Finance Research Seminars

The ACFR holds regular online (via MS Teams) and in-person research seminars that highlight current research in the finance industry. Format: Academic papers are presented by one of their authors and are followed by a Q&A discussion. All are welcome to join the Teams Meeting via the links below or in person.

2026

Wednesday, 24 June 2026 11am-12pm, WF510
Ihsan Badshah, Auckland University of Technology

Economic Policy Uncertainty and Mutual Fund Flow Sensitivity to Alpha: International Evidence

Abstract

We examine how economic policy uncertainty (EPU) influences the well-known relationship between performance and mutual fund flows. Using a global panel of mutual funds from 17 countries over 19952021, we find that while past alpha significantly predicts positive net inflows, this effect significantly diminishes during periods of elevated EPU. The robust fixed effects regressions, staggered differencein-differences, and dynamic generalized method of moments approaches show that the interaction between past alpha and EPU has a negative and meaningful impact on fund flows, indicating that investors become less responsive to past outperformance when policy uncertainty is high. This aligns with the idea that macroeconomic uncertainty increases investor risk aversion and reduces the perceived reliability of alpha as a sign of managerial skill, leading investors to discount performance signals. Further analysis reveals that the dampening effect of EPU is stronger for older, larger, high-fee funds, and those with high idiosyncratic volatility, as well as for bond, money market, and hybrid funds that are more sensitive to policy shocks. We also observe heterogeneity based on fund style and behavioural traits: the alpha–flow relationship is more significantly affected under uncertainty for passive funds and funds with highly risk-averse investors. Overall, these findings show that EPU weakens traditional performance-chasing behaviour and influences capital allocation in the mutual fund industry. Our results remain consistent across various macroeconomic factors, alternative measures of uncertainty, and different model specifications.

Friday, 15 May 2026 11am-12pm, WF711
Jonas Dovern, Friedrich-Alexander-Universität Erlangen-Nürnberg

The Causal Effects of Trump’s Re-election on Business Expectations of German Firms

Abstract

We provide causal evidence from a natural experiment that firms rapidly update business expectations in response to salient policy events. This complements growing evidence on firms' expectation formation from survey-based RCTs. We use variation in the exact timing of responses in a German business survey to identify shifts in business expectations of manufacturing firms caused by the outcome of the 2024 US presidential election. The probability of reporting negative expectations increases by 12~percentage points. The effect is driven by exporters, especially those exposed to the US economy. Consistent with rational-updating frameworks, the response is concentrated among firms that assigned a low prior probability to a Trump victory, and the assessment of current business conditions remains unaffected. Firms reduce planned investment expenditures. The paper provides first evidence that the results of foreign elections causally transmit to firms’ expectations in another economy.

Friday, 1 May 2026 11am-12pm, WG608
Olga Dodd, Auckland University of Technology

Political Risk and Commodity Currencies

Abstract

We examine the impact of political risk on the relationship dynamics between commodity and currency returns in commodity-exporting countries. We find that the typically positive contemporaneous relationship between commodity and currency returns disappears when political risk increases. This finding is in line with the rare disasters model of Farhi and Gabaix (2016), with the negative effect of political risk being transmitted to foreign exchange rates indirectly by affecting the relationship between the foreign exchange and commodity returns. The results hold for various measures of political risk. The documented effect on the commodity-currency pricing relationship is driven by political risk, not economic uncertainty, and not by the appreciation of the US dollar during periods of heightened political risk. The documented effect is stronger for countries with high political risk. The implication is that commodity currencies do not benefit from commodity price increases during periods of heightened political risk.

Friday, 24 April 2026 11am-12pm, WF711
Andre Poyser, Auckland University of Technology

Geoeconomic Pressure, Dollar Dependence and the Harmonization of Global Finance: Evidence from Sanctions Enforcement

Abstract

The impact of economic statecraft on the growth and development of financial markets is often overlooked, particularly the effects of secondary sanctions and the role of dollar dominance. I quantify these effects by collecting 18 years (2003-2021) of data on secondary sanctions imposed on 690 financial and non-financial entities via Office of Foreign Assets Control (OFAC) enforcement actions and using the input–output network propagation framework proposed by Clayton, Maggiori and Schreger (2023) to link these actions to country-level measures of financial development. A dynamic difference-in-differences analysis provides support for the intuition that secondary sanctions have led to improvements in financial development across countries through institutional upgrading across the global financial network as financial institutions implement compliance programmes to address and avoid further sanctions violations. Consistent with a dollar-centred network channel, these effects are strongest for countries more integrated into U.S. dollar correspondent and securities networks, although sanctions pressure does not produce statistically meaningful shifts in reserve currency composition or central bank digital currency adoption. An examination of the sender-side effects of secondary sanctions reveals that financial development improves meaningfully only when enforcement originates at the core of U.S.-centric financial infrastructure and institutional upgrading within the U.S. diffuses through the exposure of non-U.S. institutions to USD correspondent and Swift linkages. The demonstration effect of major penalties on multinational financial institutions outside the U.S. does not propagate upgrading to the same extent.

Thursday, 19 March 2026 11am-12pm, WF711
Kelvin Tan, University of Queensland, Australia

Director Job Security and Corporate Environmental Policies

Abstract

In this paper, we examine the impact of director job insecurity on corporate environmental policies. We find that after the enactment of majority voting (MV) legislation, which strengthens shareholders’ power in director elections, companies release more toxic chemicals to the environment, particularly those associated with human health effects. In addition, we show that the affected firms mainly increase average emissions across plants and emit more distinct chemicals rather than investing in new facilities. The evidence suggests that the aggravation of firm pollution is driven by increased production. The passage of MV legislation does not affect firms’ source reduction efforts, while it slightly enhances their waste management activities. However, such changes cannot effectively offset the increases in total waste generation. We further show that after the enactment of MV legislation, higher emission levels are associated with a lower likelihood of director turnover, supporting our conjecture that increases in firm pollution are caused by heightened dismissal threats. We do not find much evidence of the engagement of environmentally conscious shareholders in emission reductions after MV legislation enhances their power in director elections. Finally, we show that greater board gender diversity and CEO duality can mitigate the deterioration of corporate polluting activities. Overall, our findings suggest that heightened job insecurity motivates directors to pursue short-term performance at the expense of firms’ environmental sustainability.

March 16, 2026, 1pm-2pm, Room WF711
Professor Michael Weber, Daniels School of Business at Purdue University, United States

Subjective Income Expectations and Household Debt Choices

Abstract

The paper combines transaction-level bank data, credit registry records, and repeated survey expectations to examine how individuals form income expectations and how these beliefs influence economic behaviour. The central finding is that households over-extrapolate from income shocks when forming expectations about future income. When individuals experience positive income surprises, they tend to become overly optimistic about future earnings. This optimism leads to higher current consumption, greater borrowing, and a higher probability of future default when realised income falls short of expectations. The study provides micro-level evidence on the link between belief formation and household debt dynamics, contributing to the growing literature on behavioural macroeconomics, consumption decisions, and credit cycles.

March 27, 2026, 11pm-12 pm, Room WF711
Harris (Thanh) Vu and Sara Ali

Accelerating Research with AI Tools Workshop

Join the newly formed AI/Fintech Research group for a hands-on workshop to demonstrate practical applications of AI tools within academic research workflows. It will explore how AI tools (ChatGPT, SciSpace, NotebookLM, and Prism, among others) can support literature review, summarising and comparing sources, rapid exploratory coding and analysis, and improving clarity in written work. Through examples and short activities, the workshop will highlight where AI can streamline research tasks while still requiring critical academic judgment.

Friday, 27 February 2026 11am-12.30pm, WF711
Aaron Gilbert, Auckland University of Technology

Who Feels Financial Shame? Latent Profiles of Vulnerability and Resilience

Abstract

Financial shame, feelings of embarrassment, inadequacy, and self-blame about one’s financial situation, has become increasingly common as financial strain rises worldwide, yet little is known about who experiences it and why. Using a survey of 705 New Zealand adults, we examine the psychological, experiential, and behavioural pathways associated with financial shame. We measure social comparison tendencies (importance of social and digital networks, materialism), identity centrality, financial capability (self-efficacy, literacy, responsibility), and lived financial experiences, and use principal component analysis to construct latent factors for financial strain, identity, and past financial adversity. A structural equation model identifies the direct and indirect drivers of financial shame, and latent profile analysis uncovers stable “financial-shame profiles.” Social comparison emerges as the strongest predictor of financial shame, followed by current financial strain and past negative experiences. Financial self-efficacy plays a critical buffering role: it directly reduces shame, mitigates financial strain, and moderates the strain–shame relationship. The latent profiles reveal four distinct configurations; one profile (~12%) is particularly shame-prone due to high comparison tendencies and low financial responsibility. Importantly, self-efficacy does not differ across profiles, suggesting it is a modifiable resource rather than a fixed trait. The findings highlight self-efficacy as a promising intervention target for reducing financial shame and improving financial engagement.

Thursday, 29 January 2026 12pm-1pm, WF314
Derwyn Hamidon (PhD student,Auckland University of Technology)

The digital financial inclusion-sustainable socioeconomic development nexus: Evidence from developed and developing economies

Abstract

Digital financial inclusion is increasingly regarded as a transformative solution to many of the challenges associated with traditional financial inclusion, including inadequate financial infrastructure. Digital tools that enable digital financial inclusion (DFI) tend to be more cost-effective for providers and offer greater convenience to consumers, potentially increasing equitable access to and utilisation of financial services. However, they may increase financial exclusion for vulnerable groups, raise CO2 emissions and financial risks, which may hinder sustainable socioeconomic development, encompassing income growth and societal wellbeing sustainably, while preserving the environment. Furthermore, DFI initiatives tend to favour individuals in developed economies and urban areas due to their superior digital literacy. This paper examines the impact of DFI on sustainable socioeconomic development (SSED) and whether the effects differ between developed and developing economies. Using annual panel data from 2014 to 2022, our sample includes 30 developed and 36 developing economies across all six 6 regions. 2SLS regression results indicate a significant, positive impact across both groups. Threshold results reveal a significant, positive non-linear impact across both groups, with the effect contrasting. This suggests a complex, non-monotonic relationship, particularly for developing economies, which appear to require a minimum level of DFI to realise noticeable benefits for SSED. In contrast, developed economies experience incremental gains beyond this threshold. Accordingly, we offer multi-country, multi-layered analyses of the nuances of the DFI-SSED relationship.

2025

Thursday, 27 November 2025 2pm-3pm, WF214
Bart Frijns, Auckland University of Technology

Do Public ESG Concerns Drive Mutual Fund Flows?

Abstract

We examine how time-varying public concerns about environmental, social, and governance (ESG) issues affect mutual fund flows. We construct a Google-based ESG Concerns Index to capture fluctuations in public attention to ESG matters and calculate fund-level ESG scores based on portfolio holdings. Our results show that during periods of heightened ESG concerns, funds with higher ESG scores attract relatively greater inflows than low-ESG funds, whereas this relationship disappears when concerns subside. The effect is primarily driven by reduced allocations to low-ESG funds rather than increased allocations to high-ESG funds and is most pronounced among funds with a larger share of institutional investors. Furthermore, funds with greater institutional ownership maintain higher ESG scores, particularly during periods of elevated public concern.

Monday, 17 November 2025 11am-12pm, WG609
Dr. Shunji Mei, University of Adelaide, Australia

Chained Innovation: Response to Customer Covenant Violations

Abstract

This study examines how customer debt covenant violations affect supplier innovation through relationship-specific information sharing. When customers breach covenants, their weakened bargaining position prompts them to share proprietary technology to retain key suppliers. Using U.S. data, we find that suppliers of covenant-violating customers increase innovation output, specialize in niche technologies, and collaborate more closely with customer firm inventors. These effects are stronger when information frictions are lower, and customers place less value on protecting proprietary knowledge. Survey evidence further supports these findings. Overall, customers’ covenant violations can foster supplier innovation by facilitating knowledge diffusion within supply chains.

Friday, 7 November 2025 12pm-1pm, WF710
Vitali Alexeev, University of Technology Sydney

Is ESG’s market impact fading? Stock price reactions to ESG news over time

Abstract

We examine how the stock market’s reaction to environmental, social, and governance (ESG) news has evolved since the year 2000. Using a novel sentiment-based event-detection algorithm, we extract tens of thousands of ESG events from news and social media sentiment data and document a pronounced inverted U-shaped pattern in market responses. In the early 2000s, the market penalized both ESG improvements and failures, consistent with the view that ESG initiatives were perceived as agency costs at that time. From the late 2000s to the mid-2010s, reactions became polarity-consistent, with positive (negative) news associated with positive (negative) abnormal returns. By the late 2010s, the response to positive news weakened to insignificance, while negative news continued to elicit strong penalties. This pattern is robust across ESG pillars, industries, and firm characteristics, with small firms more responsive to positive news and large firms more sensitive to negative news. Our results reconcile previously conflicting findings in the ESG literature by showing that market reactions are not constant, but instead reflect distinct phases in the integration of ESG considerations into the investment decision-making process.

Thursday, 30 October 2025 2pm-3pm, WF710
Nick Nguyen, Auckland University of Technology

Debt Betas: The Impact of Time-to-Maturity and Liquidity

Abstract

We show, both theoretically and empirically, that bond time-to-maturity and liquidity are important determinants of debt betas, independent of credit risk. A one-standard-deviation increase in time-tomaturity (illiquidity) raises debt beta by 30% (36%). These results are robust. They are present in raw, duration-matched, and microstructure-adjusted returns, and hold at both individual and portfolio levels under both CAPM and indirect estimation models. Our findings have important implications for estimating equity betas. Individual equity beta estimates are noisy, so it is common to shrink firm betas toward peer firm averages, assuming that debt betas are either zero or the same across firms with the same credit rating. We show that this assumption leads to material estimation errors when firms differ in maturity structure or liquidity of their outstanding bonds. We demonstrate the magnitude of this bias for firms in general and provide examples for regulated industries in the U.S. and New Zealand.

Thursday, 16 October 2025 2pm-3pm, WF603
Aaron Gilbert, Auckland University of Technology

Financial Training Wheels or Gateway Drug: How Student Loans Shape Debt Attitudes

Abstract

Student loans are often a young adult’s first debt experience—but one that removes almost all financial risk. Whether such benign credit exposure socialises caution or complacency remains an open question. This paper tests whether student loans act as training wheels—fostering responsible credit attitudes—or as a gateway drug that normalises borrowing. Using two nationally representative surveys of New Zealand young adults (n = 1,212), we analyse how holding a student loan is associated with debt attitudes, debt literacy, perceived repayment burden, and credit use. Ordinary least squares, ordered logistic, and causal-robust estimators show that student-loan holders exhibit significantly less pro-debt attitudes, higher debt literacy, and a greater awareness of repayment burden. These effects are not explained by financial education and persist after matching on observables, indicating that they stem from the experience of indebtedness itself. Student-loan holders are also more likely to use Buy Now Pay Later credit, but not to misuse it. Together, the findings suggest that student loans act as a constructive form of debt socialisation—training wheels rather than a gateway drug.

Thursday, 7 August 2025 2pm-3pm, WF413
Dr. Andre Poyser, Auckland University of Technology

Digital Asset Valuation: Evidence from the FTX Bankruptcy

Abstract

I study whether KO-adjusted valuations, used to determine creditor entitlements in the FTX bankruptcy, reflect market-relevant pricing for digital assets. The main discovery

I make is that KO values predict post-petition token prices and partially explain market fundamentals, suggesting institutional coherence. I also discovered that, despite

their predictive power, KO values do not influence sale prices in the secondary market for FTX claims. Instead, market pricing is anchored to claim face value, bid–ask conditions, and token composition. Institutional investors, who dominate this novel secondary market for distressed digital assets, appear to disregard theoretical valuations and instead, rely on heuristics and liquidity cues. Heterogeneity among these secondary market investors partly explains the disconnect between the theoretical valuation framework and actual market pricing in distressed digital asset environments.

29 April 2025 10am-11am, Room WF710
Darius Palia, Rutgers Business School, United States

Do “MEASURES” of Bank Diversification Measure Up?

Abstract

We analyse the effectiveness of several widely used measures of bank business segment diversification in capturing the ‘diversification effect’, ie, the ability of the measure to explain variation in idiosyncratic risk over time and across banks. Portfolio theory suggests that bank business segment diversification is negatively correlated with idiosyncratic risk (especially if segment incomes are imperfectly correlated). We find that several commonly used measures of bank business segment diversification are either poorly or positively correlated with idiosyncratic risk, suggesting that they are inaccurate or misleading indicators of bank business segment diversification. We instead propose the ‘Entropy’ measure that accounts for both the number of business segments that a bank operates in as well as the proportion of banks’ incomes from the business segments. Entropy is significantly better at capturing the diversification effect and measuring bank diversification. Time-series variation in entropy coincides with the passage of major banking legislation (such as the Gramm-Leach-Bliley Act in 1999 or the Dodd-Frank Act in 2010), providing an important validation for our measure. Using the entropy measure, we revisit the question of how bank diversification impacts bank performance and risk and find that diversified banks exhibit better performance (as measured by return on assets or return on equity) and lower risk (as measured by Z-scores), which is in stark contrast to findings in earlier papers that document an inconsistent relation between business segment diversification and bank performance.

21 March 2025 1pm-2pm, Room WF710
Andre Poyser, Auckland University of Technology

Does Financing Biodiversity Reduce Biodiversity Risk? Evidence From EU Science and Innovation Funding

Abstract

Recent calls for increased private capital in the financing of biodiversity have been silent on how effective this deployment of additional capital will be in improving biodiversity outcomes. Time-series data for multi-species indicators of biodiversity risk related to species integrity, endangered species, species protection and species data coverage across 25 European countries and financing of 8,045 biodiversity projects within these countries and data on the performance of each country on SDG 15 over a 16-year period are used to examine whether increased financing of biodiversity research and conservation initiatives is effective in addressing biodiversity risk and meeting biodiversity targets. Results of an intertemporal dynamic difference-in-differences show that at both the extensive and intensive margins, biodiversity financing is effective in supporting species protection and improving biodiversity data coverage but fails to make a significant impact on species integrity, endangered species, or forest conservation. These results highlight the uneven effectiveness of biodiversity financing, with stronger impacts on conservation activities that involve data collection and habitat protection, but limited influence on direct ecological and species-level recovery. Examination of the relationship between biodiversity financing and the biotechnology outcomes of biodiversity projects which deploy or develop biotechnology indicates that these projects provide possible use cases for private investment, in that the patents and DNA technology they produce could provide future cash flows from which investors could benefit.

2024

4 December 2024 11pm-12pm
Niven Winchester, Auckland University of Technology

Economy-wide impacts of output-based permit allocations in emissions trading schemes

Abstract

Emissions trading schemes (ETSs) in many jurisdictions offer a free output-based allocation (OBA) of emissions permits to selected energy-intensive sectors to reduce the burden of emissions pricing. Most analyses of the impact of OBAs relative to grandfathering or auctioning permits focus on the US economy. This paper examines the economy-wide impacts of OBAs using a stylised model that is calibrated to represent different economies. The results show that OBA lead to larger increases in carbon prices and welfare costs from reducing emissions (1) the larger the relative size of sectors that receive OBAs, and (2) the tighter the emissions cap. We also find that some emissions reduction targets are infeasible when the size of sectors that receive OBAs is sufficiently large. Jurisdictions considering OBAs should carefully consider the economy-wide impacts of this allocation method before enacting policies.

4 November 2024 10am-11am
Gertjan Verdickt, University of Auckland

Man vs. Machine: The Influence of AI Forecasts on Investor Beliefs

Abstract

Do investors trust an AI-based analyst forecast? We address this question through four incentivized experiments with 3,600 U.S. participants. Our findings highlight that, although investors update their return beliefs in response to the forecast, they are less responsive when an analyst incorporates AI. This reduced trust stems from a lower perceived credibility in AI-generated forecasts. We reveal other important nuances: women, Democrats, and higher AI literacy investors are more responsive to AI forecasts. In contrast, AI model complexity reduces the probability of return updating. Additional manipulations show that forecast providers do not amplify reactions to their content. Overall, our findings challenge prevailing notions about AI adoption in financial decision-making.

21 October 2024 9am-10am
Nick Nguyen, Auckland University of Technology

The Impact of Crime on ESG Performance

Abstract

Using a large FBI dataset of reported crime incidents across the U.S., we examine how local crime rates near firm headquarters impact firm ESG outcomes. Stakeholder theory suggests that high local crime would lead firms to enhance their ESG efforts, addressing safety and community concerns. Our findings show the opposite: firm ESG performance is worse (better) in high (low) crime areas. These results are robust across three approaches addressing endogeneity. CEO characteristics, financial constraints, and stakeholder pressure shape firms’ ESG-crime responses. When crime risks appear long-lasting, firms reduce ESG activities, challenging stakeholder theory’s prediction that firms consistently meet stakeholder demands.

1 October 2024 12pm-1pm
Van Le, Newcastle Business School

Unlocking Financial Benefits: How Green Bond Issuance Lowers Bank Loan Costs Globally

Abstract

We investigate the effect of green bond issuance on the cost of bank loans across the globe. Using a large sample of firm-year observations from fifty countries, we find that corporate green bond issuers benefit from lower bank loan costs, eased collateral requirements and improved credit ratings. We further examine competing underlying mechanisms through which green bond issuance influences bank loan costs, including enhanced information efficiency, better corporate governance and improved ESG performance. Our analysis extends across diverse country, loan, and firm-level variations and includes extensive robustness tests to address potential endogeneity concerns. This study offers new insight to support the sustainable financing discourse by highlighting the positive impact of green finance on a firm’s borrowing cost, enhancing its appeal to prospective issuers and lenders.

23 September 2024 9am-10am
Lee Zhuge, Auckland University of Technology

Degenderization and Collective Labor Supply in Same-sex Couples

Abstract

I propose a refined Chiappori-style collective model to explore how degenderization influences labor allocation within same-sex couples. This study addresses the shortcomings of Becker and Gronau’s time allocation theory, which inadequately explains labor behaviors among same-sex couples solely through comparative advantages. A gender-neutral collective model is introduced to accommodate shifts away from traditional gender norms. In this framework, gay men show reduced aversion to household tasks, while lesbian women exhibit decreased aversion to paid work. Consequently, gay men are likely to allocate less labor to market work and more to home production, while lesbian women are expected to allocate more labor to market work and less to home production. With a narrower intra-household bargaining power gap, same-sex couples tend toward a more balanced distribution of labor between paid work and housework. Empirical evidence from the British Household Panel Survey supports this theoretical framework, highlighting its relevance in understanding labor dynamics within same-sex partnership.

3 September 2024 12pm-1pm
Hardjo Koerniadi, Auckland University of Technology

Testing the risk-taking hypothesis on the cash conversion cycle anomaly

Abstract

This study aims to explore whether the risk-taking hypothesis can explain the cash conversion cycle (CCC) anomaly, as documented in recent literature. By examining a dataset comprising non-financial US firms spanning from 1986 to 2022, this study finds that firms with lower CCC exhibit higher levels of operational and stock return risks. These firms also tend to allocate a more significant portion of their resources toward capital expenditures and/or research and development (R&D) expenses. These findings suggest that the significantly positive abnormal returns of firms with low CCC, as documented in the CCC anomaly, can be attributed to the undertaking of higher risks. Further analysis on the components of the CCC shows that firms with low CCC manage their inventory and accounts payable days to expose them to higher levels of risk.

2023

20/02/2023, 10am-11am in NZST, Room WF713
Professor Oliver Entrop, University of Passau

Local Religiosity and Stock Liquidity

Abstract

We investigate whether local religious norms affect stock liquidity for U.S. listed companies. Over the period 1997–2020, we find that firms located in more religious areas have higher liquidity, as reflected by lower bid-ask spreads. This result persists after the inclusion of additional controls, such as governance metrics, and further sensitivity and endogeneity analyses. Subsample tests indicate that the impact of religiosity on stock liquidity is particularly evident for firms operating in a poor information environment. We further show that firms located in more religious areas have a lower price impact of trades and smaller probability of information-based trading. Overall, our findings are consistent with the notion that religiosity, with its anti-manipulative ethos, probably fosters trust in corporate actions and information flows, especially when little is known about the firm. Finally, we conjecture an indirect firm value implication of religiosity through the channel of stock liquidity.

09/03/2023, 9am-10 am in NZST, Room WF711
Sebastian Gehricke, Otago University

ESG ETF Divestment and Financial Performance

Abstract

This paper aims to empirically investigate whether divestment by, predominantly passive, Environmental, Social and Governance (ESG) Exchange Traded Funds (ETFs) can affect firm level share prices from 2013 to 2022. In total we identified and investigated 45,397 individual divestment events. Employing panel regression models, we find that divestment by these funds has a significant and prolonged negative effect on the returns of individual companies. More importantly, a higher number of ESG ETFs divesting in a firm, which could be seen as coordinated divestment, results in significant prolonged negative effects to stock returns. We identify that even when very few ETFs divest, this can have negative effects on contemporaneous quarter stock returns. These results provide further evidence that divestment is an important tool for the sustainability transition.

27/03/2023, 9am-10 am in NZST via MS Teams
Remco Zwinkels, Vrije Universiteit Amsterdam

Risk, Return, and Sentiment in a Virtual Asset Market

Abstract

The joint-hypothesis problem casts doubt on the results of market efficiency research. Specifically, it is hard to assess to what extent financial markets reflect economic fundamentals or mispricing. To address this issue, we study price formation in a large virtual asset market where fundamentals are predetermined and publicly known. We find that a number of well-established determinants of returns from the real world also affect asset prices in this market, despite the absence of systematic risk. The results suggest that prices in real financial markets include a substantial behavioral component, which is likely underestimated in canonical asset pricing tests.

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01/05/2023, 10am-11 am, NZST, Room WF714
Stephen Bahadar, Auckland University of Technology

Forward-looking information: Does IIRC Framework adoption matter?

Abstract

We examine whether the adoption of the International Integrated Reporting Council’s Integrated Reporting Framework (IIRC Framework) influences the extent of forward-looking disclosures provided by reporters. We capture forward-looking disclosures of Australian and New Zealand-based IR reporters over a period of 10 years from 2010 to 2019 using a machine learning algorithm. We find that the adoption of the IIRC Framework has a significant positive impact on the extent of forward-looking disclosures provided by reporting entities. Our primary evidence suggests that while listing status alone negatively influences the extent of forward-looking disclosures, our additional analysis reveals that the acceptance of the IIRC Framework by listed entities leads to an increase in forward-looking information. These results remain valid when subjected to a variety of robustness (alternative variables and country fixed effect) and endogeneity (system Generalized Method of Moments (GMM) and Entropy Balancing estimations) tests. This study provides novel evidence by highlighting the role played by the IIRC Framework in promoting forward-looking disclosures.

08/05/2023, 10am-11 am, NZST, via MS Teams.
Dr Yili Lian, California State University, Stanislaus

Financial Distress, Bank Branching Deregulation, and Customer-Supplier Relationships

Abstract

The paper exploits the deregulation of interstate bank branching laws to examine whether improved access to bank credit for customer firms affects the probability of their suppliers’ financial distress. The study provides robust evidence that suppliers’ financial distress risk is lower when the states of their major customer firms experience bank branching deregulation. The results are more pronounced for supplier firms with stronger customer-supplier relationships, for financially constrained suppliers, and for suppliers whose customers are financially unconstrained. Overall, the findings highlight the importance of customers’ access to credit on the financial distress risk of their suppliers.

14/08/2023, 11pm-12 pm, NZST, via MS Teams
Dr Matthew Wynter, Stony Brook University

The Role of Domestic and Foreign Sentiment for Cross-Border Portfolio Flows

Abstract

We show that sentiment influences the demand for foreign stocks, as identified by international portfolio flows between investors in the United States and investors in 44 other countries. We document two channels through which sentiment affects flows. First, inflows are higher in countries with higher sentiment. Second, higher sentiment in a given country is associated with lower outflows from that country to bilateral trade partners, suggesting that sentiment in one country can have spillover effects on demand for assets in other countries. The combined sentiment effects are associated with economically meaningful implications for net flows. Finally, we consider country closed-end funds and find evidence of the pricing effects of sentiment.

21/08/2023, 11pm-12 pm, NZST, Room WF411
Dr Jose Da Fonseca, Auckland University of Technology

A linear-rational Wishart term structure model with jumps

Abstract

This study proposes a linear-rational multi-curve model based on the Wishart process with jumps. The jump component allows the model to replicate the skew observed in the cap/floor market as well as the non-trivial correlation between the curves. The linear-rational property implies that pricing a swaption or a cap/floor is of equal numerical complexity. Thanks to the affine property of the Wishart process with jumps, we derive an explicit formula that relates the swaption/cap/floor market volatility and the model parameters. Further to this, we derive two approximate pricing formulas for interest rate derivatives that are fast to evaluate and that can be applied to liquid products, such as swaption/cap/floor, or more exotic ones, like constant maturity swap derivatives. We illustrate the model’s ability to generate skewed smiles as observed in the EUR-Euribor cap/floor market and the numerical
accuracy of the different option pricing formula approximations.

06/09/2023, 11pm-12 pm, NZST, Room WF702 and MS Teams
Huiqiong (Joanne) Tang, Auckland University of Technology

Responsible investment funds and their management companies' emphasis on ESG performance: First priority or icing on the cake?

Abstract to follow

18/09/2023, 11pm-12 pm, NZST, Room WF411
Dr Prasad Hegde, Auckland University of Technology

TBA

30/10/2023, 11pm-12 pm, NZST, Room WF411
Dr Nhut (Nick) Hoang Nguyen, Auckland University of Technology

TBA

13/11/2023, 11pm-12 pm, NZST, via MS Teams
Dr Özlem Dursun de Neef, Monash University

Monetary Policy, HTM Securities, and Uninsured Deposit Withdrawals

27/11/2023, 11pm-12 pm, Room
Dr Hari Srivastava, Auckland University of Technology

TBC

04/12/2023, 9am-10 am, NZST via MS Teams
Dr Elio Bolliger, University of Lausanne

Do Local Forecasters Have Better Information

Abstract

Using individual inflation and GDP growth forecasts by professional forecasters for a panel of emerging and advanced economies, we provide direct evidence that foreign forecasters update their forecasts less frequently than local forecasters (about 10% less frequently) and make larger errors in absolute value (up to 9% larger). The local forecasters' more accurate expectations are not due to a more irrational expectation formation by foreigners but to local forecasters' more precise information. The asymmetry is stronger at shorter horizons and when forecasting inflation. In general, the asymmetry is not weaker when forecasting is less uncertain. Taken together, our results provide a basis for disciplining international finance and trade models with heterogeneous information. On the methodological side, we provide tests that identify differences in information frictions across groups.