Research

Research Summary

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

Published & Forthcoming Papers

  1. "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. 136(March):103508. DOI: 10.1016/j.trc.2021.103508 (Tweetstorm. Official Journal Link.)

    • Incorporating surge factor data improves demand prediction and allocation of incumbent taxi providers and improves allocative efficiency.

  2. "Bank of Japan Equity Purchases: The (Non-)Effects of Extreme Quantitative Easing" with Randall Morck and Yupana Wiwattanakantang. (2021). Review of Finance. 25(3):713-743. (Tweetstorm. Official Journal Link. Research Digest.) 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.

  3. "Social connections with COVID-19-affected areas increase compliance with mobility restrictions" with Alan Kwan and Vesa Pursiainen. (2020). Science Advances. 6(47):1-10. DOI: 10.1126/sciadv.abc3054. (Data: Facebook Data For Good). 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%.

  4. "Does Regulatory Jurisdiction Affect the Quality of Investment-Adviser Regulation?" with Alan Kwan and Tarik Umar. (2019). American Economic Review. 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.

Working Papers

  1. "Not Coming Home: Trade and Economic Political Uncertainty in American Supply Chain Networks" with Jing Wu and Miaozhe Han. (Media: Sina, Reuters, China Review News Agency, Morningstar, CUHK Blog, The Economist)

    • Presentations: INFORMS

    • Rather than move supply chain networks home, higher U.S. trade policy uncertainty instead predicts more supply chain movements abroad.

  2. "Managing Expectations and Corporate Financial Policy" with Alan Kwan and Yosuke Kimura.

    • Presentations: AFA 2021, SFS Asia-Pacific 2019, Greater Bay Area Finance 2019, 2020 Japanese Economic Association Meeting, HKU, Renmin University, SAIF, CityUHK

    • Compared to internal forecasts, public forecast appear biased to trade-off between optimism in case of financial constraints versus pessimism to receive higher managerial payoffs.

  3. "Investment Plans, Uncertainty, and Misallocation" with Alan Kwan, Yosuke Kimura, and Eugene Tan.

    • 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 overstates the importance of informational frictions.

  4. "Hidden Non-Performing Loans in China" with Tianyue Ruan and Miao Meng. (World Bank Blog, The Economist, The Indian Express, Epsilon Theory, ABFER Research Digest)

    • Presentations: 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

    • 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.

  5. "RegTech" with Zach Kowaleski, Alan Kwan, and Andrew Sutherland.

    • Presentations: Columbia, Duke, MIT, OSU, Notre Dame, Villanova

    • 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.

  6. "Ownership Networks and Bid-Rigging" with Kentaro Asai. (Tweetstorm. Blog. Media: Business Times.)

    • 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 appear to increase prices that government agencies pay.

  7. "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.

  8. "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.

Works in Progress

  1. "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.

  2. "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.

Published Practitioner/Regional Papers

  1. 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.

  2. "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.

  3. "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 and isolating the US-denominated debt component with a mechanical increase in cost of capital only weakly negatively associates with real investment.

Book Chapters/Sections

  1. 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

  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.