Search results for: Carl R. Chen

Items from 1 to 20 out of 38 results

article

Do credit market accessibility and legal protection shape corporate innovation?

Danlin Shen, Carl R. Chen, Xinyan Yan, Zhihong Yi

Journal of Financial Research > 45 > 3 > 719 - 754

We examine the effects of credit market accessibility and legal protection on corporate innovation in a pseudo‐multinational setting at the firm level, emphasizing the channels through which corporate innovation is affected. A horse race suggests that credit market accessibility facilitates innovation more than legal protection does. Credit market accessibility promotes innovation by alleviating financial...

article

Settlement procedures and stock market efficiency

Emily Lin, Carl R. Chen

Journal of Futures Markets > 39 > 2 > 164 - 185

This study examines why most derivatives markets that settle on the day following expiration choose the opening rather than the closing price as the final settlement price (FSP), whereas most markets that settle on the expiration day select an average rather than a single price as the FSP. Four exogenous changes in the Taiwan Futures Exchange settlement procedures provide an experimental basis for...

article

Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks

Shih-Kuei Lin, Shin-Yun Wang, Carl R. Chen, Lian-Wen Xu

The North American Journal of Economics and Finance > 2017 > 42 > C > 359-373

This research derives the LIBOR market model with jump risks, assuming that interest rates follow a continuous time path and tend to jump in response to sudden economic shocks. We then use the LIBOR model with jump risk to price a Range Accrual Interest Rate Swap (RAIRS). Given that the multiple jump processes are independent, we employ numerical analysis to further demonstrate the influence of jump...

article

Agency hazard, managerial incentives, and the wealth effects of joint venture investments

Jung-Ho Lai, Li-Yu Chen, Carl R. Chen

International Review of Financial Analysis > 2017 > 52 > C > 190-202

Grounded in agency theory, this study explores whether the separation of ownership (by shareholders) and control (by managers) in firms is an essential determinant of the valuation effect of joint ventures (JVs). This is achieved by examining the efficacy of incentive alignment mechanisms and their contingency effects. Based on a sample of 963 U.S. firms' JV investments, the results show that poor...

article

Helping hands or grabbing hands? An analysis of political connections and firm value

Carl R. Chen, Yingqi Li, Danglun Luo, Ting Zhang

Journal of Banking & Finance > 2017 > 80 > C > 71-89

We construct a unique political connection index to capture variations in the strength of firm political relations in China. The index incorporates various channels through which a firm's executives, chairperson, directors, and other senior officers are politically connected with government officials and bureaucrats. Overall, there is a negative relation between our index and firm value for the full...

article

Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance

Ying Sophie Huang, Carl R. Chen, Isamu Kato

International Review of Economics & Finance > 2017 > 48 > C > 367-388

We study hedge fund performance and exposure to systematic risk factors over different market cycles with a sample of 1821 hedge funds from January 1994 to June 2008. Our findings suggest that hedge funds are exposed to systematic risk factors and minimizing systematic risk exposure by means of, for example, hedging does not always produce good results. Our quantile regression analyses reveal that...

article

Overinvestment, inflation uncertainty, and managerial overconfidence: Firm level analysis of Chinese corporations

Yizhong Wang, Carl R. Chen, Lifang Chen, Ying Sophie Huang

The North American Journal of Economics and Finance > 2016 > 38 > C > 54-69

We study corporate investment by considering both external economic factor and managerial behavior, in particular the dynamic interaction between inflation uncertainty and managerial overconfidence by employing a sample of Chinese companies. The empirical findings demonstrate that lower inflation uncertainty increases over-investment, and managerial overconfidence exacerbates such effect. Further...

article

Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis

Leon Li, Carl R. Chen

Finance Research Letters > 2016 > 18 > C > 100-107

Prior research has investigated the association between analysts’ forecast dispersion and future stock return but the evidence is not conclusive. We propose a conditional limited market participation hypothesis and reexamine the relation between analysts’ forecast dispersion and stock returns using the panel threshold regression approach, which allows the coefficient on the independent variable to...

chapter

Application of Simultaneous Equation in Finance Research

Carl R. Chen, Cheng Few Lee

Handbook of Quantitative Finance and Risk Management > Theory, Methodology, and Applications > 1301-1306

This chapter introduces the concept of simultaneous equation system and the application of such a system to finance research. We first discuss the order and rank condition of identification problem. We then introduce the two-stage least squares (2SLS) and three-stage least squares (3SLS) estimation method. The pro and cons of these estimations methods are summarized. Finally, the results of a study...

article

Non-interest Income, Trading, and Bank Risk

Carl R. Chen, Ying Sophie Huang, Ting Zhang

Journal of Financial Services Research > 2017 > 51 > 1 > 19-53

This study examines the interaction of bank risk and non-interest income (trading and non-trading) controlling for the executive incentive compensation effect. We do not find executive stock option compensation (ESO) directly impacts bank risk. On the contrary, bank non-interest income, both trading and non-trading revenue components, positively and significantly affects bank risk. This result is...

article

Multiple directorships and the performance of mergers & acquisitions

Li-Yu Chen, Jung-Ho Lai, Carl R. Chen

North American Journal of Economics and Finance > 2015 > 33 > Complete > 178-198

The question of whether an outside director with multiple board seats creates value for a firm is a subject of continued debate in the corporate governance literature. Dozens of studies have investigated this linkage over the past decades. Unfortunately, the findings generated to date are inconclusive and contradictory. This study reconciles conflicting perspectives by synthesizing the existing insights...

article

The Effect of Executive Stock Options on Corporate Innovative Activities

Yenn‐Ru Chen, Carl R. Chen, Chih‐Kang Chu

Financial Management > 43 > 2 > 271 - 290

This study investigates whether the implicit optionality of executive stock options (ESOs) induce managers to undertake innovative activities associated with various types of risk. We find ESO risk incentive (vega) to be positively correlated with all types of corporate innovations. We also find greater ESO risk incentive effects for the product‐related innovative activities that are associated more...

article

Economic policy uncertainty and corporate investment: Evidence from China

Yizhong Wang, Carl R. Chen, Ying Sophie Huang

Pacific-Basin Finance Journal > 2014 > 26 > Complete > 227-243

This paper studies how economic policy uncertainty influences corporate investment for Chinese listed companies. We show that when the degree of economic policy uncertainty is higher, firms stand to lower their investment and vice versa. However, firms that have higher return on invested capital, use more internal finance and are not state-owned mitigate the negative effect of policy uncertainty on...

article

Coping with financial market risks in Asia: An introduction

Carl R. Chen, Ying Sophie Huang

North American Journal of Economics and Finance > 2013 > 26 > Complete > 640-642

article

Where are the sources of stock market mispricing and excess volatility?

Carl R. Chen, Peter P. Lung, F. Albert Wang

Review of Quantitative Finance and Accounting > 2013 > 41 > 4 > 631-650

Using a simple dividend model, we illustrate and synthesize the sources of stock market mispricing and excess volatility based upon two hypotheses—inflation illusion and heterogeneous beliefs. Our theoretical framework posits that equity mispricing arises when investors have subjective expectations about discount rates or dividend growth rates. We then analyze the sources of equity mispricing and...

article

Stock and option market divergence in the presence of noisy information

Carl R. Chen, J. David Diltz, Ying Huang, Peter P. Lung

Journal of Banking & Finance > 2011 > 35 > 8 > 2001-2020

We examine market behavior of the stock and option markets upon the arrival of noisy information in the form of CNBC’s Mad Money recommendations. If stock and option markets are not equally efficient, they should respond differently to noisy information, with the less efficient market more susceptible to noise. We find that the stock market is less efficient than the option market. The abnormal difference...

article

Mutual Fund Governance and Performance: A Quantile Regression Analysis of Morningstar's Stewardship Grade

Carl R. Chen, Ying Huang

Corporate Governance: An International Review > 19 > 4 > 311 - 333

Manuscript Tytpe: Empirical Research Question/Issue: We study the relation between mutual fund performance and Morningstar's fiduciary grades using quantile regression models. This research is important because we shed new light on the principal‐agent issue in the mutual fund industry, and investors and professional managers often use Morningstar's rating system to guide their investment decisions...

article

Financial Research in the European Region: a Long‐Term Assessment (1990–2008)

Kam C. Chan, Chih‐Hsiang Chang, Carl R. Chen

European Financial Management > 17 > 2 > 391 - 411

We provide a long‐term comprehensive assessment of financial research in the European region. As with earlier findings in Chan et al. (2004), the European academic institutions, as a group, perform very well during the 1990–2008 period. Specifically, European institutions exhibit a steady increase in the share of global financial research. During the sample period, the top five institutions were London Business School, INSEAD, Sir John Cass Business School, London School of Economics, and Erasmus University Rotterdam. Subperiod analysis shows that some universities, such as Oxford University, increased their research output substantially. Many of the leading European scholars received their training and had prior experience in North American institutions. We find that a high ranking of the scholars’ affiliated and doctoral granting institutions is correlated with finance research productivity.

article

Markets contagion during financial crisis: A regime-switching approach

Feng Guo, Carl R. Chen, Ying Sophie Huang

International Review of Economics and Finance > 2011 > 20 > 1 > 95-109

Within a Markov regime-switching VAR framework, we investigate the contagion effects among the stock market, real estate market, credit default market, and energy market covering the most recent financial crisis period when markets experience regime shifts. The results demonstrate that the watershed of regimes occurs around the start of the subprime crisis in 2007, after which the “risky” regime dominates...

article

A long-term assessment of finance research performance among Asia–Pacific academic institutions (1990–2008)

Kam C. Chan, Carl R. Chen, Tan (Charlene) Lee

Pacific-Basin Finance Journal > 2011 > 19 > 1 > 157-171

We provide a long-term assessment of finance research in the Asia–Pacific region. Similar to the earlier findings in Chan et al. (2001) and Chan et al. (2005), the Asia–Pacific academic institutions, as a group, perform very well during 1990–2008. The two quality-adjusted weighted article metrics suggest that institutions in the region exhibit an increasing trend in the absolute number of articles...

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INFONA - science communication portal

Search results for: Carl R. Chen

Do credit market accessibility and legal protection shape corporate innovation?

Settlement procedures and stock market efficiency

Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks

Agency hazard, managerial incentives, and the wealth effects of joint venture investments

Helping hands or grabbing hands? An analysis of political connections and firm value

Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance

Overinvestment, inflation uncertainty, and managerial overconfidence: Firm level analysis of Chinese corporations

Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis

Application of Simultaneous Equation in Finance Research

Non-interest Income, Trading, and Bank Risk

Multiple directorships and the performance of mergers & acquisitions

The Effect of Executive Stock Options on Corporate Innovative Activities

Economic policy uncertainty and corporate investment: Evidence from China

Coping with financial market risks in Asia: An introduction

Where are the sources of stock market mispricing and excess volatility?

Stock and option market divergence in the presence of noisy information

Mutual Fund Governance and Performance: A Quantile Regression Analysis of Morningstar's Stewardship Grade

Financial Research in the European Region: a Long‐Term Assessment (1990–2008)

Markets contagion during financial crisis: A regime-switching approach

A long-term assessment of finance research performance among Asia–Pacific academic institutions (1990–2008)

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