Doctoral Researchers in ACFI

Meet our PhD students and discover their innovative ideas and research in the area of Accounting and Finance (ACFI).

Students working on a project together

 

Back to: Management School

Sohali Ahmed headshot

Sohail Ahmed

Does Economic Policy Uncertainty (EPU) affects firm's carbon emissions? Evidence from Brexit

My research explores the impact of economic policy uncertainty (EPU) caused by Brexit on firms' environmental performance.

The focus is on UK-based firms, comparing them with firms in regions less affected by Brexit.

The aim is to determine if EPU influenced their environmental practices, such as carbon emissions.

Image of a blank silhouette with white background

Ibrahim Alquwayfili

The role of board sustainability skillsets in enhancing carbon efficiency

Boards of directors are increasingly prioritizing sustainability, surpassing traditional concerns like executive pay, due to rising public awareness and regulatory pressures.

While board characteristics such as gender diversity have been linked to better environmental performance, recent research suggests that these factors alone may not significantly impact carbon performance.

Instead, a multi-dimensional approach, focusing on various board skills and expertise in sustainability, is being explored to improve carbon efficiency."

Finn Corbett headshot

Finn Corbett

Dissecting Intraday and Overnight Information from Characteristics

My research aims to separate the information gained from intraday and overnight trading in order to generate improved asset pricing predictions and theories.

My research employs large datasets and machine learning in order to tackle the problem. 

Yan Dong headshot

Yan Dong

Detecting accounting fraud in China: Machine learning approach with financial and corporate governance information

This project investigates whether corporate governance factors have a significant influence on the likelihood of committing accounting fraud from the perspective of prediction.

The categories of accounting fraud that exist in China in accordance with regulations, legislation, and prior research are outlined.

After that, an ensemble learning approach is used to forecast accounting fraud in the Chinese stock market using raw financial and corporate governance information. 

Working papers

Li H. and Dong Y. (2019). Cyclical Evolution of Connectedness and Systemic Risk in Chinese Financial Institutions (Accepted by 2019 National Academic Forum for Doctoral Students in Quantitative Economics in China)

Dong Y. and Kim M. (2022) Does raw financial information help to detect accounting fraud in China? (Presented at 12th Financial Markets Corporate Governance Conference)

Md Sahid Hossain headshot

Md Sahid Hossain

Impact of Corporate Innovation on Audit Fees: Evidence from the US Market (Draft)

Innovation efficiency assesses both the input and output of R&D efforts, providing insight on innovation capabilities.

This metric measures a company's capacity to develop intangible assets, ie patents and citations, for every dollar spent on R&D. ​

Auditors are responsible for identifying significant events that affect client risk, such as R&D input and inventive outputs.

I foresee a negative correlation between audit fees and innovation efficiency, as more efficiency indicates reduced client risk.​

Mengzhu Liu headshot

Mengzhu Liu

Statistical Arbitrage in Machine learning

This study detected there is a deterministic trend of stock price after it hits the daily price limit or has a large daily return change in the Chinese stock market, and aims to use machine learning methods, especially neural networks to predict future stock returns and takes advantage of these trends to propose statistical arbitrage strategies. 

Lin Luo headshot

Lin Luo

National culture on board faultlines and corporate performance and sustainability

While diversity in board demographics is often seen as beneficial for board effectiveness and corporate performance, it can also create faultlines that hinder collaboration and negatively impact firm outcomes.

My research explores how national culture influences the relationship between board faultlines and corporate performance, focusing on sustainability.

The aim is to assess whether companies can align economic success with a sustainable future by carefully managing the composition of the board of directors.

Anh Dang Bao Phan headshot

Anh Dang Bao Phan

New-based financial indices and financial phenomena under extreme events.

Understanding the dynamic movement of financial market is one of interesting challenges to researchers.

Notwithstanding much effort in analyzing the stock price movement, the financial market is still enigmatic and nearly defies all standard financial theories, particularly in the extreme volatile events.

Recently, behavioural finance has developed a more realistic and reasonable explanation to the clustered market volatility, which build on the social and psychological rules.

We will employ behavioral finance theories to empirically investigate some financial phenomena in its relation to uncertainties based on news, especially under extreme events.

Publications

Vo, X. V. and Phan, D. B. A. (2019). 'Herding and equity market liquidity in emerging market: Evidence from Vietnam', Journal of Behavioral and Experimental Finance 24, 100189

Vo, X. V. and Phan, D. B. A. (2019). 'Herd behavior and idiosyncratic volatility in a frontier market', Pacific-Basin Finance Journal 53, 321-330

Vo, X. V. and Phan, D. B. A. (2017). 'Further evidence on the herd behavior in Vietnam stock market', Journal of Behavioral and Experimental Finance 13, 33-41

Jiaqi Wang headshot

Jiaqi Wang

Tick Size and Internal Control Opinion Shopping: Evidence from the 2016 SEC Tick Size Program

The research investigates the impact of the 2016 Tick Size Pilot Program (TSPP) on "opinion shopping" among small-cap firms.

Opinion shopping involves seeking favourable auditor opinions to avoid negative consequences.

The TSPP increased tick sizes for selected small-cap stocks, impacting their trading and liquidity.

The study analyses whether this policy change influenced opinion shopping behaviour. Despite increased earnings management, the wider tick size reduced opinion shopping among treated small-cap firms, aligning with improved financial reporting quality observed in previous research.

Image of a blank silhouette with white background

Lingzi Xing

Loan loss provisions and intermediary asset pricing (to be confirmed)

My research is to assess the correlation between loan loss provisions and asset pricing, and to see whether bank provisioning is a key factor in explaining expected excess returns.

Meltem Yagli headshot

Meltem Yagli

Currency Option Implied Volatility Networks and Geopolitical Risk

Currency networks represent a complex and dynamic framework of interconnections among global currencies, reflecting the intricate relationships formed through trade, investment, and financial transactions.

These networks are influenced by a multitude of factors including economic policies, geopolitical developments, and market sentiment. Understanding the structure and behaviour of currency networks is crucial for identifying potential vulnerabilities and points of systemic risk within the global financial system.

Changes in one currency can have cascading effects across the network, influencing exchange rates, altering trade balances, and impacting economic stability in various regions.

As the global economy becomes increasingly interconnected, the analysis of currency networks enables policymakers, investors, and businesses to better navigate these interdependencies, optimize currency risk management strategies and enhance overall economic resilience.

This study aims to contribute to the financial economics and financial econometrics literature by answering the following research questions: How do the network and connectedness of volatility among currency pairs change over time and during major macroeconomic or financial events? How do the volatility measures of these currency pairs change in response to major political events or geopolitical uncertainty?

Sheng Yang headshot

Sheng Yang

My research focuses on applying the functional autoregressive model (FAR) and machine learning algorithms to develop a novel forecasting framework for robust financial risk management.

This study will increase our understanding of the financial risk and provide an approach to overcome limitations of traditional econometric models.

Lei Zhao headshot

Lei Zhao

CDS pricing with Behavioural approach

Neoclassical finance focuses on developing equilibrium model in the area of asset pricing based on Expected Utility Theory under which the utility functions for different investors are assumed to be rational and unique.

However, apparently irrationality is more common in actual decision-making process, indicating multi-form utility functions.

As a result, how to theoretically incorporate the multi-form irrationality under the system of neoclassical equilibrium model establishment would be a profound direction for asset pricing.

Zhuang Zhao headshot

Zhuang Zhao

Modelling Financial Markets: A Big Data Approach

My research focuses on leveraging big data and advanced computational techniques to model and predict key moments of financial market returns.

One of my projects focuses on the modelling of risk, by exploiting information related to frictions in financial markets.

This research will improve financial decision-making and risk management by offering more accurate and reliable risk models.