WE ARE WORKING TO PROMOTE ISSUES RELATED TO GLOBAL AND REGIONAL FINANCIAL STABILITY.
Research Output related to systemic risk and related issues (refereed articles) of the IGF Associates.
2023 Select Research Work
Chen, W., Dai, L., & Tan, H. T. (2023). When does analyst reputation matter? Evidence from analysts’ reliance on management guidance. Journal of Business Finance and Accounting, 50(7-8).
Le, A. T., Le, T. H., Liu, W. M., & Fong, K. Y. (2023). Dynamic limit order placement activities and their effects on stock market quality. Annals of Operations Research, 330(1-2), 155-175. doi:10.1007/s10479-021-04282-y
Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johanneson, M., Kirchler, M., Bao, L. (2023). Non-Standard Errors. The Journal of Finance, Forthcoming.
Sojli, E., Tham, W. W., Schraeder, S., & Subrahmanyam, A. (2023). Equity Trading Activity and Treasury Bond Risk Premia. Journal of Financial and Quantitative Analysis, 58(2), 677. doi:10.1017/S0022109022000497
Tang, Q., & Yang, Y. (2023). Worst-case moments under partial ambiguity. ASTIN Bulletin, 53(2), 443-465. doi:10.1017/asb.2023.3
2022 Select Resarch Work
Chang, X., Chen, Y., & Masulis, R. W. (2022), Bank Lines of Credit as a Source of Long-Term Finance, Journal of Financial and Quantitative Analysis.
Didenko, A. N., & Buckley, R. P. (2022), Central bank digital currencies as a potential response to some particularly Pacific problems, Asia Pacific Law Review, 30(1), pp. 44-69.
Fong, K., Hong, H., Kacperczyk, M., & Kubik, J. D. (2022), Do Security Analysts Discipline Credit Rating Agencies?, The Review of Corporate Finance Studies, 11(4), pp. 815-848.
Gómez, F., Tang, Q., & Tong, Z. (2022), The gradient allocation principle based on the higher moment risk measure, Journal of Banking and Finance, 143.
Phin, A., Prono, T., Reeves, J. J., & Saxena, K. (2022), Shifts in beta and the TARP announcement, Finance Research Letters, 47.
Sojli, E., Tham, W. W., Schraeder, S., & Subrahmanyam, A. (2022), Equity Trading Activity and Treasury Bond Risk Premia, Journal of Financial and Quantitative Analysis.
Tang, Q., Tong, Z., & Xun, L. (2022), Insurance risk analysis of financial networks vulnerable to a shock, European Journal of Operational Research, 301(2), pp. 756-771.
Tang, Q., Tong, Z., & Xun, L. (2022), Portfolio risk analysis of excess of loss reinsurance, Insurance: Mathematics and Economics, 102, pp. 91-110.
2021 Select Research Work
Boehmer, E., Fong, K., & Wu, J. J. (2021), Algorithmic Trading and Market Quality: International Evidence, Journal of Financial and Quantitative Analysis, 56(8), pp. 2659-2688.
Le, A. T., Le, T. H., Liu, W. M., & Fong, K. Y. (2021), Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model, Annals of Operations Research, 297(1-2), pp. 241-275.
Saxena, K., & Barroso, P. (2021), Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios, The Review of Financial Studies.
Tang, Q., Tong, Z., & Yang, Y. (2021), Large portfolio losses in a turbulent market, European Journal of Operational Research, 292, pp. 755-769.
2020 Select Research Work
Barillas, F., Kan, R., Robotti, C., & Shanken, J. (2020), Model comparison with sharpe ratios, Journal of Financial and Quantitative Analysis, 55(6), pp. 1840-1874.
Cahill, D., Fong, K., Wee, M., & Yang, J. W. (2020), The role of implied volatility in liquidity provision, Australian Journal of Management, 45(1), pp. 45-71.
Chin, V., Gunawan, D., Fiebig, D. G., Kohn, R., & Sisson, S. A. (2020), Efficient data augmentation for multivariate probit models with panel data: an application to general practitioner decision making about contraceptives, Journal of the Royal Statistical Society. Series C: Applied Statistics, 69(2), pp. 277-300.
Feito-Ruiz, I., Renneboog, L., & Vansteenkiste, C. (2020), Elective stock and scrip dividends, Journal of Corporate Finance, 64, pp. 35-77.
Feldman, D., Saxena, K., & Xu, J. (2020), Is the Active Fund Management Industry Concentrated Enough?, Journal of Financial Economics, 136(1), pp. 23-43.
Jang, Y., & Lee, K. (2020), Taking a Long View: Investor Trading Horizon and Earnings Management Strategy, International Review of Finance.
Le, A. T., Le, T. H., Liu, W. M., & Fong, K. Y. (2020), Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment, International Review of Financial Analysis, 72.
Li, H., & Tang, Q. (2020), Joint Extremes in Temperature and Mortality: A Bivariate POT Approach, North American Actuarial Journal, 26(1), pp. 43-63.
Li, X., Liu, H., Tang, Q., & Zhu, J. (2020), Liquidation risk in insurance under contemporary regulatory frameworks, Insurance: Mathematics and Economics, 93
