Working Papers

(* indicates presentation by coauthor)

[1] "Environmental regulatory risks, firm pollution, and mutual funds' portfolio choices" (Job market paper) [pdf]

Best Paper Award, Melbourne Asset Pricing Meeting (2022)
Best Paper Award, Ivey-ARCS PhD Sustainability Academy (2022)
Semi-finalist of Best Paper Award for Investments, FMA Annual Meeting (2022)
European Finance Association Travel Grant (2022)
American Finance Association Travel Grant (2022)
OFR PhD Symposium Travel Grant (2022)

Presentations (includes scheduled and invited): MFA Doctoral Symposium (2023), Journal of Accounting, Auditing and Finance India Symposium (2023), Southwestern Finance Association Conference (2023), Annual Hedge Fund Research Conference (Poster) (2023), European Finance Association Annual Meeting (2022), China International Conference in Finance (2022), Yale Initiative on Sustainable Finance Annual Symposium (2022), OFR PhD Symposium (2022), Australasian Finance and Banking Conference PhD Forum and Main Session (2022), LBS Trans-Atlantic Doctoral Conference (2022), CAFM Doctoral Student Consortium (2022), Ivey-ARCS PhD Sustainability Academy (2022), CEMLA/Dallas Fed Financial Stability Workshop (2022), CREDIT International Conference in Venice on Long Run Risks (2022), Melbourne Asset Pricing Meeting (2022), DePaul University Conference on CSR, the Economy and Financial Markets (2022), EBA Policy Research Workshop on Technological Innovation, Climate Finance and Banking Supervision (2022), FMA Annual Meeting (2022), FMA Doctoral Student Consortium (2022), New Zealand Finance Meeting (2022), Paris Financial Management Conference (2022), Southern Finance Association Annual Meeting (2022), Global Research Alliance for Sustainable Finance and Investment Annual Conference (2022), Frontiers of Factor Investing Conference (2022), Sustainable Financial Innovation Centre Annual Conference (2022), Entrepreneurial Finance Annual Meeting (2022), Warsaw Money-Macro-Finance Conference (2022), International Risk Management Conference (2022), International Research Meeting in Business and Management (2022), Portsmouth Business School International Conference (2022), ISAFE (2022), Vietnam Symposium in Banking and Finance (2022), Asia Conference on Business and Economic Studies (2022), UC Berkeley Haas School of Business Finance Seminar (2022), UC Berkeley Financial Economics Seminar (2022)

Abstract. This paper examines how mutual funds' portfolio holdings respond to environmental regulations. Using county-level ozone nonattainment designations induced by discrete policy changes in the National Ambient Air Quality Standards as a source of exogenous variation in environmental regulation, we find that funds underweight (overweight) those polluting stocks whose cash flows covary negatively (positively) with the regulatory shock. Our results are consistent with hedging adjustments in response to expected changes in firm fundamentals due to negative cash flow shocks stemming from the costs of nonattainment regulation. Further analysis in the post-nonattainment period shows that heavy ozone-polluting firms exposed to nonattainment designations experience worse profitability. The most underweighted of such firms also exhibit worse abnormal stock return performance and are subject to more regulatory compliance costs. Such underweighting translates into better fund portfolio performance.

[2] "Every emission you create—every dollar you'll donate: The effect of regulation-induced pollution on corporate philanthropy" (with Seungho Choi and Raphael Jonghyeon Park), Under Review [pdf]

WRDS Best Empirical Finance Paper Award, New Zealand Finance Meeting (2022)
Best Paper Award in Green Finance, Asia Conference on Business and Economic Studies (2022)
Best Paper Award in Sustainability, Conference on Behavioral Research in Finance, Governance and Accounting (2022)
KDI Frontiers in Development Policy Conference Grant (2022)

Presentations (includes scheduled and invited): Swiss Accounting Research Alpine Camp (2023), Southwestern Finance Association Conference (2023), Hawaii Accounting Research Conference (2023), IWH-FIN-FIRE Workshop (2022), KDI Frontiers in Development Policy Conference (2022), University of Sydney Business Financing and Banking Research Workshop (2022)*, CREDIT International Conference in Venice on Long Run Risks (Poster) (2022)*, Haskell & White Academic Conference (2022), University of Bologna Sustainable and Socially Responsible Finance Conference (2022), Frontiers of Factor Investing Conference (2022), Australasian Finance and Banking Conference (2022)*, New Zealand Finance Meeting (2022), Sustainable Financial Innovation Centre Annual Conference (2022), CAFM (2022), ISAFE (2022), Warsaw Money-Macro-Finance Conference (2022), Entrepreneurial Finance Annual Meeting (2022), International Risk Management Conference (2022), Conference on Behavioral Research in Finance, Governance and Accounting (2022), Portsmouth Business School International Conference (2022)*, Vietnam Symposium in Banking and Finance (2022), Asia Conference on Business and Economic Studies (2022)*, UC Berkeley Financial Economics Seminar (2022)

Abstract. We investigate the role of charitable giving as a form of reputation insurance by analyzing donations to nonprofits from philanthropic foundations of polluting firms. Exploiting the National Ambient Air Quality Standards as localized exogenous shocks to pollution, we find that firms with more pollution subsequently donate more to local nonprofits. Firms maximize the insurance value of donations by reallocating donations to areas where they pollute the most. Potential mechanisms include firms' local media coverage, reputational risk exposure, and history of regulatory noncompliance. Welfare analysis suggests that firms underpay for the insurance value of corporate philanthropy at the cost of society.

[3] "Environmental regulation, pollution, and shareholder wealth" (with Seungho Choi and Raphael Jonghyeon Park) [pdf]

Semi-finalist of Best Paper Award for Corporate Finance, FMA Annual Meeting (2022)

Presentations (includes scheduled and invited): Southwestern Finance Association Conference (2023), Hawaii Accounting Research Conference (2023), SFS Cavalcade Asia-Pacific (2022), CEPR Endless Summer Conference on Financial Intermediation and Corporate Finance (2022), CREDIT International Conference in Venice on Long Run Risks (Poster) (2022), DePaul University Conference on CSR, the Economy and Financial Markets (2022), FMA Annual Meeting (2022)*, FIRN Corporate Finance Meeting (2022)*, Annual Boca Corporate Finance and Governance Conference (2022), Frontiers of Factor Investing Conference (2022), ICEF-CInSt International Finance Conference (2022)*, CAFM (2022), ISAFE (2022), World Finance & Banking Symposium (2022), Paris Financial Management Conference (2022), Sustainable Financial Innovation Centre Annual Conference (2022), Warsaw Money-Macro-Finance Conference (2022), Asia-Pacific Association of Derivatives Annual Conference (2022)*, Asian Finance Association Annual Conference (2022), Portsmouth Business School International Conference (2022)*, Vietnam Symposium in Banking and Finance (2022), UC Berkeley Haas School of Business Finance Seminar (2021)

Abstract. This paper examines how stock markets react to changes in environmental regulation and firm pollution. Our empirical setting exploits county-level ozone nonattainment designations induced by discrete policy changes in air quality standards as part of the Clean Air Act. Nonattainment designations impose strict environmental regulations on polluting firms and thus serve as an exogenous source of variation in local regulatory stringency. On the extensive margin of pollution, investors react positively to ozone-emitting firms impacted by nonattainment designations. However, in the cross-section, heavy ozone-polluting multi-plant firms experience less favorable stock price reactions. In contrast, during attainment redesignations, the overall stock market reaction is negative on the extensive margin of pollution, but investors revise upwards the valuation of heavy ozone-polluting multi-plant firms. Our results suggest that the stock market internalizes the perceived benefits and costs of local environmental regulation. Further analysis of the underlying market forces reveals that while nonattainment designations benefit incumbent firms by decreasing competition and improving environmental performance, they also impose additional compliance costs.

[4] "The strategic use of corporate philanthropy: Evidence from bank donations" (with Seungho Choi and Raphael Jonghyeon Park), Conditionally Accepted, Review of Finance [pdf]

Semi-finalist of Best Paper Award for Financial Institutions & Markets, FMA Annual Meeting (2021)

Media coverage: MarketWatch

Presentations: Asian Finance Association Annual Conference (2022)*, UC Berkeley Political Economy Research Lab Seminar (2021), FMA Annual Meeting (2021), FIRN Banking and Financial Stability Meeting (2021)*, AEA Annual Meeting (2021), UC Berkeley Financial Economics Seminar (2020), Paris Financial Management Conference (2019)*, Sydney Banking and Financial Stability Conference (2019)*, FIRN Annual Meeting (2019)*, UC Berkeley Haas School of Business Finance Seminar (2019), University of New South Wales Finance Seminar (2019)*, University of Sydney Brownbag (2019)*, University of Technology Sydney Brownbag (2019)*

Abstract. This paper examines the strategic nature of banks' charitable giving by studying bank donations to local nonprofit organizations. Relying on the application of antitrust rules in bank mergers as an exogenous shock to local deposit market competition, we find that local competition is the main determinant of banks' local donation decisions. Using county-level natural disaster shocks, we show that banks with disaster exposure reallocate donations away from non-shocked counties where they operate branches and toward shocked counties. The reallocation of donations represents an exogenous increase in the local share of donations in non-shocked counties for banks with no disaster exposure and leads to an increase in the local deposit market shares of such banks. Furthermore, banks can potentially earn greater profits from making donations and tend to donate to nonprofits that have the most social impact. Overall, our evidence suggests that banks participate in corporate philanthropy strategically to enhance performance.

Publications (Pre-PhD)

"The long-term impact of sovereign wealth fund investments" (with Francis In and Raphael Jonghyeon Park)
Journal of Financial Markets, September 2019, 45: pp 115-138.

"Naive versus optimal diversification: Tail risk and performance" (with Inchang Hwang and Francis In)
European Journal of Operational Research, February 2018, 265(1): pp 372-388.

"Systemic risk and cross-sectional hedge fund returns" (with Inchang Hwang, Francis In, and Tong Suk Kim)
Journal of Empirical Finance, June 2017, 42: pp 109-130.

"Systemic risk in the European sovereign and banking system" (with Catherine Forbes, Inchang Hwang, and Francis In)
Quantitative Finance, April 2017, 17(4): pp 633-656.

"The effect of diversification on tail risk: Evidence from US equity mutual fund portfolios" (with Inchang Hwang and Francis In)
International Review of Finance, September 2016, 16(3): pp 483-495.