Publications

Putniņš, TJ 2020, 'Economics of State-Owned Enterprises 1' in The Routledge Handbook of State-Owned Enterprises, Routledge, pp. 215-238.
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Alexeev, VM & Ignatieva, KM 2020, 'Biases in Variance of Decomposed Portfolio Returns', SSRN Electronic Journal.
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Bohmann, MJM & Patel, V 2020, 'Information Leakage in Energy Derivatives around News Announcements', The Journal of Derivatives, vol. 27, no. 4, pp. 13-29.
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Bui, C, Scheule, H & Wu, E 2020, 'A cautionary tale of two extremes: The provision of government liquidity support in the banking sector', Journal of Financial Stability, vol. 51, pp. 100784-100784.
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Using U.S. bank holding company data, we study the impact of the crisis liquidity programs initiated by the U.S. Federal Reserve on bank-specific information production. We find empirical evidence that following the receipt of liquidity support there was a pervasive decrease in bank stock price informativeness that increased market synchronicity and crash risk. Our findings further suggest that these effects are mainly driven by bank participation in the Discount Window (DW) and Term Auction Facility (TAF) programs. On the bright side, we confirm that the liquidity programs served their purpose in targeting and supporting illiquid banks with low core stable funding sources through the crisis.

Cotton, D 2020, 'Transition Finance and Markets', ACRN Journal of Finance and Risk Perspectives, vol. 9, no. 1, pp. 137-147.
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The increased focus and agreement on the requirement for the planet to be more sustainable has led to an array of new research and financial products. The new buzz phrase is transition financing which is being seen as the path to achieving a sustainable world. The Development Assistance Committee (DAC) in the Organisation for Economic Co-operation and Development (OECD, 2019) has the main objective of transition finance is to optimise access to finance for sustainable development to avoid financing gaps or socio-economic setbacks. This chapter examines some of the products and markets in current use by financial institutions and investors. It describes their use and recent research in this area as well as some gaps in this research.

Dahiya, S, Hallak, I & Matthys, T 2020, 'Targeted by an activist hedge fund, do the lenders care?', Journal of Corporate Finance, vol. 62, pp. 101600-101600.
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Edwards, M, Brown, P, Benn, S, Bajada, C, Perey, R, Cotton, D, Jarvis, W, Menzies, G, McGregor, I & Waite, K 2020, 'Developing sustainability learning in business school curricula – productive boundary objects and participatory processes', Environmental Education Research, vol. 26, no. 2, pp. 253-274.
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© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group. Sustainability learning is holistic and complex as it draws on diverse disciplines and can be interpreted differently within individual pedagogies. Embedding sustainability across and within business schools relies on developing suitable boundary objects. These may include representations such as models, frameworks or classificatory schemes that are malleable enough to be adapted for use within the disparate disciplines and pedagogies, yet durable enough to be recognisable and to maintain consistency across them. Boundary objects thus allow the sharing of ways of knowing or practice across various social boundaries. This paper outlines how participatory curriculum development processes can enable sustainability to be embedded in a business school curriculum. Distinct phases of the process were marked by different ways of knowing, as disciplinary-specific academics developed and embedded sustainability into and across curricula. Boundary objects were both outcomes and productive facilitators of this process. They acted as catalysts and attracted ongoing processes of dialogue, debate and meaning-making between these academics. The institutional context provided enabling conditions to legitimize outcomes from the participatory process. The process may be replicable in other business schools by the use of boundary objects.

Gan, B, Alexeev, V, Bird, R & Yeung, D 2020, 'Sensitivity to Sentiment: News vs Social Media', International Review of Financial Analysis, vol. 67, pp. 1-17.

Kang, B, Sklibosios Nikitopoulos, C & Prokopczuk, M 2020, 'Economic Determinants of Oil Futures Volatility: A Term Structure Perspective', Energy Economics, vol. 88, pp. 1-25.
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To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations in commodity markets volatility. The volatility estimates reveal that in line with theory, the volatility factors are unspanned, persistent and carry negative market price of risk, while crude oil markets are becoming more integrated with financial markets. After 2004, short-term volatility is driven by industrial production, term and credit spreads, the S&P 500 and the US dollar index, along with the traditional drivers including hedging pressure and VIX. Medium-term volatility is consistently related to open interest and credit spreads, while after 2004 oil sector variables such as inventory and consumption also impact this part of the term structure. Interest rates mostly matter for long-term futures price volatility.

Matthys, T, Meuleman, E & Vander Vennet, R 2020, 'Unconventional monetary policy and bank risk taking', Journal of International Money and Finance, vol. 109, pp. 102233-102233.
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Navone, M & To, T 2020, 'Corporate watchdogs', Financial Management, vol. 49, no. 4, pp. 925-947.
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AbstractWe investigate the role of financial analysts as corporate watchdogs. We show that firms that are subject to intense analyst monitoring are more likely to be investigated by the Securities and Exchange Commission or to be the subject of a securities class action. Using cross‐sectional variations in managerial entrenchment, we find that this effect is not a reflection of the “dark side of analyst coverage,” analysts pushing executives to misbehave to exceed short‐term expectations. Our findings are robust to different identification strategies addressing the endogeneity of analyst coverage decisions.

Patel, V, Putnins, T, Michayluk, D & Foley, S 2020, 'Price discovery in stock and options markets', Journal of Financial Markets, vol. 47, pp. 1-28.
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Using new empirical measures of information leadership, we find that the role of options in price discovery is up to five times larger than previously thought. Approximately one-quarter of new information is reflected in options prices before being transmitted to stock prices, with options playing a more important role in price discovery around information events. Using unique data on traders prosecuted for insider trading, we find that they often choose to trade in options, attracted by their leverage, and when they do the options share of price discovery is higher. Our results help interpret conflicting findings in the existing literature.

Qi, M, Scheule, HH & Zhang, Y 2020, 'Positive Payment Shocks, Liquidity and Refinance Constraints and Default Risk Of Home Equity Lines of Credit at End of Draw', The Journal of Real Estate Finance and Economics, vol. 63, no. 3, pp. 423-454.
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Scheule, H & Jortzik, S 2020, 'Benchmarking loss given default discount rates', The Journal of Risk Model Validation, vol. 14, no. 3.
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To, T, Hasan, I, Navone, MA & Wu, E 2020, 'Tournament Incentives and Acquisition Performance', SSRN Electronic Journal, vol. 9, no. 2, pp. 384-419.
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This paper examines the impact of promotion-based tournament incentives on corporate acquisition performance. Measuring tournament incentives as the compensation ratio between the CEO and other senior executives, we show that acquirers with greater tournament incentives experience lower announcement returns. Further analysis shows that the negative effect is driven by the risk-seeking behavior of senior executives induced by tournament incentives. Our results are robust to alternative identification strategies. Our evidence highlights that senior executives also play an influential role in acquisition decisions in addition to the CEO.

Wang, J, Yang, Z & Qian, X 2020, 'Driving factors of urban shrinkage: Examining the role of local industrial diversity', Cities, vol. 99, pp. 102646-102646.
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Yao, W, Dungey, M & Alexeev, V 2020, 'Modelling Financial Contagion Using High Frequency Data', Economic Record, vol. 96, pp. 314-330.
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Patel, V, Easley, D, Michayluk, D, O'Hara, M & Putnins, T 1970, 'Information flows and systematic risk', Society for Financial Studies Cavalcade, North Carolina, USA.

Patel, V, Putniņš, TJ, Michayluk, D & Foley, S 1970, 'Price discovery in stock and options markets', Journal of Financial Markets, 4th Behavioural Finance and Capital Markets Conference, Elsevier BV, Adelaide, Australia, pp. 100524-100524.
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Atherton, A, Nagrath, K, Bliemel, M, Chong, J & Cotton, D Australian Renewable Energy Agency (ARENA) 2020, Renewable Energy Venture Capital Fund Program Evaluation Report, https://arena.gov.au.
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ARENA engaged UTS to conduct a mid-term evaluation of the Renewable Energy Venture Capital Fund (REVC). The evaluation was conducted by University of Technology Sydney who were commissioned by ARENA. Overall the evaluation suggests the Fund has filled, and continues to fill, a market gap in early stage renewable energy funding in Australia. Mid-way through the fund’s life, portfolio company success is mixed so far, with it being too early to tell what the eventual impact will be for several companies. This picture of mixed success is consistent with venture capital (VC) patterns in renewable energy (RE) in other countries and in other sectors, where it is expected that some companies will fail, and others will succeed – a reflection of the higher risk associated with earlier stage investments.The REVC is now in its management phase. ARENA is acting on the two evaluation recommendations relating to this phase of the fund’s life.

Alfeus, M & Sklibosios Nikitopoulos, C 2020, 'Forecasting Commodity Markets Volatility: HAR or Rough?'.

Felez Vinas, E 2020, 'European equity market structure: key highlights from the past decade'.
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Presentation for the Stockholm School of Economics in Riga, Latvia.

Liu, L, Sojli, E & Tham, WW 2020, 'Advanced Manufacturing, Product Innovations, Productivity and Growth', SSRN.

Patel, V & Putniņš, TJ 2020, 'How Much Insider Trading Happens in Stock Markets?'.