ORCID Profile
0000-0002-4369-2129
Current Organisations
City University of Macau
,
Hong Kong University of Science and Technology
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Publisher: Springer Science and Business Media LLC
Date: 26-08-2010
Publisher: Informa UK Limited
Date: 04-02-2015
Publisher: SAGE Publications
Date: 23-05-2017
Abstract: Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel Hahn and Lee) and the three-factor model from Hou et al. We find significant evidence that both ICAPMs and Hou et al.’s three-factor model perform better when augmented with inflation than the original models. The augmented models achieve a good model fit with the fewest factors, thus avoiding or alleviating the over-fitting problem.
Publisher: Elsevier BV
Date: 04-2016
Publisher: Science Publications
Date: 02-2013
Publisher: SAGE Publications
Date: 20-09-2018
Abstract: We study the relationship between stock price synchronicity and information disclosure of firms listed in the Chinese stock market, using hand-collected data on firms’ official microblogging content in Sina Weibo, a popular microblogging service in China. We find that after controlling for the impact of traditional media, the number of Weibo tweets is related negatively to stock price synchronicity, indicating that stock prices incorporate firm-specific information disclosed in the firm’s official Weibo. Number of microblogging fans can strengthen this negative relationship. Our result is robust to alternative measures of stock price synchronicity, microblogging information disclosure, and to endogeneity issues. JEL Classification: G14, G15
Publisher: Wiley
Date: 29-04-2021
DOI: 10.1111/FIRE.12264
Abstract: This study investigates the relation between firm life cycle and trade credit. We find evidence that firms in the introduction, growth, and decline stages use significantly more trade credit, whereas firms in the mature stage use significantly less trade credit. Firm life cycle works as a separate channel to affect trade credit independently from other channels proposed in the literature. These results are robust to alternative regression specifications, alternative measures of life cycle and trade credit, and the endogeneity concern. Firms in the introduction and decline stages adjust trade credit to the target level quickly compared to others.
Publisher: Emerald
Date: 30-05-2023
DOI: 10.1108/IJMF-04-2022-0181
Abstract: This paper aims to empirically examine the impact of mandatory CSR disclosure on the CEO pay performance sensitivity. Using the mandatory requirement of CSR disclosure as an exogenous shock, the authors compare the changes in CEO pay performance sensitivity for treatment firms with control firms through a difference-in-difference (DiD) approach. The authors find that mandatory CSR disclosure enhances CEO pay performance sensitivity. The results also show that monitoring CEO power is a conduit through which mandatory CSR disclosure affects CEO pay performance sensitivity. The positive impact is more profound in firms with a powerful CEO, i.e. one who is politically well-connected, holds dual roles as both CEO and Chairman, and/or has had a long tenure. Furthermore, the increased CEO pay performance sensitivity after the mandate is prominent among state-owned enterprises (SOEs) only. The findings of this paper have implications for other economies with similar institutional backgrounds as China. Although the mandatory CSR disclosure does not require firms to spend on CSR investment, the mandatory CSR disclosure alters firm behaviour, and mitigates agency problems. This paper contributes to the studies on the impact of CSR disclosure on firms' behaviour. To the authors' knowledge, this is the first study to examine the effects of mandatory CSR disclosure on CEO pay performance sensitivity using the quasi-natural experiment settings.
Publisher: Wiley
Date: 28-10-2021
DOI: 10.1111/FIRE.12289
Abstract: We examine whether and how managerial ability affects trade credit (accounts payable, in particular). The empirical analyses show that firms with higher managerial ability are associated with an increase in trade credit received. We also find that the impact of managerial ability on accounts payable is stronger for firms having poorer credit quality or more binding financial constraints. Our findings are robust to alternative measures of key variables, financial crises, product characteristics, and endogeneity concerns.
Publisher: Wiley
Date: 22-12-2011
Publisher: Springer Science and Business Media LLC
Date: 19-04-2022
DOI: 10.1186/S40854-022-00350-9
Abstract: Through the lens of the stock market, we examine whether and how the cloud economy affects China’s economy. We review the literature on cloud computing and related concepts and propose a definition of the cloud economy. Based on this new definition, we create a China Cloud Economy Index (CCEI) and its sub-indices. Using stock market data from 2012 to 2020, we analyze the basic characteristics of these indices, their validity, and their relationship with the overall stock market. The robustness of the new index is also examined. We find that the relationship between the CCEI and the stock market had been getting stronger but weakened somewhat after January 11, 2019 plausibly because of the availability of recent cloud-related policies that have widened the gap between the market performance of CCEI and that of the stock market.
Publisher: Elsevier BV
Date: 12-2020
Publisher: Elsevier BV
Date: 12-2019
Publisher: Informa UK Limited
Date: 23-02-0015
Publisher: Wiley
Date: 13-07-2017
DOI: 10.1111/ACFI.12282
Publisher: Elsevier BV
Date: 04-2022
Publisher: Elsevier BV
Date: 02-2018
Publisher: Elsevier BV
Date: 07-2023
Publisher: Elsevier BV
Date: 05-2023
Publisher: Elsevier BV
Date: 06-2022
Publisher: Elsevier BV
Date: 08-2022
Publisher: Elsevier BV
Date: 02-2021
Publisher: Elsevier BV
Date: 2014
Publisher: Elsevier BV
Date: 08-2021
Publisher: Elsevier BV
Date: 04-2015
Publisher: Informa UK Limited
Date: 06-08-2009
Publisher: Wiley
Date: 22-07-2021
DOI: 10.1002/IJFE.1875
Abstract: This paper empirically studies the differences among the systematic risks of three asset pricing models, namely the mean–variance capital asset pricing model (MV‐CAPM), AS‐CAPM and FH‐CAPM. The last two are derived by replacing variance with the Aumann‐Serrano (AS) index and the Foster‐Hart (FH) as the risk measure in MV‐CAPM. We use the Dow Jones Industrial Average (DJIA) index as a proxy for the market portfolio, and its component stocks to check if the systematic risks and the Treynor measures are different. The monthly return data from January 1997 to October 2017 are used for empirical estimations. The results show that the three systematic risks are highly correlated. Similarly, high correlation is also found for the three Treynor measures. It seems that even though they are derived under different risk measures, they produce almost the same systematic risk and performance measure for in idual stocks. Therefore the findings of the present study suggest that any of the above measures can be used in empirical finance in the area of risk management. As this finding is different from those of other studies in the existing literature in this area, this study makes a contribution to the finance literature.
Publisher: Wiley
Date: 07-03-2023
DOI: 10.1111/JFIR.12322
Abstract: Under the stakeholder theory hypothesis, reputable corporate social responsibility (CSR) banks are expected to attract more loans and deposits, which in turn strengthens their ability to create liquidity. Our findings support this view. Further analyses reveal that the positive effect of CSR on liquidity creation differs depending on bank size, bank capital, and type of financial crisis. In addition, deposit growth, loan growth, lending rate, and funding rate are potential channels through which CSR influences bank liquidity creation. The findings are not driven by an endogeneity issue.
Publisher: Elsevier BV
Date: 09-2022
Publisher: Elsevier BV
Date: 05-2012
Publisher: Wiley
Date: 04-12-2022
DOI: 10.1111/FIRE.12332
Abstract: Failure to attract and retain skilled labor exposes firms to skilled labor risk. This paper examines whether and how skilled labor risk affects trade credit offered by suppliers. The empirical analyses show that firms with greater exposure to skilled labor risk are associated with a reduction in trade credit granted by suppliers. It is consistent with the view that the risk arising from the departures of skilled employees is detrimental to firms. A change in employees who are well‐connected with the suppliers undermines firms’ bargaining power with their suppliers. Organization capital, managerial ability, and financial constraint are important moderators.
Publisher: Wiley
Date: 26-10-2020
DOI: 10.1111/FIRE.12255
Publisher: Elsevier BV
Date: 2017
Publisher: Informa UK Limited
Date: 23-11-2016
Publisher: Inderscience Publishers
Date: 2015
Publisher: Wiley
Date: 10-08-2023
DOI: 10.1111/ACFI.13162
Abstract: Using factor models, we examine two pricing issues of cloud stocks in China's stock market. In particular, we test whether the Fama and French factor models are useful to explain the stock prices of cloud stocks and whether there are abnormal returns unexplained by these models. Using the daily stock prices of 1670 cloud stocks from 2012 to 2022, we find that the factor models explain up to nearly 97% of the stock return variations of the cloud stocks, and mispricing. The results are robust to alternative measure of factors, outliers, s ling period and different approaches of factor modelling.
Publisher: Wiley
Date: 12-12-2018
DOI: 10.1111/ACFI.12430
Publisher: Elsevier BV
Date: 02-2013
Publisher: Elsevier BV
Date: 09-2019
Publisher: Wiley
Date: 21-08-2023
DOI: 10.1111/ACFI.12995
Abstract: We examine how the peer effects arising not only from the leading firm but also from a slightly better performing firm affect the capital structure decisions of a firm. There is a large body of literature documenting the importance of peer effects, but it is unclear whether managers pay close attention to activities of slightly better performers. This study uses both book‐ and market‐value based approaches to estimate the peer effect measures. Our analysis shows that: (1) our peer effect measures induce the convergence of the follower firms' capital structure towards better performing firms and (2) the capital structure converges more towards a slightly better performer.
Publisher: Wiley
Date: 05-10-2016
DOI: 10.1111/ACFI.12238
Publisher: Elsevier BV
Date: 2021
Publisher: Elsevier BV
Date: 11-2019
Publisher: Elsevier BV
Date: 03-2010
Publisher: Elsevier BV
Date: 12-2006
Publisher: Informa UK Limited
Date: 26-02-2020
No related grants have been discovered for Adrian (Wai Kong) Cheung.