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Academic Journal
Finance

“The Impact of Gender on Voluntary and Involuntary Executive Departure”

We examine the frequency and conditions of executive departure from S&P 1500 firms. Based upon published news reports, we find that female executives are more likely than male executives to depart their positions voluntarily and involuntarily in the presence of controls for firm performance, firm governance, and human capital. We also find that women are less likely than men to depart voluntarily as firm size increases or board size decreases but more likely to be dismissed as the board becomes more male dominated
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1102-1118. pages 2010 John Becker Blease Susan Elkinawy Mark Stater View on: Google Scholar

Academic Journal
Finance

“The Impact of Governance and Cross-listing on Firm Valuation: Evidence from Chinese Listed Firms”

This study contributes to the limited literature on the link between corporate governance and cross-listing behavior in developing countries. Using recently available financial and accounting data from the Shanghai Stock Exchange (SSE), Shenzhen Stock Exchange (SZSE) and the Hong Kong (HKEX) exchange, contributes to the literature by documenting an unusual bi-directional flow of cross-listing between mainland China and Hong Kong. Further, estimates reveal a 2.7 cross-listing premium for listed “domestic” SSE and SZSE firms, presenting a departure from the common uni-directional models (Ferris, Kim & Noronha, 2009). This cross-listing premium can be interpreted as indicative that many investors believe there are better opportunities in the SSE and SZSE markets than the HKEX. This study provides new insights on the role of state ownership in reducing firm informational and agency problems, providing evidence that suggests state ownership may provide more information sharing (with other shareholders). Estimates also show that cross-listing has a positive impact on firm valuation as measured by Q -particularly for state-owned enterprises (SOE).
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Elsevier Julie Ann Elston Yingzhou Zhang

Academic Journal
Finance

“The MAX Effect: Lottery Stocks with Price Limits and Limits to Arbitrage”

We modify the Bali et al.’s (2011) MAX measure (maximum daily return over the prior month) when the observed returns are capped at the daily price limit to address the issue of homogeneous MAX across stocks. Our results indicate that the modified MAX measure can be a significant predictor of future stock returns. The modified MAX effect is not a manifestation of the idiosyncratic volatility effect. We also find that the modified MAX measure could be an alternative proxy for arbitrage risk.
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77-91 pages 2018 Elsevier Weifeng Hung Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“The role of informal capital on new venture formation and growth in China”

This study examines the nature and role of informal capital used by micro-firms in the dynamic emerging market of China. Using a unique source of data for 260 urban entrepreneurs, this study provides empirical evidence that entrepreneurs’ personal savings and family funding are important sources of start-up capital. However, household income is the most important funding source in driving firm growth over time. This research directly addresses the lacuna of studies on entrepreneurship in emerging economies and contributes to our understanding of the critical role informal capital plays in the Chinese entrepreneurial process. Overall findings suggest that informal capital is still predominantly used over formal capital sources for financing firm start-up, underscoring the slow transition in China from an emerging to a modern economy.
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79-91 pages 2016 Julie Ann Elston Sandy Chen Alois Weidinger View on: Google Scholar

Academic Journal
Finance

“Time variability in market risk aversion”

We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption smoothing behavior. As income increases, or as the ratio of consumption-to-income falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.
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285-307 pages 2009 David Berger Harry Turtle View on: Google Scholar

Academic Journal
Finance

“Trader Positions in VIX Futures”

We investigate the dynamic changes in trader positions of market participants in the VIX futures markets. We find that in a low-VIX period, below the 23.81 threshold determined by our model, changes in VIX futures affect the trading decisions of dealers and leveraged fund managers, but in an opposite direction. During a high-VIX period, dealers and leveraged fund managers would then alter their trading strategies. We highlight the important role of exchange-traded products trading in hedging demand of dealers and show the impact on VIX futures. Trader positions are determinants of VIX futures prices, basis, and VIX premium.
Details

1-17 pages 2021 Yu-Lun Chen Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“Venture Capital, Ownership Structure, Accounting Standards and IPO Underpricing: Evidence from Germany”

This study investigates the impact of venture capital (VC), ownership structure, and accounting standards on initial public offering (IPO) underpricing in Germany. Using data from Germany's Neuer Markt (NM), we test two key hypotheses regarding IPO underpricing; first, whether VC ownership and higher levels of post-IPO insider ownership result in lower underpricing, and second, whether additional information disclosure results in lower underpricing. Besides the standard underpricing measure, we also use a modified underpricing measure to better assess true entrepreneurial wealth loss. Robust findings indicate that none of these factors are significant in lowering IPO underpricing, which suggests the importance of examining standard theories within alternative institutional environments. Results are consistent with the stylized fact that Germany's NM firms had relatively minimal use of VC financing, which may point to not only a weaker role for venture capitalists in Germany but fewer incentives to reduce information asymmetry arising from outside ownership.

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517-536 pages 2010 Julie Ann Elston Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“What makes circuit breakers attractive to financial markets? A survey”

After the stock market crash of October 1987, the Brady Report (1988) and several academic researchers suggested the imposition of "circuit breakers" to prevent the market from fluctuating excessively. Most financial markets in the world have imposed circuit breaker systems, in the form of price limits and trading halts, in an attempt to reduce excessive market volatility. Similar to any other regulations, circuit breakers have proponents and opponents. In this survey, we analyze the benefits and costs of each type of circuit breaker, provide existing theoretical models and predictions related to each type of circuit breaker, and present findings from empirical studies to justify or disqualify the existence of circuit breakers. In addition, we synthesize existing studies and offer directions for further research in this area.
Details

109-146 pages 2004 Yong Kim Jimmy Yang View on: Google Scholar