Category Archives: Publications

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 airContinue reading “Escaping Air Pollution: Immigrants, Students, and Spillover Effects on Property Prices Abroad”

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 followingContinue reading “Climate events and return comovement”

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 significantlyContinue reading “Retail investor attention and corporate green innovation”

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 disclosureContinue reading “CSR and idiosyncratic risk”

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 marketContinue reading “Green bonds and implied volatilities”

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 whetherContinue reading “Natural Disasters, Trade Credit, and Firm Performance”

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,Continue reading “LGBT policy and return comovement”

A publication titled “Being nice to stakeholders: The effect of economic policy uncertainty on corporate social responsibility“ on Economic Modelling by George Wu and co-authors in March 2022 Abstract Economic policy uncertainty (EPU) is an important source of risk and affects various firm decisions and the macro economy. However, existing studies provide no consensus on theContinue reading “The Effect of EPU on CSR”

A publication titled “Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach” on Finance Research Letters by Thi Thu Ha Nguyen and co-authors in November 2021 Abstract The paper documents the asymmetric relationship between green bonds and commodities via the cross-quantilogram approach. Given the heterogeneity nature of individual commodities, we employ threeContinue reading “Green bonds and commodities”

A publication titled “Do climate risks matter for green investment?” on Journal of International Financial Markets, Institutions and Money by Ben Marshall, Harvey Nguyen, Nuttawat Visaltanachoti, Martin Young and co-authors in November 2021 Abstract We consider the degree to which climate disasters influence investor behavior. Using data on events such as hurricanes and floods, weContinue reading “Do climate risks matter for green investment?”