| Title | Journal | Date | Author | Abstract | Link |
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| Survive the economic downturn: operating flexibility, productivity, and stock crash | Journal of Operations Management | 2025 | Yang Li, Xiaojun Wang, Fangming Xu, Tuan Ho | Operating flexibility supports a firm's resilience strategy during challenging times by enabling them to promptly cut down operating costs associated with unproductive resources. We employ a real options model to formalize this insight. Our empirically grounding analytics motivate a firm-level proxy for downscale operating flexibility (FLEX), which effectively captures the adjustment frictions across different contexts of firms' operations. Using U.S. data between 1961 and 2020, we show that operating flexibility mitigates the risk of stock price crashes, especially during periods of economic recession. Consistent with the loss-curtailment mechanism, the operating flexibility effect is more pronounced for firms with lower productivity/profitability or higher operating leverage and is further amplified during longer and more severe recessions. Managers may avail themselves of our well-tested empirical measure of operating flexibility to guide their efforts in building a more resilient operations structure. | View Infographic |
| Nonstandard errors | Journal of Finance | 2024 | Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüß, Michael Razen, Utz Weitzel, Fincap Team, Fearghal Kearney, Tony Klein, Liangyi Mu, and others | In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty--nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants. | View Infographic |
| Why did shareholder liability disappear? | Journal of Financial Economics | 2024 | David A. Bogle, Gareth Campbell, Christopher Coyle, John D. Turner | Why did shareholder liability disappear? We address this question by looking at its use by British insurance companies until its complete disappearance. We explore three possible explanations for its demise: (1) regulation and government-provided policyholder protection meant that it was no longer required; (2) it had become de facto limited; and (3) shareholders saw an opportunity to expunge something they disliked when insurance companies grew in size. Using hand-collected archival data, our findings suggest investors attached a risk premium to companies with shareholder liability, and it was phased out as insurance companies expanded, which meant that they were better able to pool risks. | View Infographic |
| Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns | IEEE Transactions on Evolutionary Computation | 2024 | Weilong Liu, Yong Zhang, Kailong Liu, Barry Quinn, Xingyu Yang, Qiao Peng | With the advent of Big Data, managing large-scale portfolios of thousands of securities is one of the most challenging tasks in the asset management industry. This study uses an evolutionary multi-objective technique to solve large-scale portfolio optimisation problems with both long-term listed and newly listed securities. The future returns of long-term listed securities are defined as random variables whose probability distributions are estimated based on sufficient historical data, while the returns of newly listed securities are defined as uncertain variables whose uncertainty distributions are estimated based on expert knowledge. Our approach defines security returns as theoretically uncertain random variables and proposes a three-moment optimisation model with practical trading constraints. In this study, a framework for applying arbitrary multi-objective evolutionary algorithms to portfolio optimisation is established, and a novel evolutionary algorithm based on large-scale optimisation techniques is developed to solve the proposed model. The experimental results show that the proposed algorithm outperforms state-of-the-art evolutionary algorithms in large-scale portfolio optimisation. | View Infographic |
| British CEOs in the twentieth century: aristocratic amateurs to fat cats? | Business History Review | 2024 | Robin J. C. Adams, Michael Aldous, Philip T. Fliers, John Turner | This article uses a prosopographical methodology and new dataset of 1,558 CEOs from Britain’s largest public companies between 1900 and 2009 to analyse how the role, social background, and career pathways of corporate leaders changed. We have four main findings: First, the designation of CEO only prevailed in the 1990s. Second, the proportion of socially elite CEOs was highest before 1940, but they were not dominant. Third, most CEOs did not have a degree before the 1980s, or professional qualification until the 1990s. Fourth, liberal market reforms in the 1980s were associated with an increase in the likelihood of CEO dismissal by a factor of three. | View Infographic |
| Lurking in the shadows: The impact of CO2 emissions target setting on carbon pricing in the Kyoto agreement period | Energy Economics | 2023 | Barry Quinn, Ronan Gallagher, Timo Kuosmanen | This paper is a case study of the impact of CO2 emissions target setting. We empirically investigate the targets set during the Kyoto Protocol period using a convex nonparametric least squares system, quantile regressions, and a comprehensive data set of 125 countries. Our findings reveal CO2 marginal abatement costs, which: (1) are significantly higher for target setting countries; (2) increase over the sample period; (3) and are an order of magnitude greater than the prevailing emissions pricing mechanisms. The results provide insights into the consequences of policies to curb unwanted by-products in a regulated system and shed light on the price efficiency of carbon markets. Furthermore, we contribute to the debate on emission reduction standard-setting and highlight the importance of shadow price estimates when regulating market instabilities in an emission trading scheme. | View Infographic |
| Do global COVOL and geopolitical risks affect clean energy prices? Evidence from explainable artificial intelligence models | Energy Economics | 2025 | Sami Ben Jabeur, Yassine Bakkar, Oguzhan Cepni | We investigate the impact of global common volatility and geopolitical risks on clean energy prices. Our study utilizes daily data from January 1, 2001, to March 18, 2024. Using a new framework based on explainable artificial intelligence (XAI) methods, our findings demonstrate that the COVOL index outperforms the geopolitical risk index in accurately predicting clean energy prices. Furthermore, the Extreme Trees algorithm shows superior performance compared to traditional regression techniques. Our findings indicate that XAI improves transparency, thereby making a substantial contribution to agile decision-making in predicting clean energy prices. Practitioners, including investors and portfolio managers, can enhance investment decisions and manage systemic risks by incorporating COVOL into their risk assessment and asset allocation models. | View Infographic |
| How do institutional settings condition the effect of macroprudential policies on bank systemic risk? | Economics Letters | 2021 | Nicholas Apergis, Ahmet F. Aysan, Yassine Bakkar | This paper investigates the impact of different country-traits of the effects of macroprudential policies on systemic risks in OECD countries. The analysis documents that institutional quality, high capital stringency, and moderate supervision support macroprudential policies in mitigating systemic risks, depending on macroprudential instruments in force. Institutional, regulatory and supervisory frameworks differently affect the effectiveness of lender--vis-a-vis borrower-targeted policies. | View Infographic |
| Momentum and the cross-section of stock volatility | Journal of Economic Dynamics and Control | 2022 | Minyou Fan, Fearghal Kearney, Youwei Li, Jiadong Liu | Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called momentum crashes. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect. We propose a new approach, generalised risk-adjusted momentum (GRJMOM), to mitigate the negative impact of high momentum-specific risks. GRJMOM is proven to be more profitable and less risky than existing momentum ranking approaches across multiple asset classes, including the UK stock, commodity, global equity index, and fixed income markets. | View Infographic |
| HIV treatment and worker absenteeism: Quasi-experimental evidence from a large-scale health program in South Africa | Journal of Health Economics | 2021 | Dominik Jockers, Sarah Langlotz, Declan French, Till Barnighausen | Over the past decade, large-scale HIV antiretroviral therapy (ART) programs have proven hugely successful in improving life expectancy for people living with HIV. However, the extent to which treatment allows patients to maintain a productive work life remains an open question. We apply an instrumental variable method based on individual CD4 counts and exogenously changing treatment guidelines to identify the causal effect size of ART on health-related absenteeism rates among workers living with HIV. We use monthly data from the occupational health program of one of the world’s largest mining companies in South Africa (128,052 observations among 1,924 workers, from 2009 to 2017). Eighteen months after HIV treatment initiation, antiretroviral therapy significantly reduces absenteeism by 1.033 days per worker and month. Using publicly available wage and treatment cost data, we find that the cost savings due to the absenteeism effect of ART alone outweigh treatment costs in the mining sector in several Sub-Saharan African countries. | View Infographic |
| Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces | International Journal of Forecasting | 2022 | Han Lin Shang, Fearghal Kearney | This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchange markets. We find that dynamic functional principal component analysis generally improves out-of-sample forecast accuracy. Specifically, the dynamic univariate functional time-series method shows the greatest improvement. Our models lead to multiple instances of statistically significant improvements in forecast accuracy for daily EUR-USD, EUR-GBP, and EUR-JPY implied volatility surfaces across various maturities, when benchmarked against established methods. A stylised trading strategy is also employed to demonstrate the potential economic benefits of our proposed approach. | View Infographic |
| Modeling and predicting failure in US credit unions | International Journal of Forecasting | 2025 | Qiao (Olivia) Peng, Donal McKillop, Barry Quinn, Kailong Liu | This study presents a random forest (RF)-based machine learning model to predict the liquidation of US credit unions one year in advance. The model demonstrates impressive accuracy on the test set (97.9% accuracy, with 2.0% false negatives and 8.8% false positives) when utilizing all 44 factors. Simplifying the model to only the top five factors based on feature importance analysis results in a slightly lower, but still significant, accuracy on the test set (92.2% accuracy, with 7.8% false negatives and 17.6% false positives). Comparisons with seven other classification methods verify the superiority of the RF model. This study also uses the Cox proportional-hazards model and Shapley value-based approaches to interpret key feature significance and interactions. The model provides regulators and credit unions with a valuable early warning system for potential failures, enabling corrective measures or strategic mergers to ultimately protect the National Credit Union Share Insurance Fund. | View Infographic |
| Does real flexibility help firms navigate the Covid-19 pandemic? | The British Accounting Review | 2023 | Tuan Ho, Kirak Kim, Yang Li, Fangming Xu | Building on the investment-based asset pricing framework, we show that firms' ability to timely scale down their operations reduces the sensitivity of their equity value to large adverse productivity shocks. Using U.S. data in the times of the COVID-19 pandemic, we provide empirical evidence consistent with our model's predictions. Real flexibility curbs losses in firm value and reduces return volatility, especially for firms with high book-to-market or high COVID-19 exposure, consistent with the idea that the benefits of real flexibility are associated primarily with contraction options during the COVID-19 crisis. Our analysis shows that real flexibility provides incremental and complementary protection beyond financial flexibility. Besides its impact on stock prices, real flexibility also helps firms sustain earnings during 2020, compared with 2019 when the pandemic had not struck. Our work demonstrates that real flexibility is an important tool for corporate managers in navigating episodes of disasters. | View Infographic |
| Macroeconomic news and price synchronicity | Journal of Empirical Finance | 2023 | Arbab K. Cheema, Arman Eshraghi, Qingwei Wang | Stock price synchronicity is a critical consideration for asset allocation, risk assessment, and hedging decision. We present novel evidence that individual stock returns comove more persistently on certain days of the week. Specifically, we show that release of macroeconomic news on Mondays, which typically see fewer announcements, leads to such stronger comovement, and that this is distinct from the Monday effect typically discussed in the literature. This synchronicity is more pronounced among large, old and low volatility firms, in both up- and down-market conditions. We argue this effect is partly due to 'simultaneous contrast', i.e., perception of stimulus depending on its surrounding environment. Monday announcements have a larger impact just as thunder in a quiet night sounds louder. Our findings are robust after controlling for day-of-the-week effects, economic uncertainty, risk aversion, investor sentiment, short-selling constraints and proxies for attention to news. | View Infographic |
| Borrower- and lender-based macroprudential policies: What works best against bank systemic risk? | Journal of International Financial Markets Institutions and Money | 2022 | Nicholas Apergis, Ahmet F. Aysan, Yassine Bakkar | This paper investigates the complementarity between the different macroprudential policies to contain bank systemic risk. We use a newly updated version of the IMF survey on Global Macroprudential Policy Instruments (GMPI). By disentangling the aggregate macroprudential policy index, we assess the complementarity between borrower-targeted and lender-targeted instruments in mitigating systemic risk arising from intra-financial system vulnerabilities. We investigate the effect of boom-bust cycle on such a relationship by analyzing the financial upturns and downturns and show the effectiveness of the macroprudential policies during calm period. We also show that their efficacy in mitigating instability is quite heterogeneous and may vary depending on the set of tools implemented, as well as bank size, TBTF, leverage, liquidity and concentration. Our results bear critical policy implications for implementing optimal macroprudential tools and provide insights into the trade-off between financial vis-a-vis price stability. | View Infographic |
| Direction-of-change forecasting in commodity futures markets | International Review of Financial Analysis | 2021 | Jiadong Liu, Fotis Papailias, Barry Quinn | This paper examines direction-of-change predictability in commodity futures markets using a variety of binary probabilistic techniques. As well as traditional techniques, we apply Variable Length Markov Chain (VLMC) analysis, an innovative technique popularised in computational biology when predicting DNA sequences (Buhlmann & Wyner, 1999). To the best of our knowledge, this is the first application of VLMC in finance. Our results show that both VLMC and technical analysis methods provide strong predictability of the direction-of-change of commodity returns, with annualised mean returns of approximately 8%, substantially higher than the passive long strategy. Our results suggest that a short-term learning effect is present in commodities market which can be exploited using innovative direction-of-change forecasting techniques. | View Infographic |
| Dividend or growth funds: what drives individual investors' choices? | International Review of Financial Analysis | 2021 | Dun Han, Liyan Han, Yanran Wu, Pei Liu | We study dividend fund buying behavior using over 80,000 individual Chinese mutual fund investors from a private Chinese mutual fund account dataset. Based on a variety of specifications and logistic regressions, we empirically investigate investors' characteristics in choosing dividend-paying and/or growth mutual funds under different market scenarios. To the best of our knowledge, this research represents an initial attempt to study individual dividend investors in mutual fund markets. We find that older Chinese investors prefer dividend-paying funds less than growth funds, but this depends on different market conditions, and the age effect shows a nonlinear mode when considering age grouping. Moreover, investors' prior experience plays a crucial role in choosing the fund type; however, the conclusions vary with market scenarios. In addition, female investors prefer more dividend-paying funds than do male investors, but investing experience counteracts this difference. We also find that geographic location is a contributor when investors decide the fund type. | View Infographic |
| Corporate diversification, refocusing and shareholder voting | International Review of Financial Analysis | 2021 | Yerzhan Tokbolat, Hang Le, Steve Thompson | We examine if shareholders' attitude towards firm diversification strategy is revealed in their votes on management-initiated acquisition and divestment proposals using data on voting by shareholders of UK public firms between 1997 and 2019. We find that voting dissent is higher for diversifying acquisitions and lower for refocusing divestments, especially when these involve diversified firms. We also find a negative relationship between diversification premium and voting dissent. Our results provide evidence that diversification characteristics of firms and deals have a significant impact on shareholders' dissent in acquisitions and divestments. | View Infographic |
| The UK equity release market: Views from the regulatory authorities, product providers and advisors | International Review of Financial Analysis | 2022 | Tripti Sharma, Declan French, Donal McKillop | This study investigates the factors constraining the development of the UK equity release market. The results of a thematic review of interviews with industry stakeholders (product providers, advice providers and regulators) suggest that the attractiveness of the equity market for insurance companies (the main funders of the market), has diminished following a decline in annuity business and complications around the capital maturity matching requirements under Solvency II. Product costs (interest charges, and the cost of financial advice) are high. Trust in the market has improved, but remains fragile. Increased entry into the market by recognised brand names, (such as the traditional mortgage providers) would increase competition, reduce costs and promote trust. The risk of reputational damage limits the appeal of the market to new entrants. The no negative equity guarantee, a cost in terms of lower than otherwise loan-to-value ratios, promotes demand by way of the protection it affords to customers and their beneficiaries. Equity release is unsuitable for funding long-term care and policymakers advocating it as such damage the market. | View Infographic |
| Accurate forecasts attract clients; biased forecasts keep them happy | International Review of Financial Analysis | 2022 | Chao Zhang, David G. Shrider, Dun Han, Yanran Wu | We examine whether business relationships between mutual funds and sell-side analysts influence earnings forecasts using Chinese data from 2007 to 2019. Consistent with prior studies, our results support the commission pressure hypothesis. Analysts' forecasts are overly optimistic for the holdings of existing fund clients. Significantly, we propose the potential client hypothesis and show that analysts' forecasts are more accurate for the holdings of funds that are not clients than for holdings of clients or for stocks not held by any fund. Our results suggest that commission pressure from existing fund clients increases analysts' optimistic bias, while potential clients pressure inhibits analysts' optimistic bias to some extent. Finally, our evidence supports the conflicts of interest hypothesis. Commission pressure is reduced as economic uncertainty grows. | View Infographic |
| Are carry, momentum and value still there in currencies? | International Review of Financial Analysis | 2022 | Mark C. Hutchinson, Panagiotis E. Kyziropoulos, John O'Brien, Philip O'Reilly, Tripti Sharma | We show that carry, momentum and value predictability in currencies is associated with mispricing. Specifically, investment performance disappears subsequent to published evidence showing portfolio returns are not fully explained by risk. Replicating these studies, we show that the average out-of-sample Sharpe ratio decreases from +0.39 to -0.32. Cross sectional tests show that currencies no longer respond to interest rate and real exchange rate differentials. During this period currency excess returns do not exhibit autocorrelation. Our results are consistent with investors learning about mispricing from academic research. | View Infographic |
| Exploring household financial strain dynamics | International Review of Financial Analysis | 2023 | Declan French | Rising energy and food prices are causing living standards to fall across Europe and straining household budgets. The longer-term outlook for households is unclear as the dynamics of financial strain are not well understood. We address four important research questions on financial strain dynamics by applying a dynamic random coefficients probit model with duration and occurrence dependence to De Nederlandsche Bank (DNB) Household Survey panel data. We find no evidence that households become habituated or sensitised to financial strain over time unlike in studies of responses to stress. Entry into household financial strain is less likely when the household can cope by increasing earnings from work or by borrowing from family and friends but not by the economically inactive entering employment. Our third result is that the persistence of financial strain can be explained by a mutually-enforcing negative cycle through worse health but not through marital conflict or more short-sighted and risk averse decision-making. Finally, we find that neither income or wealth shocks affect financial strain in contrast to other studies. Further research into understanding the experience of financial hardship is warranted in the light of the economic challenges caused by the current cost of living crisis. | View Infographic |
| How does green credit policy affect polluting firms' dividend policy? The China experience | International Review of Financial Analysis | 2023 | Youwei Li, Ming Liao, Yangke Liu | We explore how polluting firms alter their dividend policy in response to pressure from green credit policy. The green credit guidelines that China adopted in 2012 aim to promote credit supply in sustainable development. Meanwhile, this green credit policy forced polluting firms to access restricted credit supply and tightened bank monitoring. Using the adoption of the green credit policy as a quasi-natural experiment, we find that polluting firms tend to lower their dividend payments, consistent with the view that dividends act as an effective tool of liquidity management and a substitute to mitigate agency problems. This finding is more pronounced among firms with weaker corporate governance, greater financial constraints, and more green innovation output. Our further analysis suggests that the green credit policy forces polluting firms to engage in less dividend smoothing. | View Infographic |
| Does geopolitical risk affect firms' idiosyncratic volatility? Evidence from China | International Review of Financial Analysis | 2023 | Xiaohang Ren, Yuxuan Cao, Pei Liu, Dun Han | Using 2663 Chinese A-share listed companies from 2003 to 2019, we investigate the relationship between geopolitical risk (GPR) and firm idiosyncratic volatility through panel fixed effects and attempt to explain the mechanism. The main findings are presented as follows. First, GPR can explain the change of firms' idiosyncratic volatility. Different industry conditions and ownerships have heterogeneous effects on the firms' idiosyncratic volatilities. In addition, the interaction terms of ownership concentration, competitive intensity and operating leverage with GPR are statistically significant, and they interact with GPR to affect firms' idiosyncratic volatility. After we conduct a series of robustness tests using methods such as instrumental variables, we innovatively introduce the South China Sea dispute as an external event and use the DID (Difference-in-difference) model to analyze the impact of geopolitical events on corporate risk-taking, our findings remain valid. Our research contributes to a better understanding of geopolitical risk and firms' idiosyncratic volatility. | View Infographic |
| Internationalization, foreign complexity and systemic risk: Evidence from European banks | Journal of Financial Stability | 2021 | Yassine Bakkar, Annick Pamen Nyola | Using a novel cross-European dataset on bank internationalization, the paper accounts for organizational and geographic complexity and evaluates its impact on systemic risk and how both the 2008-09 global financial crisis and the 2010-11 European sovereign debt crisis might have modified such an impact. Ahead of the crisis (2005-07), results suggest that bank complexity materially reduces systemic risk and enhances stability, as it encourages banks to take on more diversified risks. While such a relation is inverted during the crisis (2008-11) and after the crisis (2012-13), consistent with the view that, during distress times, international banks have less ability to monitor cross-border risks. Further evidence show that, regardless of the period, the effect of complexity on systemic risk is accentuated for 'too-big-too-fail' banks and banks with strong activity diversity. Conversely, complex banks with merger-acquisition history and banks operating networks of foreign branches mitigate systemic risk during the acute crisis and the later stage of the crisis, respectively. The results are robust to the use of alternative measures of systemic risk and complexity, and numerous additional tests. Findings bear critical policy implications for financial regulations. | View Infographic |
| Independent Women: Investing in British Railways, 1870-1922 | Economic History Review | 2021 | Graeme G. Acheson, Gareth Campbell, Aine Gallagher, John D. Turner | The early twentieth century saw the British capital market reach a state of maturity before any of its global counterparts. This coincided with more women participating directly in the stock market. This study analyses whether these female shareholders chose to invest independently of men. Using a novel dataset of almost 500,000 shareholders in some of the largest British railways, it shows that women were much more likely to be solo shareholders than men. There is also evidence that they prioritized their independence above other considerations such as where they invested or how diversified they could be. | View Infographic |
| The anatomy of a bubble company: the London Assurance in 1720 | Economic History Review | 2023 | Graeme Acheson, Michael Aldous, William Quinn | The London Assurance Company (LA), which incorporated during the bubble of 1720, experienced more dramatic price movements in its shares than the South Sea Company. This paper examines how incorporating during the bubble affected its long run performance. We show that the bubble in the Company's share price was partly attributable to changes in market structure during the share issuance process. As a result of the bubble, the Company's original subscribers, who had been curated for expertise and political connections, overwhelmingly exited during 1720 and were replaced by unsuccessful speculators. Analysis of LA shareholder behaviour up to 1737 suggests that this loss of shareholder expertise had detrimental consequences for the Company's performance. These results demonstrate how a bubble in the shares of a newly created company can lead to an exodus of value-adding investors, damaging the company's long-term prospects. | View Infographic |
| Corporate taxes, leverage, and investment: evidence from Nazi-occupied Netherlands | Economic History Review | 2024 | Philip T. Fliers, Abe de Jong, Bert Kramer | We examine the Netherlands around the Second World War, where the occupying Nazi regime overhauled the country's corporate tax regime and introduced a profit tax of 55 per cent. We estimate that the new tax regime cost investors at least 300 million guilders, an amount equivalent to 5 per cent of Dutch GDP in 1940. We demonstrate that the tax introduction changed the financing of Dutch businesses. In particular, we find strong evidence that debt financing increased because it provides a tax shelter. The changes in taxation also led to an after-tax reduction in the cost of debt, which had large real effects on firm investment. After the end of the war, firms with more leverage had higher capital expenditures. | View Infographic |
| Three centuries of corporate governance in the United Kingdom | Economic History Review | 2024 | John D. Turner | As articulated by Adam Smith, one of the central issues facing companies is that managers will not run the business in the interests of its owners and will misuse resources. This ultimately has a detrimental consequence for the wealth of the nation. This survey reviews the nature and evolution of the corporate governance of UK public companies over the past 300 years. It makes two principal arguments. First, because the separation of ownership and control was one of the rationales for the introduction of the corporate form, we should not be surprised that corporate ownership has generally been diffuse. Second, over time, the way in which owners ensure that managers act in their interests has gradually changed from a system in which shareholders monitored and exercised voice to one where there was more reliance on external forces and exiting ownership. | View Infographic |
| That's Classified! Inventing a New Patent Taxonomy | Industrial and Corporate Change | 2021 | Stephen D. Billington, Alan J. Hanna | Innovation researchers currently make use of various patent classification schemas, which are hard to replicate. Using machine learning techniques, we construct a transparent, replicable and adaptable patent taxonomy, and a new automated methodology for classifying patents. We contrast our new schema with existing ones using a long-run historical patent dataset. We find quantitative analyses of patent characteristics are sensitive to the choice of classification; our interpretation of regression coefficients is schema dependent. We suggest much of the innovation literature should be carefully interpreted in light of our findings. | View Infographic |
| A reexamination of factor momentum: how strong is it? | The Financial Review | 2022 | Minyou Fan, Youwei Li, Ming Liao, Jiadong Liu | Recent studies show that most financial market anomalies exhibit a momentum effect. Based on two datasets, (i) an original 22-factor sample and (ii) a more comprehensive 187-factor sample, we find that factor momentum effect is weak at the individual factor level. In both samples, only about 22%-27% of the factors exhibit strong return continuation and dominate the factor momentum portfolio while the remaining factors do not. The factor momentum strategies do not outperform the corresponding long-only strategies in either sample. The choice of factors affects the ability of factor momentum to explain individual stock momentum. | View Infographic |
| Are the good spared? Corporate social responsibility as insurance against cyber security incidents | Risk Analysis | 2023 | Vassiliki Bamiatzi, Michael Dowling, Fabian Gogolin, Fearghal Kearney, Samuel Vigne | Despite the increasing consensus that socially responsible behaviour can act as insurance against externally induced shocks, supporting evidence remains somewhat inconsistent. Our study provides a clear demonstration of the insurance-like properties of corporate social responsibility (CSR) in preserving corporate financial performance (CFP), in the event of a data (cyber) breach. Exploring a sample of 230 breached firms, we find that data breaches lead to significantly negative CFP outcomes for low CSR firms, with the dynamic being particularly pronounced in consumer-sensitive industries. Further, we show that firms increase their CSR activities in the aftermath of a breach to recover lost goodwill and regain stakeholder trust. Overall, our results support the use of CSR as a strategic risk-mitigation tool that can curtail the consequences of data breaches, particularly for firms operating in consumer-centric environments. | View Infographic |
| Work disability and the Northern Irish Troubles | Oxford Bulletin of Economics and Statistics | 2021 | Declan French, Sharon Cruise | The literature on the long-run effects of war has largely neglected the labour market implications of permanent illness or injury from conflict among the civilian population. From 1969 to 1998, Northern Ireland experienced a violent ethnopolitical conflict characterised by terrorist bombing campaigns, sectarian killings and armed forces patrolling the streets. The consequences of this period for current high work disability rates are disputed by the main political parties. We address this question using a new high-quality dataset. Potential endogeneity and reverse causation issues are addressed using the intensity of conflict-related deaths as instruments. We find clear evidence that conflict has increased work disability by 9.0 percentage points. The only doctor-diagnosed medical condition mediating this effect is mental ill-health. It is timely to consider the likely enduring economic consequences of a return to violence in the context of the potentially destabilising effects of Brexit. | View Infographic |
| From financial wealth shocks to ill-health: allostatic load and overload | Health Economics | 2023 | Declan French | A number of studies have associated financial wealth changes with health-related outcomes arguing that the effect is due to psychological distress and is immediate. In this paper, I examine this relationship for cumulative shocks to the financial wealth of American retirees using the allostatic load model of pathways from stress to poor health. Wealth shocks are identified from Health and Retirement Study reports of stock ownership along with significant negative discontinuities in high-frequency S&P500 index data. I find that a one standard deviation increase in cumulative shocks over two years increases the probability of elevated blood pressure by 9.5%, increases waist circumference by 1.2% and the cholesterol ratio by 6.1% for those whose wealth is all in shares. My findings suggest that the combined effect of random shocks to financial wealth over time is salient for health outcomes. This is consistent with the allostatic load model in which repeated activation of stress responses leads to cumulative wear and tear on the body. | View Infographic |
| Before the cult of equity: the British stock market, 1829–1929 | European Review of Economic History | 2021 | Gareth Campbell, Richard S Grossman, John D Turner | We analyze the development and performance of the British equity market during the era when it reigned supreme as the largest in the world. Using an extensive monthly dataset of thousands of companies, we identify the major peaks and troughs in the market and find a relationship with the timing of economic cycles. We also show that the equity risk premium was modest and, contrary to previous research, domestic and foreign stocks earned similar returns for much of the period. We also document the early dominance of the transport and finance sectors and the subsequent emergence of many new industries. | View Infographic |
| Capital Market Development over the Long Run: The Portfolios of UK Life Assurers over Two Centuries | European Review of Economic History | 2021 | David Bogle, Christopher Coyle, John Turner | What shapes and drives capital market development over the long run? In this paper, using the asset portfolios of UK life assurers, we examine the role of regulation, historical contingency, and political reactions to events on the long-run development of the UK capital market. Government response to events such as war, hegemony-secured peace, and the wider macroeconomic environment was the ultimate determinant of major changes in asset allocation since 1800. Furthermore, when we compare the UK with the United States, we find that regulation played a limited role in shaping the asset portfolios of the UK life assurance industry. | View Infographic |
| Order book price impact in the Chinese soybean futures market | International Journal of Finance & Economics | 2023 | Muzhao Jin, Fearghal Kearney, Youwei Li, Yung Chiang Yang | We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various order flow measures, price aggregation approaches and data frequencies. We find that order flow imbalance (OFI) is a more all-encompassing measure carrying greater information about price change relative to both trade imbalance (TI) and volume. Moreover, while both OFI and TI are shown to predict future price changes, this predictability diminishes over longer measure and price change frequency horizons. | View Infographic |
| Commodity risk in European dairy firms | European Review of Agricultural Economics | 2022 | Guillaume Bagnarosa, Mark Cummins, Michael Dowling, Fearghal Kearney | We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show our approach is able to identify both market and operational risk. Profit margins for butter and milk price are particularly important for operational performance. Additional tests are provided, including an application of MIDAS quantile on a period of amplified dairy market risk. Our approach thus allows dairy firms to gain new perspectives on the significant risks posed by the current structure of dairy production in Europe. | View Infographic |
| Married CEOs and stock price crash risk | European Financial Management | 2022 | Jeong-Bon Kim, Shushu Liao, Yangke Liu | This study examines whether marriage, as a social construct and cultural norm, can affect firm-level stock price crash risk. We find that firms managed by married CEOs are associated with lower future stock price crash risk, after controlling for a set of firm characteristics and CEO traits. We document that CEO marriage reduces crash risk by curbing bad news hoarding and formation activities. Moreover, the attenuating impact of CEO marriage on crash risk is more pronounced among firms with weaker corporate governance and those run by less prominent, higher-delta and lower-paid CEOs. | View Infographic |
| Time series reversal in trend-following strategies | European Financial Management | 2023 | Jiadong Liu, Fotis Papailias | This paper empirically studies the reversal pattern following the formation of trend-following signals in the time series context. This reversal pattern is statistically significant and usually occurs between 12 and 24 months after the formation of trend-following signals. Employing a universe of 55 liquid futures, we find that instruments with sell signals in the trend-following portfolio ('losers') contribute to this type of reversal, even if their profits are not realised. The instruments with buy signals in the trend-following portfolio ('winners') contribute much less. A double-sorted investment strategy based on both return continuation and reversal yields to portfolio gains which are significantly higher than that of the corresponding trend-following strategy. | View Infographic |
| Examining the Role of a Private-Order Institution in Global Trade: The Liverpool Cotton Brokers’ Association and the Crowning of King Cotton, 1811–1900 | Business History Review | 2021 | Michael Aldous, Christopher Coyle | In the nineteenth century, the Liverpool Cotton Brokers' Association (CBA) coordinated the dramatic growth of Liverpool's raw cotton market. This article shows how the CBA achieved this through the development of a private-order institutional framework that improved information flows, introduced standardization and contracting regimes, and regulated market exchange platforms. These developments corresponded with significantly improved market coordination, which facilitated the growth of the largest raw cotton market in the world. The article's findings demonstrate and quantify the importance of nonstate actors in creating institutions of global exchange central to the first wave of globalization. | View Infographic |
| Was Marshall right? Managerial failure and corporate ownership in Edwardian Britain | The Journal of Economic History | 2023 | Michael Aldous, Philip T. Fliers, John D. Turner | Alfred Marshall argued that the malaise of public companies in Edwardian Britain was due to the separation of ownership from control and a lack of professional management. In this paper, we examine the ownership and control of the c. 1,700 largest British companies in 1911. We find that most public companies had a separation of ownership and control, but that this had little effect on their performance. We also find that manager characteristics that proxy for amateurism are uncorrelated with performance. Ultimately, our evidence suggests that, if Marshall was correct in identifying a corporate malaise in Britain, its source lay elsewhere. | View Infographic |
| Business creation and political turmoil: Ireland versus Scotland before 1900 | Business History Review | 2022 | Robin J. C. Adams, Gareth Campbell, Christopher Coyle, John D. Turner | What effect does political instability in the form of a potential secession from a political union have on business formation? Using newly collected data on business creation, we show that entrepreneurial activity in Ireland in the late nineteenth century was much lower than Scotland, and this divergence fluctuated over time. Several factors may have contributed to this, but we argue that political uncertainty about the prospect of a devolved government in Ireland played a role. The effects were most acute in the North of Ireland, the region that was most concerned by potential changes. | View Infographic |
| Bubbles in History | Business History | 2023 | William Quinn, John Turner | Bubbles have become ubiquitous. This ubiquity has stimulated research over the past three decades into bubbles in history. In this article, we provide a systematic overview of research into historical bubbles. Our analysis reveals that there is no coherent approach to the study of bubbles and much of the debate has unhelpfully focussed on the rationality/irrationality dichotomy. We then suggest a new framework for the study of historical bubbles, which helps us understand the causes of bubbles and their economic consequences. We conclude by suggesting ways in which business history can contribute to the study of historical bubbles. | View Infographic |
| Practice-relevant model validation: Distributional parameter risk analysis in financial model risk management | Annals of Operations Research | 2023 | Mark Cummins, Fabian Gogolin, Fearghal Kearney, Greg Kiely, Bernard Murphy | An objective of model validation within organisations is to provide guidance on model selection decisions that balance the operational effectiveness and structural complexity of competing models. We consider a practice-relevant model validation scenario where a financial quantitative analysis team seeks to decide between incumbent and alternative models on the basis of parameter risk. We devise a model risk management methodology that gives a meaningful distributional assessment of parameter risk in a setting where market calibration and historical estimation procedures must be jointly applied. Such a scenario is typically driven by data constraints that preclude market calibration only. We demonstrate our proposed methodology in a natural gas storage modelling context, where model usage is necessary to support profit and loss reporting, and to inform trading and hedging strategy. We leverage our distributional parameter risk approach to devise an accessible technique to support model selection decisions. | View Infographic |
| Exceptional big linkers: Dutch evidence from the 20th century | Business History | 2021 | Abe de Jong, Philip T. Fliers, Gerarda Westerhuis | This article investigates the effects of individual directors for corporate strategies and firm performance over the course of the 20th century for Dutch exchange-listed firms. We apply a multi-method approach on directors with many executive and supervisory roles in multiple firms--so-called big linkers. We first identify exceptional big linkers, board members whose presence is systematically related with firm characteristics. Our approach allows us to identify a number of exceptional individuals who were previously overlooked by business historians. Then we investigate the backgrounds of these exceptional big linkers. We find that their biographies and other archival materials provide explanations for their systematic relation with corporate outcome variables such as performance, debt and investments. Using additional information about these directors, including network centrality, bank relations and family histories, we are able to shed light on the multitude of explanations for the roles of exceptional big linkers. | View Infographic |
| Going mainstream: cryptocurrency narratives in newspapers | International Review of Financial Analysis | 2024 | Clive B. Walker | This paper quantifies mainstream media coverage of Bitcoin to understand how a once niche interest entered public culture. From 2011 to 2022, five key narratives are identified as criminality, culture, politics, price and technology. Price, politics, and culture have become more prominent in coverage while the technology narrative has waned. Coverage that is more political or cultural is associated with subsequently lower returns whereas the criminality narrative is associated with higher returns. Together this suggests that as narratives have become more mainstream, they have created additional demand, despite the negative association with criminal activity. | View Infographic |
| Return signal momentum | Journal of Banking & Finance | 2021 | Fotis Papailias, Jiadong Liu, Dimtrios D. Thomakos | A new type of momentum based on the signs of past returns is introduced. This momentum is driven primarily by sign dependence, which is positively related to average return and negatively related to return volatility. An empirical application using a universe of commodity and financial futures offers supporting evidence for the existence of such momentum. Investment strategies based on return signal momentum result in higher returns and Sharpe ratios and lower drawdown relative to time series momentum and other benchmark strategies. Overall, return signal momentum can benefit investors as an effective strategy for speculation and hedging. | View Infographic |
| Detecting Political Event Risk In The Option Market | Journal of Banking & Finance | 2022 | Alexandros Kostakis, Liangyi Mu, Yoichi Otsubo | This study shows that the option market can ex ante detect and quantify the effects of political event risk. Focussing on the 2016 UK referendum on EU membership, we find that the Risk-Neutral Distribution extracted from GBPUSD futures options whose expiry spans the referendum date becomes bimodal and the Implied Volatility curve exhibits an unusual W-shape. To the contrary, the corresponding effects for FTSE100 are found to be very limited. The large swings in expectations regarding the event outcome during the referendum night allow us to observe the counterfactual and validate the ex ante information revealed in the option market. | View Infographic |
| Can real options explain the skewness of stock returns? | Journal of Banking & Finance | 2023 | Tuan Ho, Kirak Kim, Yang Li, Fangming Xu | We study a novel mechanism through which real options play a prominent role in inducing the skewness of stock returns. Building on the investment-based asset pricing framework, we show that firms' real options to contract (expand) their businesses when productivity is low (high) can increase return skewness. Consequently, return skewness represents a U-shaped function of firm productivity. Furthermore, the real-options effect is stronger for more flexible firms, characterized by lower scale-adjustment frictions. Employing a large sample of U.S. firms during 1972-2018, we provide a battery of robust empirical evidence consistent with the model predictions. Our findings demonstrate that firm-level real flexibility can impact investors and managers' decision making. | View Infographic |
| Bank Deregulation and Stock Price Crash Risk | Journal of Corporate Finance | 2022 | Viet Anh Dang, Edward Lee, Yangke Liu, Cheng Zeng | This paper examines the influence of bank branch deregulation on corporate borrowers' stock price crash risk. Using a large sample of U.S. public firms over the period 1962-2001, we provide robust evidence that intrastate branch reform contributes to the reduction of firms' stock price crash risk. Further analysis shows that the negative relation between bank branch deregulation and crash risk is more pronounced among firms that are more dependent on external finance and lending relationships, as well as firms that have weaker corporate governance and greater financial constraints. Our findings are consistent with the notion that bank branch reform improves bank monitoring efficiency, thereby reducing borrowing firms' bad news formation and hoarding, and hence their stock price crash risk. Overall, our empirical evidence suggests that, as a reform aimed at removing restrictions on bank branch expansion, bank deregulation also helps protect shareholders' wealth. | View Infographic |
| The macroeconomic effects of banking crises: evidence from the United Kingdom, 1750–1938 | Explorations in Economic History | 2021 | Seán Kenny, Jason Lennard, John D. Turner | This paper analyses the macroeconomic effects of banking crises in the United Kingdom between 1750 and 1938. We construct a new annual chronology of banking crises, which we define as episodes of runs and panics combined with significant, geographically-dispersed failures and suspensions. Using a vector autoregression, we find that banking crises are associated with short, sharp and significant drops in economic growth. Using the narrative record to identify plausibly exogenous variation, we show that this finding is robust to potential endogeneity. | View Infographic |
| Transportation resilience under Covid-19 Uncertainty: A traffic severity analysis | Transportation Research Part A: Policy and Practice | 2024 | Qiao Peng, Yassine Bakkar, Liangpeng Wu, Weilong Liu, Ruibing Kou, Kailong Liu | Transportation systems are critical lifelines and vulnerable to various disruptions, including unforeseen social events such as public health crises, and have far-reaching social impacts such as economic instability. This paper aims to determine the key factors influencing the severity of traffic accidents in four different stages during the pre- and the post Covid-19 pandemic in Illinois, USA. For this purpose, a Random Forest-based model is developed, which is combined with techniques of explainable machine learning. The results reveal that during the pandemic, human perceptual factors, notably increased air pressure, humidity and temperature, play an important role in accident severity. This suggests that alleviating driver anxiety, caused by these factors, may be more effective in curbing crash severity than conventional road condition improvements. Further analysis shows that the pandemic leads notable shifts in residents' daily travel time and accident-prone spatial segments, indicating the need for increased regulatory measures. Our findings provide new insights for policy makers seeking to improve transportation resilience during disruptive events. | View Infographic |
| Mortality prediction using data from wearable activity trackers and individual characteristics: An explainable artificial intelligence approach | Expert Systems with Applications | 2025 | Byron Graham, Mark Farrell | Mortality prediction plays a crucial role in healthcare by supporting informed decision-making for both public and personal health management. This study uses novel data sources such as wearable activity tracking devices, combined with explainable artificial intelligence methods, to enhance the accuracy and interpretability of mortality predictions. By using data from the UK Biobank—specifically wrist-worn accelerometer data, hospital records, and various demographic and lifestyle factors, and health-related factors—this research uncovers new insights into the predictors of mortality. Explainable artificial intelligence techniques are employed to make the models’ predictions more transparent and understandable, thereby improving their practical applications in healthcare decisions. Our analysis shows that random forest models achieve the highest prediction accuracy, with an area under the curve score of 0.78. Key predictors of mortality include age, physical activity levels captured by accelerometers, and other health and lifestyle factors. The study also identifies non-linear relationships between these predictors and mortality, and provides detailed explanations for individual-level predictions, offering deeper insights into risk factors. | View Infographic |
