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Recent Journal Publications by COB Faculty

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Academic Journal
Finance

“Cross-sectional performance and investor sentiment in a multiple risk factor model”

The impact of investor sentiment on stock prices varies in the cross-section. We estimate sentiment sensitivities and find that sentiment-prone stocks exhibit the opaque characteristics hypothesized by Baker and Wurgler (2006). We then examine conditional alphas using investor sentiment as an information variable. Opaque stocks exhibit marginal performance that varies inversely with investor sentiment. Translucent stocks exhibit relatively little variability in performance across levels of sentiment.
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1107-1121 pages 2012 David Berger Harry Turtle View on: Google Scholar

Academic Journal
Finance

“Cryptocurrency hacking and trader behavior in bitcoin futures”

We investigate the effect of cryptocurrency hacking on trader positions in CME bitcoin futures. Our results indicate that the occurrence of hacking and fraudulent incidents lead to more net-short positions and fewer participation ratio for leveraged funds in bitcoin futures. Additionally, U.S. dollar index, futures basis, and price efficiency also play significant roles in the trading of leveraged funds. Lastly, we find that the number of hacking incidents negatively affects dealers’ net-long positions. This study provides new insights into trader behaviors in bitcoin futures and offers practical implications for bitcoin investors and regulators.
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106182 pages 2024 Yu-Lun Chen Jimmy Yang View on: Google Scholar

Academic Journal
Finance

“Dividend policy and investment: Theory and evidence from US panel data”

This paper examines the importance of dividend policy and liquidity constraints in the context of the firm's investment behaviour. While early financial literature has argued that dividend policy should be independent of firm investment decisions, recent studies indicate that linkages are probable in a world of imperfect capital markets. This study develops an alternative Q specification which incorporates the actual dividend payment of the firm in order to test the hypothesis of independence. Empirical results suggest that after controlling for the firm's dividend payment, liquidity constraints remain an important determinant of firm investment behavior.
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267-275 pages 1996 Managerial and Decision Economics Julie Ann Elston View on: Google Scholar