A publication titled “Leadership in a pandemic: Do more able managers keep firms out of trouble?” on Journal of Behavioral and Experimental Finance by Harvey Nguyen, Mia Pham and co-authors in March 2023

Abstract

The Coronavirus crisis has led to unprecedented economic shocks to the corporate world and challenged how corporate management contributes to business resilience amid the pandemic. Employing a novel measure of managerial ability constructed for a large sample of U.S. publicly listed firms, we document that firms led by higher managerial ability exhibit lower stock return volatility, higher operating performance, and lower levels of default risk amid the pandemic. A difference-in-differences analysis suggests that the impact of managerial ability on firm performance is stronger during the pandemic than during the pre-pandemic period. The effect of managerial competency on corporate resiliency is more pronounced among firms that have high exposure to COVID-19. In addition, firms led by high managerial competency management are associated with higher stock liquidity and are less likely to exhibit employment, healthcare, safety, and consumer protection related violations amid the pandemic.

A publication titled “Are sustainable investments interdependent? The international evidence” on Economic Modelling by Thi Thu Ha Nguyen and co-authors in February 2023

Abstract

The rising concerns about climate change and environmental degradation have urged various stakeholder to focus on sustainable investments that are facing a drag from the Covid-19 pandemic. Since environmental and Covid-19 challenges are global, it is critical to assess the interlinkages of sustainable investments. In this research, we employ the dependence, centrality, and dynamic network approach to examine the interdependence and its determinants across multiple countries between January 2009 and March 2021. The findings indicate France as the lead risk transmitter while Japan and Taiwan show risk reception among international markets. We observe an increase in dependence during economic turmoil notably in Covid-19 episode. The centrality network revealed the prominent significance of sustainable investments in the European countries that can be attributed to their exceptional efforts to combat the climate change. Finally, our results suggest that the volatility in gold prices is the key driver of interdependence of sustainable investments.

A publication titled “Escaping Air Pollution: Immigrants, Students, and Spillover Effects on Property Prices Abroad” on Review of Finance by Candie Chang and co-authors in November 2022

Abstract

We construct a time series of news coverage about air pollution in China for the period 1977–2019. Our measure of abnormal news coverage (ANC) of China’s air pollution is uncorrelated with growth in economic activity or cyclical components of such activity, but strongly correlated with weather-related and atmospheric conditions known to cause air pollution. ANC is associated with more capital flight from China. Focusing on the USA as a destination country, we find that ANC is associated with more Chinese citizens emigrating to US regions with stronger ethnic links to China, and more international students enrolling in US institutions with stronger Chinese student links. US regions with stronger ethnic or educational ties to China experience higher property price growth when ANC is higher. Our study suggests that perception of local environmental risk can have major consequences for the cross-border reallocation of capital and labor.

A publication titled “Climate events and return comovement” on Journal of Financial Markets by Ben Marshall, Harvey Nguyen, Nuttawat Visaltanachoti and co-authors in November 2022

Abstract

We show that individual stock returns comove more with market returns when there are climate disasters such as hurricanes and floods. Comovement increases in the month of and the month following the disaster before declining back to normal levels. The disaster impact is stronger in recessions and crisis periods but is evident in all periods. The increased return correlation stems more from an increase in covariance than an increase in stock or market standard deviation. Moreover, we show climate events have a greater impact on comovement in stocks with greater sensitivity to their local economy and higher information asymmetry.

A publication titled “Retail investor attention and corporate green innovation: Evidence from China” on Energy Economics by George Wu and co-authors in November 2022

Abstract

This paper investigates whether retail investor attention promotes or inhibits corporate green innovation. Using Chinese nonfinancial public listed firms from 2011 to 2020, we find that retail investor attention significantly positively impacts corporate green innovation. This finding still holds after a series of robustness tests for possible endogeneity concerns, alternative explanatory variables, and regression methods. We further verify that retail investor attention increases corporate green innovation by increasing information transparency, alleviating financing constraints and deterring agency costs. Cross-sectional heterogeneity analysis further supports our channel test, in which our results are pronounced for firms with less information asymmetry, higher reputation capital and better corporate governance characteristics. Our results shed essential insight into sustainable and green growth from a micro enterprise perspective in the digital economic era.

A publication titled “CSR and idiosyncratic risk: Evidence from ESG information disclosure” on Finance Research Letters by George Wu and co-authors in October 2022

Abstract

Using the corporate social responsibility (CSR) report disclosure as an external shock on investors’ heterogeneous belief in China, we find that firms with environmental, social and governance (ESG) information disclosure have lower idiosyncratic risk than their counterparts. This finding is robust to the parallel-trend assumption, placebo test, PSM-DID design, and alternative idiosyncratic risk calculation. We conclude that CSR engagement could reduce firms’ idiosyncratic risk by providing additional nonfinancial information to reduce investors’ opinion divergence.

A publication titled “Green bonds and implied volatilities: Dynamic causality, spillovers, and implication for portfolio management” on Energy Economics by Hung Do and co-authors in August 2022

Abstract

The long-term and sustainable development focuses of green bond together with its increasing popularity drives the need for a better understanding of its hedging effects against market risks. Our study investigates whether and how green bond can act as a hedging instrument against implied volatility, a measure of forward-looking market uncertainty. We find evidence of significant time-varying connectedness between green bond and implied volatilities of the stock, energy, and commodity markets. Building on this characteristic, investors are required to adopt an active portfolio management strategy to ensure the hedging effectiveness of green bond against implied volatilities. Specifically, this strategy requires frequent switches between long and short positions in the green bond market. Our simple simulation study shows evidence that applying connectedness regime-dependent trading strategies can increase the hedging effectiveness of green bond against implied volatilities in terms of risk-adjusted returns.

A publication titled “Natural Disasters, Trade Credit, and Firm Performance” on Economic Modelling by Hamish Anderson and co-authors in August 2022

Abstract

With the increasing frequency and intensity of destructive weather events, firms’ access to financing following disasters is critical. Few studies have investigated firms’ access to trade credit after natural disasters. We examine whether and how natural disasters, particularly urban floods, affect firms’ trade credit. Using a sample of Chinese companies from 2014 to 2019, we provide robust evidence that trade credit goes up after the occurrence of a flood disaster, an effect lasting about two years. The increase in trade credit is more pronounced for nonstate-owned, politically unconnected firms and firms located in areas with higher trust and collectivism. Channel analysis shows that the positive relationship is primarily due to credit constraints, confirming the substitution hypothesis of trade credit. Following a disaster, firms with access to additional trade credit experience a significant increase in firm performance. Our results are robust to endogeneity concerns and alternative explanations.

A publication titled “LGBT policy, investor trading behavior, and return comovement” on Journal of Economic Behavior & Organization by Hung Do and co-authors in April 2022

Abstract

Investors are attentive to lesbian, gay, bisexual, and transgender (LGBT) topic and a firm’s adoption of LGBT-supportive policy. Using a sample of new LGBT adopters from KLD database, we show that mutual funds with a strong (weak) preference for LGBT stocks increase (decrease) their holdings in new LGBT adopters and receive more (less) capital flows when investor sentiment toward LGBT is high. We also find significant evidence that LGBT-induced trading activities lead to comovements in stock returns and share turnover. Specifically, LGBT adopters experience an increase (decrease) in return comovement with a portfolio of existing (non-) LGBT stocks. Our additional analyses based on an alternative sample from the Human Rights Campaign yield consistent results and suggest that investors consider not only the presence or lack of LGBT-supportive policy in a firm but also its LGBT performance when they make trading decisions. This research makes an important contribution to our limited understanding of the LGBT policy effect on investors, a key group of the firm’s stakeholders.