Work-in-Progress:
1. Time-varying CSR-Return Dynamics with Renxuan Wang (CEIBS), Russ Wermers (Maryland), and Ruoke Yang (SEC)
2. Information Loss in Local Governments: Financing and Community Impact with Sean Cao (Maryland) and Anya Nakhmurina (Yale)
Abstract: We investigate the impact of information loss on U.S. local governments. By examining data breaches in municipal governments, we find that affected municipalities experience higher costs of capital after the breach. This rise in municipal bond yield spreads is particularly pronounced for financially constrained municipalities with a high share of minority populations. Consistent with increased bond spreads forcing expenditure reallocation, the aforementioned disadvantaged municipalities experience a substantial rise in interest payments while simultaneously reducing expenditure on police and fire protection services, which leads to higher local crime rates and increased monetary loss from fire incidents. We further find that strong internal controls and IT management can mitigate the increase in financing costs, consistent with better-managed local governments being less impacted by information loss.
Presentation: University of Maryland Finance Brownbag, University of Maryland Accounting PhD Workshop (scheduled), Inter-Finance PhD Seminar (scheduled), Australasian Finance and Banking Conference 2024 (scheduled)
3. Negative Sentiment and Aggregate Retail Trading: Evidence from Mass Shootings
-- PhD First-Year Summer Paper
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: AFA Poster Session 2024, SGF PhD Poster Session 2023, FMCG 2023, AFFI PhD Workshop 2023, AMES China 2023, Asian FA 2023 (Cancelled due to visa reasons), World Finance Conference 2023, FMA 2023, University of Maryland Finance Brownbag, University of Maryland Accounting PhD Workshop
1. Time-varying CSR-Return Dynamics with Renxuan Wang (CEIBS), Russ Wermers (Maryland), and Ruoke Yang (SEC)
2. Information Loss in Local Governments: Financing and Community Impact with Sean Cao (Maryland) and Anya Nakhmurina (Yale)
Abstract: We investigate the impact of information loss on U.S. local governments. By examining data breaches in municipal governments, we find that affected municipalities experience higher costs of capital after the breach. This rise in municipal bond yield spreads is particularly pronounced for financially constrained municipalities with a high share of minority populations. Consistent with increased bond spreads forcing expenditure reallocation, the aforementioned disadvantaged municipalities experience a substantial rise in interest payments while simultaneously reducing expenditure on police and fire protection services, which leads to higher local crime rates and increased monetary loss from fire incidents. We further find that strong internal controls and IT management can mitigate the increase in financing costs, consistent with better-managed local governments being less impacted by information loss.
Presentation: University of Maryland Finance Brownbag, University of Maryland Accounting PhD Workshop (scheduled), Inter-Finance PhD Seminar (scheduled), Australasian Finance and Banking Conference 2024 (scheduled)
3. Negative Sentiment and Aggregate Retail Trading: Evidence from Mass Shootings
-- PhD First-Year Summer Paper
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: AFA Poster Session 2024, SGF PhD Poster Session 2023, FMCG 2023, AFFI PhD Workshop 2023, AMES China 2023, Asian FA 2023 (Cancelled due to visa reasons), World Finance Conference 2023, FMA 2023, University of Maryland Finance Brownbag, University of Maryland Accounting PhD Workshop