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This study presents a theoretical model that links chief executive officer (CEO) overconfidence to the value loss of corporate diversification. Consistent with the model’s prediction, the findings show that diversified firms run by overconfident CEOs experience value loss compared to diversified firms run by their rational counterparts. Empirically, the value loss is economically significant and ranges between 12.5% and 14.1% [...]
Journal of Banking and Finance,forthcoming (Panayiotis C. Andreou, Demetris Koursaros and Christodoulos Louca co-authors)
In this research authors show that institutional investors’ skill matters the most during high sentiment periods when market signals are noisy. The results reveal that fund managers with the highest (lowest) skill add (lose) $7.71 ($5.64) million of value [...]
JOURNAL OF PORTFOLIO MANAGEMENT,forthcoming (Feng Dong, co-author)
Corporate investment decisions are of critical importance to the fortunes of firms and CEOs’ own careers. In this study, we examine whether involuntary CEO replacements pay off by improving firm prospects. We find CEO successors’ acquisition investments [...]
FINANCIAL MANAGEMENT,forthcoming (G. Alexandridis, and C. Mavis, co-authors)
The Columbia Law School Blog :Theory and previous empirical studies suggest that CEO risk preferences affect hedging. We challenge this idea in a 5-year time series setting by using inside debt (i.e., CEO pension and deferred compensation) and the CEO Vega and CEO Delta, as proxies of CEO risk preferences, and document that [...]
JOURNAL OF INTERNATIONAL MONEY AND FINANCE,forthcoming (Sonik Mandal, co-author)
Is European fund management selectivity skill (1 − R2)profitable (alpha)? To examine this question, we use a sample of 2,947 actively managed domestic equity mutual funds from 11 European countries. We find that high fund selectivity generates significant investor gains. The results are robust to [...]
EUROPEAN FINANCIAL MANAGEMENT,forthcoming (Feng Dong, co-author)
It is often argued that the popularity of Alternative Investment Market (AIM) in terms of higher number of listings relative to the Main Market (MM) is mainly due to the strict listing requirements in the MM. During the 1995 to 2014 period [...]
JOURNAL OF INTERNATIONAL MONEY and FINANCE,forthcoming (Hafiz Hoque, co-author)
This study examines whether risk aversion-inducing CEO compensation motivates managers to pay more dividends regardless of investor preferences. Using inside debt (i.e., pensions and deferred compensation) and the sensitivity of CEO equity [...]
CORPORATE FINANCE, forthcoming (Deren Caliskan, co-author)
The security market line (SML) accords with the capital asset pricing model (CAPM) by taking on an upward slope in pessimistic sentiment periods, but is downward sloping during optimistic periods. We hypothesize that this finding obtains [...]
MANAGEMENT SCIENCE, forthcoming (Constantinos Antoniou and Avanidhar Subrahmanyam, co-authors)
Using a unique online currency transactions dataset, we examine the performance, trading activity, drawdown, and timing abilities of individual currency traders. Evidence from 428 accounts during the 2004-2009 period shows [...]
JOURNAL OF INTERNATIONAL MONEY and FINANCE, forthcoming (Boris S. Abbey co-author)
This paper examines the bonding effect of cross-listing before and after the stock market liberalization reforms in China. Consistent with the bonding hypothesis, we find that Chinese firms with foreign listings attain higher valuations than firms without foreign listings. We also find [...]
JOURNAL OF INTERNATIONALMONEY and FINANCE, 2014, 47, 162-184 (Liu Wang, co-author)
This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon Chinese stock market liberalization reforms in 2001 and 2002. In contrast with the [...]
PACIFIC-BASIN FINANCE JOURNAL, 2013, 21, 1116-1135 (Liu Wang, co-author)
This paper investigates the performance of carry trade strategies for currencies with non-deliverable forward (NDF) contracts. We find that carry trades for currencies with NDF [...]
JOURNAL OF INTERNATIONAL MONEY and FINANCE, 2013, 36, 172-190 (Hao Zhang, co-author)
This study examines whether technical currency trading by individual currency traders is profitable. The results show technical analysis is negatively associated with performance. Further, the technical trading model developed here adequately describes the cross-section of returns for individual currency traders. [...]
JOURNAL OF PORTFOLIO MANAGEMENT, 2012, 39, 1,142-150 (Abbey Boris, co-author)
We consider whether sentiment affects the profitability of momentum strategies. We hypothesize that news that contradicts investors’ sentiment causes cognitive dissonance, slowing the diffusion of such news. Thus, losers (winners) become [...]
JOURNAL OF FINANCIAL QUANTITATIVE ANALYSIS (Constantinos Antoniou and Avanidhar Subrahmanyam, co-authors)
This paper examines the motives of debt issuance during hot-debt market periods and its impact on capital structure over the period 1970–2006. We find that perceived capital market [...]
EUROPEAN FINANCIAL MANAGEMENT, 2011, 17, 46-99 (Michael Guo and Bilei Zhou, co-authors)
This paper examines the bonding effect of cross-listing before and after the stock market liberalization reforms in China. Consistent with the bonding hypothesis, we find that Chinese firms with foreign listings attain higher valuations than firms without foreign listings. We also find [...]
JOURNAL OF FINANCIAL QUANTITATIVE ANALYSIS , 45, 04, 2010 (C. Kim and C. Pantzalis, co-authors)
