Dr Yao Chen
Lecturer in Accounting and Finance
BS2508 Corporate Financial Management (Module Leader) 2018
BS3502 Business Finance (Module Leader) 2017
BS3577 Corporate Finance and Strategy (Module Leader) 2018
BST156 Finance and Investment (Tutorials) 2017,2018
Behavioral Finance, Empirical Asset Pricing, Corporate Social Responsibility
Searching for Gambles: Gambling Sentiment, and Stock Market Outcomes (with Alok Kumar and Chendi Zhang, 2016 FMA Annual Meeting Best Paper Award Semi-Finalist)
This paper shows that changes in gambling attitudes affect asset prices and corporate decisions. Using the Internet search volume for lottery-related keywords to capture gambling sentiment shifts, we show that when the overall gambling sentiment is high, investor demand for lottery-like stocks increases, stocks with lottery-like characteristics earn positive abnormal returns in the short-run, managers are more likely to announce stock splits to cater to the increased demand for low-priced lottery stocks, and IPOs perceived as lotteries earn higher first-day returns. Further, the sentiment-return relation is stronger among low institutional-ownership firms and in regions where gambling is more acceptable.
Social Sentiment and Asset Prices (with Alok Kumar and Chendi Zhang)
This paper examines the relation between social attributes and stock returns. As investors regularly update their beliefs on firm-level CSR records, they are likely to rebalance their portfolios to include firms with good social attributes. Using a novel measure to identify perceived social attributes, we demonstrate that stocks with good perceived social attributes have better future returns. A trading strategy that attempts to exploit demand-based return predictability generates an annualized risk adjusted performance of 14% and spans 15-36% of the market. Further, institutional trading results show that institutions have consistently higher demand for firms with good perceived social attributes. Our findings suggest that perceived social attributes predict stock returns.
Socially Sensitive Fund Flows (with Alok Kumar and Chendi Zhang)
This paper investigates how social attributes affect mutual fund flows. Using social sensitivity estimates to capture fund-level social attributes perceived by the market, we show that mutual funds with good social attributes attract 0.13% higher monthly flows than their counterparts. In addition, these funds experience greater appreciation in flows following good performance and lower decline in flows following bad performance. When investors increase demand for corporate social responsibility, funds perceived to have poor social attributes experience 0.5% reduction in monthly fund flows. Overall, our findings are consistent with the view that mutual fund investors value social attributes when making investment decisions