This section lists my published papers, working papers, and works in progress. Links to papers are to the publicly available version which may not be the finalized version. Where applicable, I also share the link to the official journal version. Some projects listed in this section are not yet publicly available, but if you would like more detail on a project, please feel free to send me an email.
Research Interests: Financial Regulation, Household Finance, Corporate Finance, Networks, Empirical Asset Pricing
Selected Published & Forthcoming Papers
"Does Regulatory Jurisdiction Affect the Quality of Investment-Adviser Regulation?" with Alan Kwan and Tarik Umar. (2019). American Economic Review (2020 IF: 9.2). 109(10):3681-3712. DOI: 10.1257/aer.20180412. (Official Link. Referred to by a statement by SEC Commissioner Robert Jackson on June 5, 2019.)
Investment advisers switching from SEC to state regulator oversight due to the Dodd-Frank Act had around 30-40% more misconduct.
"Social connections with COVID-19-affected areas increase compliance with mobility restrictions" with Alan Kwan and Vesa Pursiainen. (2020). Science Advances (2020 IF: 13.1). 6(47):1-10. DOI: 10.1126/sciadv.abc3054. (Data: Facebook Data For Good. Media: 7th Space Family Portal, ScienMag, The Tyee, Daily Kos. NUS Links to the Research Summary: LinkedIn, Twitter, YouTube, Telegram.)
A one-standard-deviation increase in social connections with China and Italy - the first countries with major outbreaks of the virus – increases the effectiveness of mobility restrictions by around 50%.
"Bank of Japan Equity Purchases: The (Non-)Effects of Extreme Quantitative Easing" with Randall Morck and Yupana Wiwattanakantang. (2021). Review of Finance (2021 IF: 5.1). 25(3):713-743. (Twitter🧵. Official Journal Link. Research Digest. Referenced in a 2021 French Council of Economic Analysis report on what the ECB can do) DOI: 10.1093/rof/rfaa029. Runner-up for the IQAM Prize for the best investments paper in 2020/2021. Included in CFA Institute's report on ETFs and Systemic Risks.
The BOJ ETF purchase policy seems to have price effects but firms appear to "cash in" rather than increase tangible capital investment or R&D spending.
"The Impact of ride-hail surge factors on taxi bookings" with Sumit Agarwal, Shih-Fen Cheng, and Jussi Keppo. (2022). Transportation Research Part C: Emerging Technologies (2021 IF: 9.0). 136(March):103508. DOI: 10.1016/j.trc.2021.103508 (Twitter🧵. Official Journal Link.)
Incorporating surge factor data improves demand prediction and allocation of incumbent taxi providers and improves allocative efficiency.
"Not Coming Home: Trade and Economic Political Uncertainty in American Supply Chain Networks" with Jing Wu and Miaozhe Han. (2022). Manufacturing & Service Operations Management (2020 IF: 7.6). (Official Journal Link. Twitter🧵.Media: Sina, Reuters, CUHK Blog, The Economist)
Rather than move supply chain networks home, higher U.S. trade policy uncertainty instead predicts more supply chain movements abroad.
"Investment Plans, Uncertainty, and Misallocation" with Alan Kwan, Yosuke Kimura, and Eugene Tan. (R&R Journal of Financial Economics)
Presentations: AEA 2022, Asian Econometric Society 2021, ABFER 2021, 11th Rimini Macro-Finance, Barcelona GSE Summer Forum 2021, CICM 2021, NASMES 2021, ITAM Finance Conference 2021, VMACS Junior Conference, Brock University, University of Toronto
Firms' investment plans appear important for actual investment and respond to intra-fiscal year firm-level economic conditions, implying existing macroeconomic models with imperfect information overstate the importance of informational frictions.
"RegTech" with Zach Kowaleski, Alan Kwan, and Andrew Sutherland. (Oxford Business Law Blog. MIT Ideas Made to Matter. FintechImpact Podcast. Dash RegTech Insights 2022. Twitter.) (R&R Journal of Financial Economics)
Presentations: Columbia, Duke, MIT, OSU, Notre Dame, Villanova, UT Austin, RFS-GSU Fintech Conference, FARS 2022, APOCFW, HKUST (Guangzhou), 6th SFFS, Mannheim, HKU, Cincinnati
Rule 17-5a which compelled financial advisers to invest in regtech software, leads to a decrease in misconduct but may increase the market power of larger firms.
"Non-Performing Loan Disposals without Resolution" with Tianyue Ruan and Miao Meng. (Twitter🧵 & Follow-Up Tweet on the relevant 2021 National Audit Office Report. World Bank Blog, The Economist, The Indian Express, Epsilon Theory, ABFER Research Digest) (R&R Management Science)
Presentations: Reserve Bank of Australia, ABFER 2021, NBER Summer Institute 2021, CICF 2021, Singapore Scholar Symposium 2020, MoFiR Virtual Seminars on Banking 2021, Fed Board, CUHK, Korea University, SAIF, ABFER-Becker-Friedman Institute Webinar, NUS EAI
NPL transactions from banks to local asset management companies end up in the hands of bank borrowers, still exposing them to substantial financial distress risk.
"Public Forecasts, Internal Projections, and Corporate Financial Policy" with Alan Kwan and Yosuke Kimura. (R&R Review of Finance)
Presentations: AFA 2021, SFS Asia-Pacific 2019, Greater Bay Area Finance 2019, 2020 Japanese Economic Association Meeting, HKU, Renmin University, SAIF, CityUHK, HKUST
Compared to internal forecasts, public forecasts appear biased to trade-off between optimism in case of financial constraints versus pessimism to receive higher managerial payoffs.
"Ownership Networks and Bid-Rigging" with Kentaro Asai. (Twitter🧵. Blog. Media: Business Times.) (Submitted)
Presentations: 2019 Econometric Society Australasian Meeting, 2019 APIOC, ANU, University of Tokyo, Hitotsubashi
The effect of common ownership networks in public auctions on bid-rigging appears to increase the prices that government agencies pay.
"Active Mutual Fund Common Owners' Returns and Proxy Voting Behavior" with Zhenghui Ni and Qiaozhi Ye. (Submitted)
Presentations: NUS RMI 2021, FMCG 2022, AsianFA 2022
Actively-managed mutual funds investing with more common ownership have higher returns (gross and net of fees) and vote to reduce executive pay-performance sensitivity and for directors with appointments at competitors.
"Positive Risk-Free Interest Rates in Decentralized Finance" with Mike Kirby and Jonathan Reiter. (Referenced in a blog post here and here by David Rosenthal (ex-Chief Scientist of Nvidia), related Twitter🧵, Referenced in a Coppola Comment post by Frances Coppola) (Submitted)
Presentations: 2022 Global AI Finance Research Conference
Turing-complete languages face a halting problem a la Turing (1937) which also applies to whether a smart contract can be set up to guarantee a risk-free payment.
"Decentralized Stablecoin Design" with Mike Kirby and Jonathan Reiter. (Referenced in a blog post here by David Rosenthal (ex-Chief Scientist of Nvidia), Media: Seeking Alpha) (Reject & Resubmit)
We show that algorithmic stablecoins cannot be both safe and efficient at the same time.
"Foregone Consumption and Return-Chasing Investments" with Sumit Agarwal and Pulak Ghosh.
Presentations: EFA 2020, Boulder Household Conference 2019
Investors chase positive headline stock market index returns on the upside by increasing investment and decreasing consumption but do not respond on the downside.
Charoenwong, B., and Alan Kwan (2021). "Alternative Data, Big Data, and Applications to Finance". In P. Moon Sub Choi, S. H. Huang (Ed.), Fintech with Artificial Intelligence, Big Data, and Blockchain. Springer. https://link.springer.com/chapter/10.1007%2F978-981-33-6137-9_2
Charoenwong, B. (2021). COVID-19 in the global production network. In S. Agarwal, Z. He, B. Yeung (Ed.), Impact of COVID-19 on Asian economies and policy responses. (1st ed., pp. 172). World Scientific. https://doi.org/10.1142/12072.
Published Practitioner/Regional Papers
"Using Forensic Analytics and Machine Learning to Detect Bribe Payments in Regime-Switching Environments: Evidence from the India Demonetization" with Pooja Reddy. (2022). PloS one. DOI: 10.1371/journal.pone.0268965
The usefulness of forensic analytics depends crucially on the regulatory and institutional settings (legal tender bills).
"Foreign Financing, Exchange Rate Exposures, and Corporate Investment in Singapore" with Anisah Bte Abdul Rahmah Zamawi. (2021). Singapore Economic Review. DOI: 10.1142/S0217590822500059
The SGD cost of capital of Singaporean firms decrease when SGD depreciates; isolating the US-denominated debt component with a mechanical increase in cost of capital only weakly negatively associates with real investment.
"Digesting anomalies: A q-factor approach for the Thai market" with Sampan Nettayanan and Kanis Saengchote. (2021). Pacific-Basin Finance Journal. 69(October):10147. DOI: 10.1016/j.pacfin.2021.101647
Replicate the finding that the investment q-factor model seems to do a better job than Fama-French 6-factor model to explain a set of anomalies in Thailand.
“Do Higher-Frequency Data Always Help to Forecast Longer-Horizon Volatility?” with Gavin Guanhao Feng. (2017). Journal of Risk. 19(5):55-75. DOI: 10.21314/JOR.2017.360
Volatility models of different return horizons trade-off between the precision in model estimates and model misspecification.
"Debt in Tiered-Production Networks"
I build a model of network formation to study the impact of network shapes on the distribution of credit risk.
"Common Stock Ownership, the Value of Votes, and Private Benefits of Control"
I develop a model to price the value of voting claims embedded in common stock, separate from the cash flow component.
"Informational Role of Investment in Bankruptcy" with Hyunsoo Doh and Yiyao Wang.
Presentations: CICF 2018, SFS Cavalcade Asia-Pacific 2018, Chicago Booth, 13th Conference on Asia-Pacific Financial Markets
Debt overhang can have a positive information impact on debt value if secondary markets suffer from information asymmetry.