads and a 0.24 percentage-point increase in yield volatility. The premium is concentrated on environmental and social dimensions, long-horizon institutional ownership, and PRI-oriented ownership. It is also stronger when ownership is dispersed and when ESG-oriented investors hold meaningful but non-dominant stakes. The evidence suggests that bondholders value ESG performance and institutional monitoring on average, but require compensation when ESG commitments are salient, persistent, and difficult to coordinate or adjust.
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
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
Illiquidity-driven Bond Return Synchronicity and Information Environment [Journal]
with Zhirui Song, Zehua Zhang. International Review of Economics and Finance, 2025, 104: 104600.
with Zhirui Song, Zehua Zhang. International Review of Economics and Finance, 2025, 104: 104600.
Carbon Emission and Idiosyncratic Risk: Role of Environmental Regulation and Disclosure [Journal]
with Qing Zhang, Zongyi Hu, Zehua Zhang. International Review of Financial Analysis, 2025, 105: 104419.
with Qing Zhang, Zongyi Hu, Zehua Zhang. International Review of Financial Analysis, 2025, 105: 104419.
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, 67(B): 105824.
with Chenxing Li, Zehua Zhang. Finance Research Letters, 2024, 67(B): 105824.
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").