Work-in-Progress:
1. Dinner Table Alphas with Sean Cao (Maryland), Huaizhi Chen (UT Dallas), and Lauren Cohen (Harvard)
-- Draft Coming Soon!
2. Government Data and Financing: Insights from Internal Controls with Sean Cao (Maryland) and Anya Nakhmurina (Yale)
-- PhD Second-Year Paper
-- Draft Coming Soon!
Abstract: We investigate the economic consequences of data breaches on U.S. local governments. Using a stacked difference-in-differences design, we find that breached municipalities experience an increase in municipal bond yield spreads. The effect is concentrated in municipalities with pre-existing weaknesses in general or information system-specific internal controls, suggesting that well-maintained internal controls may mitigate the adverse financing impact of a data breach within government organizations. However, despite such benefits, we find little evidence of internal control improvements among breached municipalities with weak controls. Instead, these municipalities reduce both total expenditures and administrative spending that includes internal control functions in the years after a breach. Overall, our results raise concerns about local governments’ data breach preparedness, which can potentially compromise public service provision.
Presentation: FARS Midyear 2026 (scheduled), LBS Transatlantic Doctoral Conference 2025, Eastern FA 2025, Hanyang Accounting Research Symposium 2025*, SGF 2025, Australasian Finance and Banking Conference 2024, Inter-Finance PhD Seminar 2024, Sydney Banking and Financial Stability Conference 2024, University of Macau^, University of Maryland
3. What Drives the Dynamics of CSR Returns? with Renxuan Wang (CEIBS), Russ Wermers (Maryland), and Ruoke Yang (SEC)
-- Draft Coming Soon!
Abstract: We investigate the dynamic relation between the level of corporate social responsibility (CSR) of firms and their stock returns. Using two recently published papers that reach opposite conclusions on this relation to illustrate, we show that a key driver of the returns to CSR investing is the dynamic nature of factor loadings of high-CSR-score stocks; for example, high-CSR stocks experienced a large shift from growth to value during the Global Financial Crisis. Next, we show that CSR returns are largely driven by aggregate discount-rate news, as compared to cash flow news, which reinforces that investor preferences for CSR, and their corresponding returns, are highly time-varying. Finally, we analyze flows to socially responsible (SR) mutual funds, and find evidence consistent with the documented return patterns: SR funds face outflows during economic downturns.
Presentation: CICF 2025^, Junior Academics Research Seminars (JARS) in Finance 2025, NYU Stern Summer Climate Finance Conference 2025, CEIBS Finance/Accounting Symposium 2025
4. Negative Sentiment and Aggregate Retail Trading: Evidence from Mass Shootings
-- PhD First-Year Summer Paper (Resting)
Abstract: I analyze the role of sentiment in aggregate retail investors’ trading activity. Using mass shootings in the U.S. as exogenous, non-economic, and negative shocks to investor sentiment, I find that retail investors on average net sell stocks of firms headquartered in the states where mass shootings took place in the previous week ("local'' stocks). During the week after mass shootings, local stocks experience around 8% of the sample mean decrease in daily retail share volume order imbalance. Consistent with lower sentiment-driven trading, the retail net divestment from local stocks increases in the number of victims from mass shootings, and is more pronounced following unsolved shootings and shootings with teenage victims. However, such trading behavior does not seem to be rational, as local mass shootings have little impact on local firms' financial and operating performances, as well as local economic conditions. Finally, institutional investors do not react to mass shootings, which suggests that retail investors are more prone to sentiment.
Presentation: Asian Meeting of the Econometric Society in China 2023, Asian FA 2023*, FMA 2023, Financial Market and Corporate Governance Conference 2023, International Conference of the French Finance Association PhD Workshop 2023, SGF PhD Poster Session 2023, World Finance Conference 2023, AFA Poster Session 2024, University of Maryland
*: cancelled due to visa reasons
^: presented by coauthors