Research Interests

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

Credit Efficiency: Another Early Warning Indicator for Systemic Risk

with Chenyao Tang

Abstract. Credit booms may either precede financial crises or support economic growth. The paper develops credit efficiency—the ratio of output to private credit—as an early-warning indicator grounded in Keynesian and Minskyan mechanisms. The measure helps distinguish productive credit expansions from the accumulation of systemic vulnerabilities and improves the identification of harmful credit booms.

FINANCE RESEARCH LETTERS

Are Cryptocurrencies Priced in the Cross-section? A Portfolio Approach

with Kassi Assamoi and Zihan Guo

Abstract. Using portfolio sorts for 110 major cryptocurrencies from September 2014 to June 2021, the paper evaluates exposures to 23 financial and uncertainty factors. Cryptocurrency returns are strongly related to uncertainty, equity-market, foreign-exchange, and precious-metal factors. The findings show that cross-asset risk exposures contain meaningful information for the cross-section of cryptocurrency returns.

JOURNAL OF FINANCIAL ECONOMICS

Sovereign Risk Premia and Global Macroeconomic Conditions

with Sandro C. Andrade and Alexandre Jeanneret

Abstract. The paper studies how global macroeconomic conditions affect sovereign bond prices. Investors earn premia for exposure to low-frequency variation in expected growth and volatility as well as higher-frequency macroeconomic shocks. Long-run macroeconomic risk accounts for much of the level and cross-sectional dispersion in sovereign risk premia across 43 countries between 1994 and 2018.

CORPORATE GOVERNANCE AND ORGANIZATIONAL BEHAVIOR REVIEW

Editorial: Can Gender Equality and Auditing Be ESG Issues?

Overview. This editorial situates gender equality and auditing within the evolving ESG research agenda. It highlights how governance scholarship is expanding beyond traditional firm-level mechanisms to examine accountability, inclusion, disclosure quality, and the institutional dimensions of sustainable corporate behaviour.