We are excited to share the successful launch of the Auckland Finance Workshop Series, a new initiative that brings together finance researchers from three universities in Auckland, New Zealand: Auckland University of Technology, University of Auckland, and Massey University to present and discuss current research.

This recurring workshop series is designed to foster a collaborative research environment, facilitate knowledge exchange, and promote research that generates meaningful value for both academia and industry.

4^th Auckland Finance Workshop Series

Hosted by Auckland University of Technology

Friday, 22 May 2026

The workshop schedule:

• 11pm – 12.30pm Research presentation by Professor Ron Masulis, UNSW.
• 12.30pm – 1.30pm Networking lunch
• 13.30pm – 3pm Research presentations (presenters & paper information are below)

Research presentation by Ron Masulis:

How Long-Lasting Demand Shocks Affect CEO Compensation?

Authors: Iftekhar Hasan, Linghua Kong, Stefano Manfredonia, Ronald W. Masulis, Eliza Wu

Abstract: We examine how long-lasting demand shocks shape CEO compensation structure and firm outcomes. For identification, we exploit persistent, Census-driven increases in U.S. government spending that expand procurement opportunities and reduce demand uncertainty for government contractors. Boards respond to positive Census shocks by increasing the convexity of executive pay, raising expected CEO pay to better align manager-shareholder incentives, whereas negative shocks reduce executive pay convexity. Contrary to the rent extraction hypothesis, these effects are driven by better-governed firms. Improved risk-taking incentives induce greater investment activity and improved operating performance, highlighting how CEO compensation design is a key channel through which firms respond to persistent demand shocks.

Paper 1: Elaboration Matter: Investor Opinions and Cross-Sectional Stock Returns

Presenter: George Wu, Massey University

Abstract: We introduce novel proxies for higher- and lower-elaboration investor opinions using, respectively, investors’ price forecasts and tone expressed on social media, and examine their cross-sectional asset-pricing implications. Consistent with psychology theories of elaborated judgment formation, we find that portfolios with stronger price forecasts generate monthly alphas that are about 1.1% higher than those with weaker price forecasts, whereas portfolios sorted on tone exhibit no significant return spread. We further show that higher-elaboration opinions predict future earnings surprises, whereas lower-elaboration opinions do not, pointing to important differences in informational content. At the market level, a proxy for higher-elaboration opinions based on Internet search activity yields similar predictive patterns relative to a lower-elaboration benchmark.

Paper 2: The Green Backlash: Does Eco-Terrorism Undermine Green Asset Prices?

Presenter: Olga Dodd, AUT

Abstract: We examine how financial markets respond to eco-terrorism. Contrary to the argument that ecoterrorist events might heighten investors’ environmental awareness and benefit green sectors, we document a “flight-to-brown” effect: following eco-terrorist incidents, green firms underperform brown firms by 1.02% over the subsequent five trading days. This green-minus-brown discount is short-lived and reverses within two weeks. The documented effect is observed exclusively in developed countries. The effect is localised, absent in non-targeted control countries, and appears to stem from investor expectations of political backlash that would favour brown industries. In line with the political backlash hypothesis, the results are partially driven by a decline in green stocks’ sensitivity to transition risk. Overall, our findings indicate that environmental extremism not only fails to advance environmental awareness or support the transition to a green economy but may, in fact, produce the opposite outcome.

Paper 3:

Presenter: Dimitris Margaritis, University of Auckland

Past Events

3rd Auckland Finance Workshop Series 21 November 2025.

Hosted by Massey University

Buhui Qiu, University of Sydney

Reaching for Yield in Turbulent Times: Bank Liquidity Creation under Geopolitical Risk

Abstract: Using a panel of commercial banks from 40 countries between 2001 and 2023, we find that heightened geopolitical risk (GPR) markedly increases bank liquidity creation. By exploiting the 2022 Russia–Ukraine war as a quasi-natural experiment, we identify this effect through a difference-in-differences framework that leverages both geographic exposure and trade linkages with the conflict region. The increase in liquidity creation is primarily driven by profit: banks expand loan issuance, reduce cash holdings, and earn higher interest margins and returns during periods of increased geopolitical tension. We find little evidence supporting alternative explanations, such as government intervention, precautionary borrowing, or monetary easing. The effect is more pronounced among larger, more profitable banks in competitive banking systems, but weakens during banking crises. Our findings highlight the strategic role of banks in responding to

geopolitical risk, positioning GPR as a key external driver of financial intermediation.

Partner University Presentations

Nuttawat Visaltanachoti, Massey University

Responsible Investing and Portfolio Manipulation

Abstract: We study whether responsible mutual funds focusing on ESG engage in less portfolio manipulation than other funds. Investors may expect responsible funds to manipulate less, but some responsible funds have been shown to mislead investors in other areas, which implies there may be no di􀆯erence. We show that manipulation via window dressing and portfolio pumping is less prevalent in responsible funds. Flows are less sensitive to returns, so managers have less pressure to manipulate portfolios following poor returns. Window dressing and pumping are lower in responsible funds when managers include females, more educated individuals, or those with longer tenures.

Jun Chen, Auckland University of Technology

Blockchain Adoption and Idiosyncratic Return Volatility: Evidence from China

Abstract: This paper investigates the impact of blockchain adoption on idiosyncratic return volatility, using a group of warehousing and logistics firms in China. Implementing a difference-in-difference approach, we find that these firms in China became riskier after adopting blockchain in their supply chain, in terms of idiosyncratic stock return volatilities. This can be partially explained by the phenomenon that firms tend to borrow more short-term debt and pay more interest after the adoption. However, we cannot rule out managerial manipulation of earnings as a potential reason, as our analysis provides mixed results on the impact of blockchain adoption on earnings management. In general, our study sheds new insights into how firms might

be affected by the development of technology such as blockchain.

Edmund Lou, University of Auckland

Interbank Depositors, Bank Opacity, and Financial Fragility

Abstract: We investigate how interbank depositors and regular depositors interact in a dynamic game of bank runs. Interbank depositors possess accurate information about the bank’s performance, whereas regular depositors rely on less precise estimates. Our findings suggest that interbank depositors can effectively influence regular depositors, thus preventing panic-based bank runs, when the accuracy of regular depositors’ information falls below a certain threshold. However, when regular depositors are better informed, bank runs may still occur even when interbank depositors continue to lend to the bank. Our results shed light on the role of bank opacity in mitigating financial fragility.

2^nd Auckland Finance Workshop Series 12 September 2025. 

Hosted by Auckland University of Technology

Eliza Wu, Professor of Finance and Banking, The University of Sydney

Global ESG Disclosure Mandates and Credit Risk: A Tale of Two Eras

Authors: Eliza Wu, Hanyun Ding (The University of Sydney), Buhui Qiu (The University of Sydney), and Gaiyan Zhang (University of Missouri).

Abstract:This paper examines how mandatory ESG disclosure regulations affect corporate credit risk, leveraging a global panel of 30,690 firm-contract-year CDS observations from 43 countries. We reveal a novel temporal dimension: pre-Paris Agreement mandates increase CDS spreads by 20.1%, likely due to transparency exposing hidden ESG risks, while post-Paris mandates reduce spreads by 17.4%, indicating transformation in ESG practices. Carbon emissions and ESG incidents support our transparency and transformation hypotheses. Institutional factors, such as enforcement and social awareness, amplify these effects. Our findings highlight ESG regulations’ evolving influence on credit risk, offering insights for policymakers, investors and firms on regulatory impacts and credit pricing.

Partner University Presentations
Prasad Hegde, Auckland University of Technology

Do Bond Investors Hedge Geopolitical Risk?

Authors: Prasad Hegde, Madhu Kalimipalli (Wilfrid Laurier University) and Shushu Liao (Kühne Logistics University).

Abstract:How do investors in corporate bonds react to geopolitical risk (GPR)? We examine this by analysing the relationship between firms’ sensitivity to GPR, or GPR beta, and their subsequent bond returns. We find that bonds with high GPR beta tend to yield higher returns during periods of GPR stress, serving as effective hedging tools and earning negative premiums due to their hedging properties. The results from the Fama-MacBeth cross-sectional regressions and robust fixed effects panel regressions reveal a significant negative relationship between GPR beta and subsequent bond returns, indicating that bonds with higher covariance to GPR risk generally yield lower returns in the following period. These findings are economically meaningful, with a one-standard-deviation increase in the geopolitical risk beta associated with an 8% to 9% decrease in annual bond returns. Additionally, the staggered difference-in-differences analysis shows that demand for high GPR-beta bonds as hedges increases after periods of intensified geopolitical conflict, and these outcomes remain robust to a placebo test. Cross-sectionally, we find that the risk premium linked to bonds with negative GPR beta is larger for firms with high downside risk,  greater international exposure, more supply chain disruptions, and higher credit risk, and during times of elevated volatility and economic uncertainty. Our results are robust across multiple tests, including alternative GPR indices, GPR beta estimators, and the inclusion of firm-level political risk. Overall, our findings suggest that when fixed-income investors worry about GPR, they tend to reallocate their investments toward high GPR-beta bonds, accepting lower returns to better hedge against geopolitical risks, thus supporting the risk premium or hedging hypothesis.

Edmund Lou, University of Auckland

Income Inequality, House Prices, and Housing Regulations

Authors: Edmund Lou, Chao Liu (Chinese University of Hong Kong) and Wei Xiang (University of Michigan).

Abstract: This paper studies the relationship between income inequality and house prices in the United States. We exploit the initial income distribution across 90 occupation-income percentile groups and the national income growth of these groups to construct instruments for income inequality measures, effectively addressing reverse causality concerns. Using county-level data from 1990 to 2017, we find that a one standard deviation increase in the Gini coefficient leads to a 26% increase in house prices. We propose a supply-side channel to explain the observed higher prices and fewer housing stocks in more unequal areas. Consistent with this mechanism, our analysis shows that a one standard deviation increase in the Gini coefficient results in an increase in the 2018 Wharton Residential Land Use Regulation Index by 0.35 standard deviations, leading to 14% fewer housing units, 58% fewer building permits over the next decade, and a 2 percentage point decrease in homeownership rate. Our findings highlight the importance of income inequality in shaping housing market dynamics through its impact on housing regulations and the consequences for housing affordability.

Claire Matthews, Massey University

Transformation in Retail Banking – Do New Zealand’s Retail Bank Customers Welcome Green Banking?

Authors: ClaireMatthews, Randika Kapuge (Massey University) and David Tripe (Massey University).

1^st Auckland Finance Workshop Series, 13 June 2025.

Hosted by University of Auckland.

Helen Lu, Vlerick Business School

Projecting Financial Statements with Artificial Intelligence

Authors: Helen Lu, Paul Geertsema (Vlerick Business School) and Guang Ma (Rutgers Business School).

Abstract: We introduce a novel artificial intelligence framework for projecting financial statements. Our approach integrates multi-target learning and chained learning to predict interdependent financial statement items, capturing the intricate relationships across income statement and balance sheet components. Leveraging gradient boosting machines (GBMs) as the base learner, the framework employs a four-step process to optimise chaining sequences and feature sets, in order to effectively model inter-item correlations. Empirical validation using out-of-sample predictions for a large sample of U.S. public firms demonstrates the model’s ability to produce accurate and internally consistent financial statement projections. Line-item analyses reveal that the incremental signal gained at each stage of the chain consistently outweighs the small losses from error propagation, so predictive information builds rather than erodes as the forecast moves through the statement. This pattern proves robust across items, periods, and alternative specifications. Furthermore, we establish the utility of these projections for detecting financial irregularities out-of-sample. Our methodology can be adapted to other tasks involving the prediction of complex and interdependent outputs.

Partner University Presentations:
Jing Liao, Massey University

The Green Ripple: Does Foreign Environmental Norm Shape Corporate Green Sustainability through Global Supply Chains?

Authors: Jing Liao, Kai Huang (Massey University), Linshan Zeng (Massey University), and Yudong Zhang (Qingdao University).

Justin Case, University of Auckland

Asset Pricing with Cognitive Biases and Deep Learning

Bart Frijns, Auckland University of Technology

Do Public Concerns About ESG Issues Affect Firm Financial Performance?

Authors: Bart Frijns, Kenneth De Beckker (Open Universiteit, KU Leuven), and Angga Sasmitapura (Open Universiteit, Universitas Katolik Parahyangan).