微信客服：xiaoxionga100
微信客服：ITCS521
BU5903-无代写
时间：2024-03-20
BU5903 Dissertations in Finance 2024
Topics and Supervisors
Supervisors Research Area(s)
1 Dr Abraham Adu Corporate Finance, Banking and Empirical Asset
Pricing
2 Dr Chunxia Jiang Banking and Finance
3 Dr Daniel Gyimah Corporate Finance and Corporate Governance
4 Dr Filipa da Silva Fernandes Financial Economics and Banking
5 Dr Fotios Papadimitriou Empirical Finance and Applied Econometrics
6 Dr Huong Vu
Corporate Finance: Corporate liquidity, Credit
ratings, Credit rating agencies, Sovereign risk
7 Dr Seungho Lee
International Investment, Behavioural Finance,
Bitcoin and Cryptocurrency
8 Dr Yaodong Liu Behavioural Finance, Green Finance, and
Behavioural Corporate Finance and M&As
9 Dr Weihao Han Empirical Asset Pricing and Portfolio Management
10 Dr Boying Xu Corporate Finance including Private Equity
11 Dr Anthony Kyiu Corporate finance, climate finance and banking
12 Dr Kweku Adams International business and finance, ESG and ethics
2
Topic details
1) Abraham Adu
Topics: Corporate Finance, Banking and Empirical Asset Pricing
Overviews:
i. Corporate Finance describes the activities, decisions and techniques that deal with the
capital structure of a corporation albeit local or multinational. Research in corporate
finance centres on firm profitability; firm risk; mergers and acquisition and corporate
governance.
ii. Banking Risk deals with the major risks faced by banks including credit, operational,
market, interest rate, and liquidity or funding risk. Recent research includes peer effects
and bank-risk raking, corporate governance and bank risk-taking, and recent
developments in consumer credit risk.
iii. Banking Efficiency deals with competition in the banking market and the efficiency of
banks, albeit a local and/or an international bank. Recent research in banking efficiency
includes financial sector reforms and financial deepening; measures of
efficiency; market structure; the impact of banking performance on the economic health
of a given economy, and so on.
i. Empirical Asset pricing is the study of models for prices and returns of various
securities. The focus is mostly practical, emphasizing how the models relate to
stock market data. Recent research includes investment analysis and portfolio
management; risk management; stock return predictability; asset price volatility;
international market integration.
Email: abraham.adu@abdn.ac.uk
3
2) Chunxia Jiang (see also video)
I am interested in supervising the following topics in banking and finance. See recommended
references for more details on each topic.
1. Shadow banking, Fintech, financial innovation in banking
a. Claessens, Stijn, and Lev Ratnovski. 2014. What is Shadow Banking? IMF
Working Papers 14/25. Washington, D.C.: International Monetary Fund.
b. Allen, Franklin, Yiming Qian, Guoqian Tu, and Frank Yu. 2019. "Entrusted
Loans: A Close Look at China's Shadow Banking System." Journal of
Financial Economics, Forthcoming. doi：10.1016/j.jfineco.2019.01.006 .
c. Chen, M. A., Wu, Q., & Yang, B. (2019). How valuable is FinTech
innovation? The Review of Financial Studies, 32(5), 2062-2106.
2. Corporate social responsibility, ESG, Green finance, and performance (i.e., stock
return, profit, efficiency, capital structure)
• Flammer, C. , 2015. Does corporate social responsibility lead to superior
financial performance? A regression discontinuity approach. Manag. Sci. 61,
254 9–256 8.
• Flammer, C. (2021) ‘Corporate green bonds’, Journal of Financial Economics,
142(2), pp.499-516.
• Tang, D.Y. and Zhang, Y. (2020) ‘Do shareholders benefit from green
bonds?’, Journal of Corporate Finance, 61,
https://doi.org/10.1016/j.jcorpfin.2018.12.001
3. Firm investment efficiency
• Benlemlih, M., Bitar, M. 2018. Corporate Social Responsibility and Investment
Efficiency. Journal of Business Ethics, 148(3), 647–71.
• Biddle, G.C., Hilary, G., Verdi, R.S., 2009. How Does Financial Reporting
Quality Relate to Investment Efficiency? Journal of Accounting and
Economics, 48(2–3), 112–31.
• Chen, R., El Ghoul, S., Guedhami, O., Wang, H. 2017. Do state and foreign
ownership affect investment efficiency? Evidence from privatizations. Journal
of Corporate Finance, 42, 408–421.
• S. Zeng, C. Jiang, C. Ma, B. Su, 2018. Investment efficiency of the new energy
industry in China. Energy Economics, 70 (2018), pp. 536-544
4. Banking efficiency, competition, risk taking, financial stability
• Jiang, C., Yao, S., & Feng, G. (2013). Bank ownership, privatization, and
performance: Evidence from a transition country. Journal of Banking &
Finance, 37(9), 3364-3372.
• Saghi-Zedek, N. (2016). Product diversification and bank performance: does
ownership structure matter? Journal of Banking & Finance, 71, 154-167.
Email: chunxia.jiang@abdn.ac.uk
4
3) Daniel Gyimah
Topic: Corporate finance and corporate governance
Overview:
Corporate finance is the broad area of finance that deals with firms’ decisions concerning the
source of financing, capital structure decisions, payout decisions and investments. The research
in this area focuses on share issuance and debt issuance decisions, dividend policy and share
repurchase, capital structure, earnings management, investment including corporate
innovation. There are theories that underpin these corporate decisions. Recent studies continue
to examine the effects of financial constraints, investor sentiment, and corporate governance
on these corporate decisions. Industry peers are also important determinants of corporate
financing decisions.
Thus, my research interests lie in the broad area of corporate finance and include topics in the
following specific areas:
1. Payout policy i.e., dividend policy and share repurchase.
2. Security issuance i.e., debt issues, SEO and IPOs
3. Capital structure
4. Trade credit
5. Earnings management
6. Capital and R&D investments.
7. Board structure, executive compensation and managerial power
8. CEO political ideology and corporate outcomes
9. CEO behavioural traits, such as CEO overconfidence and greed and corporate decisions
10. Corporate carbon policy and commitment to climate change
Example Dissertation Topics:
1. Thus, dissertations topics in this area include:
2. The effects of investor sentiment on dividend policy and share repurchases
3. Examine the impact of a firm’s level of corporate governance on its corporate decisions,
such as dividend payout, investments and earnings management.
4. Explore whether a firm’s corporate financing decisions are influenced by the decisions
of its industry peers.
5. Managerial incentives and corporate leverage.
6. Board diversity and firm performance.
7. Financial constraints, competition and share repurchases.
8. Peer effects on corporate decisions, such as trade credit, payout policy, earnings
management, capital structure, earnings management, among others.
9. CEO political ideology and carbon emissions
Reference:
Brav, A., Graham, J.R., Harvey, C.R. and Michaely, R., 2005. Payout policy in the 21st
century. Journal of Financial Economics, 77(3), pp.483-527.
Chen, S.S. and Wang, Y., 2012. Financial constraints and share repurchase. Journal of
Financial Economics, 105(2), pp.311-331.
Denis, D.J. and Osobov, I., 2008. Why do firms pay dividends? International evidence on the
determinants of dividend policy. Journal of Financial Economics, 89(1), pp.62-82.
5
He, Z. and Wintoki, M.B., 2016. The cost of innovation: R&D and high cash holdings in US
firms. Journal of Corporate Finance, 41, pp.280-303.
Grullon, G. and Michaely, R., 2004. The information content of share repurchases
programs. The Journal of Finance, 59(2), pp.651-680.
Gyimah, D., Machokoto, M. and Sikochi, A.S., 2020. Peer influence on trade credit. Journal
of Corporate Finance, 64, p.101685.
Machokoto, M., Gyimah, D. and Ntim, C.G., 2021. Do peer firms influence innovation?. The
British Accounting Review, 53(5), p.100988.
Email: daniel.gyimah@abdn.ac.uk
6
4) Filipa da Silva Fernandes
1. Financial Economics and firms’ behaviour
This is a topic with a particular focus on the impact of financial frictions (i.e. imperfect capital
markets) on firms’ real and financial decisions. Specifically, research in this area looks at the
impact of credit constraints on firms’ real decisions (i.e. investment, cash holdings, leverage,
export decisions). Recent studies have been focusing on the impact of the global financial crisis
on firms’ decisions. Your dissertation could take a number of forms:
• Test the impact of firm-specific characteristics on firms’ real and financial decisions
(i.e. investment, cash reserves, employment, debt, etc).
• Explore the effect of costly external finance during the crisis (or outside of it) on firms’
real and financial decisions.
• The above can be done for the UK and any other country, during and/or outside the
crisis period.
• Potential data can be found in Datastream and/or Bloomberg, among others. Most of
the models in this topic follow a panel data methodology.
• The below papers are examples of research on the relationship between firms’ real
decisions and financial frictions:
Harford, J., Klasa, S. and Maxwell, W.F., 2014. Refinancing risk and
cash holdings. The Journal of Finance, 69(3), pp.975-1012.
Duchin, R., Ozbas, O. and Sensoy, B.A., 2010. Costly external
finance, corporate investment, and the subprime mortgage credit
crisis. Journal of Financial Economics, 97(3), pp.418-435.
Wei, K.J. and Zhang, Y., 2008. Ownership structure, cash flow, and
capital investment: Evidence from East Asian economies before the
financial crisis. Journal of Corporate Finance, 14(2), pp.118-132.
2. Bank efficiency using non-parametric frontiers (Data envelopment analysis, Stochastic
Frontier Analysis).
This is a topic with a particular focus on the application of DEA/SFA methodologies in
conjunction with financial ratios for bank performance evaluation. Your dissertation could take
several forms:
• Test the impact of bank-specific characteristics on banks’ efficiency levels
• The above can be done for the UK and any other country, during and/or outside different
macroeconomic events.
• Potential data can be found in Fitch-banking database. Most of the models in this topic
follow a panel data methodology.
• The below papers are examples of research in this area:
Fernandes, F.D.S., Stasinakis, C. and Bardarova, V., 2018. Two-stage DEA-
Truncated Regression: Application in banking efficiency and financial
development. Expert Systems with Applications, 96, pp.284-301.
Fethi, M.D. and Pasiouras, F., 2010. Assessing bank efficiency and performance
with operational research and artificial intelligence techniques: A
survey. European journal of operational research, 204(2), pp.189-198.
7
Barth, J.R., Lin, C., Ma, Y., Seade, J. and Song, F.M., 2013. Do bank regulation,
supervision and monitoring enhance or impede bank efficiency?. Journal of
Banking & Finance, 37(8), pp.2879-2892.
Hsiao, H.C., Chang, H., Cianci, A.M. and Huang, L.H., 2010. First financial
restructuring and operating efficiency: evidence from Taiwanese commercial
banks. Journal of Banking & Finance, 34(7), pp.1461-1471.
Email: filipaalexandra.dasilvafernandes@abdn.ac.uk
8
5) Fotios Papadimitriou
These topics are relevant to empirical finance and applied econometrics. Therefore, students
with an interest in analysing stock markets (for example, predicting stock returns or stock
market volatility) will find them appealing. Data can be obtained from databases such as
DataStream or Bloomberg while the analysis can be done with appropriate statistical software
such as E-views.
Ø Stock return predictability. Main idea: choose one or more variables (such as the
dividend-price ratio or the earnings to price ratio) and perform in-sample and out-of-
sample predictive regressions with the purpose to predict stock returns at the aggregate
index level (for instance for the S&P 500 index). This topic is important from the
perspective of a real-time investor.
Ø Volatility forecasting: This topic involves daily closing price data from the stock index
of interest and choosing various competing models to forecast volatility out-of-
sample (e.g., GARCH, EGARCH, GJR GARCH, EWMA etc.). This topic is also
important from the perspective of a real-time investor. Note: Another angle of this topic
involves extending these models with financial variables such as trading volume.
Ø The Day of the week effect: Students can investigate calendar anomalies and conduct
a comparison between markets (e.g., developed vs emerging) or between large
capitalisation versus small capitalisation firms. The main idea is to test for possible
patterns in the stock returns across different days. In essence, this topic tests for weak-
form efficiency in the chosen markets and is an important research question in this
context.
Ø The lead-lag relationship between spot and futures: This topic assesses this
important relationship by using daily data and employing methodological approaches
such as unit root testing, cointegration, or error correction models. Students can choose
between various major stock markets and emerging stock markets to obtain data. This
is an important topic within financial derivatives.
Ø The relationship between economic activity (i.e. industrial production growth
rate) and stock market volatility: This topic involves Granger causality tests within
markets and students can also examine the effect of financial crises as well as potential
spill-over effects across markets. The link between volatility and various variables is
important for policy and investment decision makers. Note: Volatility can also be
linked to other variables as well.
E-mail: fotios.papadimitriou@abdn.ac.uk
9
6) Huong Vu
I am happy to supervise the following research topics:
- Corporate liquidity
- Credit ratings
- Credit rating agencies
- Sovereign risk
Email: huong.vu@abdn.ac.uk
10
7) Seungho Lee
I welcome all the students who would like to work on the following topics. If you would like
to discuss deeper about my topics before your topic selection, please get in touch with me
through seungho.lee@abdn.ac.uk.
1. International Investment
This topic addresses the essentials of assets in global financial markets. It also covers
comparisons of different equity markets as well. For example:
• How have the systematic risks of domestic and international markets
(e.g. Covid-19 pandemic crisis, US-China Trade War, Russia-Ukraine Coflict,
etc.) influenced various financial markets?
• How do the market regulations (e.g. short-sale ban, circuit breaker)
affect on efficiency and volatility of the equity markets?
• How do central banks’ monetary policies influence their stock market
index performance? Is the effect of the central banks’ economic
stimulus/retardant on stock market similar across those countries?
2. Market Efficiency in Various Asset Markets
Ever since Fama (1970) suggested the efficient market hypothesis, there has been a
number of discussion in investigating cases that violate the hypothesis. While there are
various models to measure the market efficiency, some intuitive models are 1) Fama-
French (1987)’s regression approach with “adding-up” constraints, 2) Future-spot
arbitrage efficiency tests, 3) Adjusted Market Inefficiency Magnitude (AMIM) by Tran
& Leirvik (2019) 4) tests of randomness of returns by Urquhart (2016), etc.
• Market efficiency of cryptocurrencies – Is the cryptocurrency market
efficient? What are the drives to make the market efficient or inefficient?
• Can Bitcoin become a new safe-haven, replacing gold? How do the
cryptocurrency prices move together / separately with the price of gold or the
other assets?
3. Behavioural Finance
Behavioural finance has been settled as one of the most studied research areas for the
last decade and became a mainstream discipline as Richard Thaler got a Novel
Memorial Prize in 2017. This area requires extra study/knowledge beyond traditional
finance theories. Students might need to explore non-financial disciplines such as
psychology, sociology, or even anthropology as they need. Some examples are:
• How do cultural character influence investment behaviour and account
for investors’ risk preferences?
• Do investors over-/under-react against pandemic (e.g. coronavirus)
pandemic crisis?
• How has the calendar effect shown differently among markets?
• How personal character affects the investor’s behaviour?
• How is investment behaviour in a specific stock market different from
those in different stock markets?
• Can we observe herding behaviour during a time with increased
systematic risk? (using CSSD/CSAD models)
References
Fama, E.F., and K.R. French. 1987. Commodity Futures Prices: Some Evidence on Forecast
Power, Premiums and the Theory of Storage. Journal of Business. 60(1). DOI:
http://www.jstor.org/stable/2352947
11
Lee, S. et al. 2022. Information Asymmetry, East–West Cultural Differences, and Divergence
in Investor Reactions. European Financial Management, DOI:
https://doi.org/10.1111/eufm.12388
Lee, S., 2022. The COVID-19 pandemic, short-sale ban, and market efficiency: empirical
evidence from the European equity markets. Journal of Asset Management, vol. 23, pp.
156-171. DOI: https://doi.org/10.1057/s41260-021-00254-w
Lee, S., Meslmani, N. and Switzer, L., 2020. Pricing Efficiency and Arbitrage in the Bitcoin
Spot and Futures Markets. Research in International Business and Finance, 53,
p.101200. DOI: https://doi.org/10.1016/j.ribaf.2020.101200
Lee, S., Switzer, L. and Wang, J., 2019. Risk, culture and investor behavior in small (but
notorious) Eurozone countries. Journal of International Financial Markets, Institutions
and Money, 60, pp.89-110. DOI: https://doi.org/10.1016/j.intfin.2018.12.010
Switzer, L., Wang, J. and Lee, S., 2017. Extreme Risk and Small Investor Behavior in
Developed Markets. Journal of Asset Management, 18(6), pp.457-475.
DOI: https://doi.org/10.1057/s41260-017-0047-6
Tran, V.L. and Leirvik, T. (2019) A Simple but Powerful Measure of Market Efficiency,
Finance Research Letters, 29, pp. 141–151. DOI:
https://doi.org/10.1016/j.frl.2019.03.004
Urquhart, A. 2016. The Inefficiency of Bitcoin. Economics Letters, 148, pp. 80-82. DOI:
https://doi.org/10.1016/j.econlet.2016.09.019
12
8) Yaodong Liu
I am willing to supervise students who are interested in (1), behavioural finance, (2) green
finance, and (3) behavioural corporate finance and M&As.
Behavioural Finance
Human beings are not entirely rational when making investment decisions, and their
behaviour can be influenced by psychological factors and the external environment. Although
existing studies have identified various behavioral biases of investors, many remain
unexplained. Students who are interested in this type of subject may need to have some
knowledge of psychology in advance. Some examples of dissertation topics include:
· The impact of calendar effects on the stock price movement.
· How do investors react to market turmoil?
· Investors' attention and price movement.
· The behavioural biases of individual and institutional investors.
Green Finance
Climate change has become the most concerning environmental problem worldwide (Bekun,
Alola, & Sarkodie, 2019). The question of what can influence a company's emissions
decisions and whether a change in a company's emissions policy will make investors buy-in
is a very interesting subject. Examples of dissertation topics:
· The role of ESG on corporate carbon (or greenhouse) gas emissions.
· Can policymakers or institutional investors play a role in corporate carbon emissions?
· R&D and corporate carbon emissions.
· Will companies pay for excessive emissions? e.g. How do stock markets react to excessive
emissions?
Behavioural corporate finance and M&As
Mergers and acquisitions are an important means of corporate restructuring as well as
expansion. The success of an M&A, the reaction of the market to it, and the influence of the
company's management on it are determined by many factors. Some examples of dissertation
topics include:
· How does the stock market react to different types of M&As?
· What determines the probability of successful M&As?
· The impact of CEO's characteristics on corporate decision makings, such as M&As.
· The structure of board members and M&As.
Email: yaodong.liu@abdn.ac.uk
13
9) Weihao Han
I am willing to supervise students who are interested in (1) empirical asset pricing, (2) portfolio
management with machine learning. Preferred programming languages: MATLAB and R.
Empirical asset pricing
The Asset Pricing Program explores the factors that determine the prices of and returns on
financial and real assets, including stocks, bonds, currencies, and real estate. It also studies the
behavior of households and firms that invest in these assets. Some examples of dissertation
topics include:
• Equity premium puzzle: Investigating why the historical average equity
premium has been much higher than what can be justified by standard economic
theory. (Li, H. and Xu, Y. (2002), Survival Bias and the Equity Premium Puzzle.
The Journal of Finance, 57: 1981-1995. https://doi.org/10.1111/0022-1082.00486)
• Asset pricing anomalies: Examining market inefficiencies that cannot be
explained by traditional asset pricing models, such as momentum, value, and size
effects. (https://www.webofscience.com/wos/woscc/full-
record/WOS:A1996UP28500002)
• Factor investing: Investigating the efficacy of different factors (e.g., value,
momentum, size) in predicting asset returns and constructing diversified portfolios.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000186755300009)
• Cryptocurrencies and blockchain: Analyzing the risks and returns of investing
in cryptocurrencies, and exploring the potential of blockchain technology for
financial markets. (https://www.webofscience.com/wos/woscc/full-
record/WOS:000760376800001)
Portfolio Management
Portfolio management is the art and science of managing a collection of investments, such as
stocks, bonds, and other financial instruments, with the goal of achieving a specific set of
investment objectives. Some examples of dissertation topics include:
• Portfolio optimization: Developing mathematical models and algorithms for
optimizing portfolio allocation based on risk, return, and other factors.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000265098400005)
• Risk management: Developing strategies for managing risk in a portfolio, such
as diversification, hedging, and dynamic asset allocation.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000464089600018)
• Alternative investments: Investigating the risks and returns of alternative
investments, such as private equity, hedge funds, and real assets, and assessing their
role in a diversified portfolio. (https://www.webofscience.com/wos/woscc/full-
record/WOS:000765216100001)
• Machine learning and artificial intelligence: Applying machine learning and
artificial intelligence techniques to portfolio management, such as predicting asset
prices and optimizing asset allocation.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000765216100001)
Email: weihao.han@abdn.ac.uk
14
10) Dr Boying Xu
Research interests in the following areas:
Corporate Finance, including Private Equity, sustainability and ESG issues.
Email:
11) Dr Anthony Kyiu
Research interests in the following areas:
Corporate finance, climate finance, corporate governance, Institutional development
and Banking
Email:
12) Dr Kweku Adams
My research interests centre on international business/business strategy, specifically
the management of headquarters-subsidiary relations, investigating the wider
environmental, social governance and human rights challenges facing multinational
corporations and local communities. I am interested in supervising MSc topics in the
areas of ethics and sustainability dilemmas of emerging market multinationals, human
rights violations by multinational corporations, gender diversity in emerging market
firms and the activities of oil and gas multinationals in resource-rich countries.
Email:
Topics and Supervisors
Supervisors Research Area(s)
1 Dr Abraham Adu Corporate Finance, Banking and Empirical Asset
Pricing
2 Dr Chunxia Jiang Banking and Finance
3 Dr Daniel Gyimah Corporate Finance and Corporate Governance
4 Dr Filipa da Silva Fernandes Financial Economics and Banking
5 Dr Fotios Papadimitriou Empirical Finance and Applied Econometrics
6 Dr Huong Vu
Corporate Finance: Corporate liquidity, Credit
ratings, Credit rating agencies, Sovereign risk
7 Dr Seungho Lee
International Investment, Behavioural Finance,
Bitcoin and Cryptocurrency
8 Dr Yaodong Liu Behavioural Finance, Green Finance, and
Behavioural Corporate Finance and M&As
9 Dr Weihao Han Empirical Asset Pricing and Portfolio Management
10 Dr Boying Xu Corporate Finance including Private Equity
11 Dr Anthony Kyiu Corporate finance, climate finance and banking
12 Dr Kweku Adams International business and finance, ESG and ethics
2
Topic details
1) Abraham Adu
Topics: Corporate Finance, Banking and Empirical Asset Pricing
Overviews:
i. Corporate Finance describes the activities, decisions and techniques that deal with the
capital structure of a corporation albeit local or multinational. Research in corporate
finance centres on firm profitability; firm risk; mergers and acquisition and corporate
governance.
ii. Banking Risk deals with the major risks faced by banks including credit, operational,
market, interest rate, and liquidity or funding risk. Recent research includes peer effects
and bank-risk raking, corporate governance and bank risk-taking, and recent
developments in consumer credit risk.
iii. Banking Efficiency deals with competition in the banking market and the efficiency of
banks, albeit a local and/or an international bank. Recent research in banking efficiency
includes financial sector reforms and financial deepening; measures of
efficiency; market structure; the impact of banking performance on the economic health
of a given economy, and so on.
i. Empirical Asset pricing is the study of models for prices and returns of various
securities. The focus is mostly practical, emphasizing how the models relate to
stock market data. Recent research includes investment analysis and portfolio
management; risk management; stock return predictability; asset price volatility;
international market integration.
Email: abraham.adu@abdn.ac.uk
3
2) Chunxia Jiang (see also video)
I am interested in supervising the following topics in banking and finance. See recommended
references for more details on each topic.
1. Shadow banking, Fintech, financial innovation in banking
a. Claessens, Stijn, and Lev Ratnovski. 2014. What is Shadow Banking? IMF
Working Papers 14/25. Washington, D.C.: International Monetary Fund.
b. Allen, Franklin, Yiming Qian, Guoqian Tu, and Frank Yu. 2019. "Entrusted
Loans: A Close Look at China's Shadow Banking System." Journal of
Financial Economics, Forthcoming. doi：10.1016/j.jfineco.2019.01.006 .
c. Chen, M. A., Wu, Q., & Yang, B. (2019). How valuable is FinTech
innovation? The Review of Financial Studies, 32(5), 2062-2106.
2. Corporate social responsibility, ESG, Green finance, and performance (i.e., stock
return, profit, efficiency, capital structure)
• Flammer, C. , 2015. Does corporate social responsibility lead to superior
financial performance? A regression discontinuity approach. Manag. Sci. 61,
254 9–256 8.
• Flammer, C. (2021) ‘Corporate green bonds’, Journal of Financial Economics,
142(2), pp.499-516.
• Tang, D.Y. and Zhang, Y. (2020) ‘Do shareholders benefit from green
bonds?’, Journal of Corporate Finance, 61,
https://doi.org/10.1016/j.jcorpfin.2018.12.001
3. Firm investment efficiency
• Benlemlih, M., Bitar, M. 2018. Corporate Social Responsibility and Investment
Efficiency. Journal of Business Ethics, 148(3), 647–71.
• Biddle, G.C., Hilary, G., Verdi, R.S., 2009. How Does Financial Reporting
Quality Relate to Investment Efficiency? Journal of Accounting and
Economics, 48(2–3), 112–31.
• Chen, R., El Ghoul, S., Guedhami, O., Wang, H. 2017. Do state and foreign
ownership affect investment efficiency? Evidence from privatizations. Journal
of Corporate Finance, 42, 408–421.
• S. Zeng, C. Jiang, C. Ma, B. Su, 2018. Investment efficiency of the new energy
industry in China. Energy Economics, 70 (2018), pp. 536-544
4. Banking efficiency, competition, risk taking, financial stability
• Jiang, C., Yao, S., & Feng, G. (2013). Bank ownership, privatization, and
performance: Evidence from a transition country. Journal of Banking &
Finance, 37(9), 3364-3372.
• Saghi-Zedek, N. (2016). Product diversification and bank performance: does
ownership structure matter? Journal of Banking & Finance, 71, 154-167.
Email: chunxia.jiang@abdn.ac.uk
4
3) Daniel Gyimah
Topic: Corporate finance and corporate governance
Overview:
Corporate finance is the broad area of finance that deals with firms’ decisions concerning the
source of financing, capital structure decisions, payout decisions and investments. The research
in this area focuses on share issuance and debt issuance decisions, dividend policy and share
repurchase, capital structure, earnings management, investment including corporate
innovation. There are theories that underpin these corporate decisions. Recent studies continue
to examine the effects of financial constraints, investor sentiment, and corporate governance
on these corporate decisions. Industry peers are also important determinants of corporate
financing decisions.
Thus, my research interests lie in the broad area of corporate finance and include topics in the
following specific areas:
1. Payout policy i.e., dividend policy and share repurchase.
2. Security issuance i.e., debt issues, SEO and IPOs
3. Capital structure
4. Trade credit
5. Earnings management
6. Capital and R&D investments.
7. Board structure, executive compensation and managerial power
8. CEO political ideology and corporate outcomes
9. CEO behavioural traits, such as CEO overconfidence and greed and corporate decisions
10. Corporate carbon policy and commitment to climate change
Example Dissertation Topics:
1. Thus, dissertations topics in this area include:
2. The effects of investor sentiment on dividend policy and share repurchases
3. Examine the impact of a firm’s level of corporate governance on its corporate decisions,
such as dividend payout, investments and earnings management.
4. Explore whether a firm’s corporate financing decisions are influenced by the decisions
of its industry peers.
5. Managerial incentives and corporate leverage.
6. Board diversity and firm performance.
7. Financial constraints, competition and share repurchases.
8. Peer effects on corporate decisions, such as trade credit, payout policy, earnings
management, capital structure, earnings management, among others.
9. CEO political ideology and carbon emissions
Reference:
Brav, A., Graham, J.R., Harvey, C.R. and Michaely, R., 2005. Payout policy in the 21st
century. Journal of Financial Economics, 77(3), pp.483-527.
Chen, S.S. and Wang, Y., 2012. Financial constraints and share repurchase. Journal of
Financial Economics, 105(2), pp.311-331.
Denis, D.J. and Osobov, I., 2008. Why do firms pay dividends? International evidence on the
determinants of dividend policy. Journal of Financial Economics, 89(1), pp.62-82.
5
He, Z. and Wintoki, M.B., 2016. The cost of innovation: R&D and high cash holdings in US
firms. Journal of Corporate Finance, 41, pp.280-303.
Grullon, G. and Michaely, R., 2004. The information content of share repurchases
programs. The Journal of Finance, 59(2), pp.651-680.
Gyimah, D., Machokoto, M. and Sikochi, A.S., 2020. Peer influence on trade credit. Journal
of Corporate Finance, 64, p.101685.
Machokoto, M., Gyimah, D. and Ntim, C.G., 2021. Do peer firms influence innovation?. The
British Accounting Review, 53(5), p.100988.
Email: daniel.gyimah@abdn.ac.uk
6
4) Filipa da Silva Fernandes
1. Financial Economics and firms’ behaviour
This is a topic with a particular focus on the impact of financial frictions (i.e. imperfect capital
markets) on firms’ real and financial decisions. Specifically, research in this area looks at the
impact of credit constraints on firms’ real decisions (i.e. investment, cash holdings, leverage,
export decisions). Recent studies have been focusing on the impact of the global financial crisis
on firms’ decisions. Your dissertation could take a number of forms:
• Test the impact of firm-specific characteristics on firms’ real and financial decisions
(i.e. investment, cash reserves, employment, debt, etc).
• Explore the effect of costly external finance during the crisis (or outside of it) on firms’
real and financial decisions.
• The above can be done for the UK and any other country, during and/or outside the
crisis period.
• Potential data can be found in Datastream and/or Bloomberg, among others. Most of
the models in this topic follow a panel data methodology.
• The below papers are examples of research on the relationship between firms’ real
decisions and financial frictions:
Harford, J., Klasa, S. and Maxwell, W.F., 2014. Refinancing risk and
cash holdings. The Journal of Finance, 69(3), pp.975-1012.
Duchin, R., Ozbas, O. and Sensoy, B.A., 2010. Costly external
finance, corporate investment, and the subprime mortgage credit
crisis. Journal of Financial Economics, 97(3), pp.418-435.
Wei, K.J. and Zhang, Y., 2008. Ownership structure, cash flow, and
capital investment: Evidence from East Asian economies before the
financial crisis. Journal of Corporate Finance, 14(2), pp.118-132.
2. Bank efficiency using non-parametric frontiers (Data envelopment analysis, Stochastic
Frontier Analysis).
This is a topic with a particular focus on the application of DEA/SFA methodologies in
conjunction with financial ratios for bank performance evaluation. Your dissertation could take
several forms:
• Test the impact of bank-specific characteristics on banks’ efficiency levels
• The above can be done for the UK and any other country, during and/or outside different
macroeconomic events.
• Potential data can be found in Fitch-banking database. Most of the models in this topic
follow a panel data methodology.
• The below papers are examples of research in this area:
Fernandes, F.D.S., Stasinakis, C. and Bardarova, V., 2018. Two-stage DEA-
Truncated Regression: Application in banking efficiency and financial
development. Expert Systems with Applications, 96, pp.284-301.
Fethi, M.D. and Pasiouras, F., 2010. Assessing bank efficiency and performance
with operational research and artificial intelligence techniques: A
survey. European journal of operational research, 204(2), pp.189-198.
7
Barth, J.R., Lin, C., Ma, Y., Seade, J. and Song, F.M., 2013. Do bank regulation,
supervision and monitoring enhance or impede bank efficiency?. Journal of
Banking & Finance, 37(8), pp.2879-2892.
Hsiao, H.C., Chang, H., Cianci, A.M. and Huang, L.H., 2010. First financial
restructuring and operating efficiency: evidence from Taiwanese commercial
banks. Journal of Banking & Finance, 34(7), pp.1461-1471.
Email: filipaalexandra.dasilvafernandes@abdn.ac.uk
8
5) Fotios Papadimitriou
These topics are relevant to empirical finance and applied econometrics. Therefore, students
with an interest in analysing stock markets (for example, predicting stock returns or stock
market volatility) will find them appealing. Data can be obtained from databases such as
DataStream or Bloomberg while the analysis can be done with appropriate statistical software
such as E-views.
Ø Stock return predictability. Main idea: choose one or more variables (such as the
dividend-price ratio or the earnings to price ratio) and perform in-sample and out-of-
sample predictive regressions with the purpose to predict stock returns at the aggregate
index level (for instance for the S&P 500 index). This topic is important from the
perspective of a real-time investor.
Ø Volatility forecasting: This topic involves daily closing price data from the stock index
of interest and choosing various competing models to forecast volatility out-of-
sample (e.g., GARCH, EGARCH, GJR GARCH, EWMA etc.). This topic is also
important from the perspective of a real-time investor. Note: Another angle of this topic
involves extending these models with financial variables such as trading volume.
Ø The Day of the week effect: Students can investigate calendar anomalies and conduct
a comparison between markets (e.g., developed vs emerging) or between large
capitalisation versus small capitalisation firms. The main idea is to test for possible
patterns in the stock returns across different days. In essence, this topic tests for weak-
form efficiency in the chosen markets and is an important research question in this
context.
Ø The lead-lag relationship between spot and futures: This topic assesses this
important relationship by using daily data and employing methodological approaches
such as unit root testing, cointegration, or error correction models. Students can choose
between various major stock markets and emerging stock markets to obtain data. This
is an important topic within financial derivatives.
Ø The relationship between economic activity (i.e. industrial production growth
rate) and stock market volatility: This topic involves Granger causality tests within
markets and students can also examine the effect of financial crises as well as potential
spill-over effects across markets. The link between volatility and various variables is
important for policy and investment decision makers. Note: Volatility can also be
linked to other variables as well.
E-mail: fotios.papadimitriou@abdn.ac.uk
9
6) Huong Vu
I am happy to supervise the following research topics:
- Corporate liquidity
- Credit ratings
- Credit rating agencies
- Sovereign risk
Email: huong.vu@abdn.ac.uk
10
7) Seungho Lee
I welcome all the students who would like to work on the following topics. If you would like
to discuss deeper about my topics before your topic selection, please get in touch with me
through seungho.lee@abdn.ac.uk.
1. International Investment
This topic addresses the essentials of assets in global financial markets. It also covers
comparisons of different equity markets as well. For example:
• How have the systematic risks of domestic and international markets
(e.g. Covid-19 pandemic crisis, US-China Trade War, Russia-Ukraine Coflict,
etc.) influenced various financial markets?
• How do the market regulations (e.g. short-sale ban, circuit breaker)
affect on efficiency and volatility of the equity markets?
• How do central banks’ monetary policies influence their stock market
index performance? Is the effect of the central banks’ economic
stimulus/retardant on stock market similar across those countries?
2. Market Efficiency in Various Asset Markets
Ever since Fama (1970) suggested the efficient market hypothesis, there has been a
number of discussion in investigating cases that violate the hypothesis. While there are
various models to measure the market efficiency, some intuitive models are 1) Fama-
French (1987)’s regression approach with “adding-up” constraints, 2) Future-spot
arbitrage efficiency tests, 3) Adjusted Market Inefficiency Magnitude (AMIM) by Tran
& Leirvik (2019) 4) tests of randomness of returns by Urquhart (2016), etc.
• Market efficiency of cryptocurrencies – Is the cryptocurrency market
efficient? What are the drives to make the market efficient or inefficient?
• Can Bitcoin become a new safe-haven, replacing gold? How do the
cryptocurrency prices move together / separately with the price of gold or the
other assets?
3. Behavioural Finance
Behavioural finance has been settled as one of the most studied research areas for the
last decade and became a mainstream discipline as Richard Thaler got a Novel
Memorial Prize in 2017. This area requires extra study/knowledge beyond traditional
finance theories. Students might need to explore non-financial disciplines such as
psychology, sociology, or even anthropology as they need. Some examples are:
• How do cultural character influence investment behaviour and account
for investors’ risk preferences?
• Do investors over-/under-react against pandemic (e.g. coronavirus)
pandemic crisis?
• How has the calendar effect shown differently among markets?
• How personal character affects the investor’s behaviour?
• How is investment behaviour in a specific stock market different from
those in different stock markets?
• Can we observe herding behaviour during a time with increased
systematic risk? (using CSSD/CSAD models)
References
Fama, E.F., and K.R. French. 1987. Commodity Futures Prices: Some Evidence on Forecast
Power, Premiums and the Theory of Storage. Journal of Business. 60(1). DOI:
http://www.jstor.org/stable/2352947
11
Lee, S. et al. 2022. Information Asymmetry, East–West Cultural Differences, and Divergence
in Investor Reactions. European Financial Management, DOI:
https://doi.org/10.1111/eufm.12388
Lee, S., 2022. The COVID-19 pandemic, short-sale ban, and market efficiency: empirical
evidence from the European equity markets. Journal of Asset Management, vol. 23, pp.
156-171. DOI: https://doi.org/10.1057/s41260-021-00254-w
Lee, S., Meslmani, N. and Switzer, L., 2020. Pricing Efficiency and Arbitrage in the Bitcoin
Spot and Futures Markets. Research in International Business and Finance, 53,
p.101200. DOI: https://doi.org/10.1016/j.ribaf.2020.101200
Lee, S., Switzer, L. and Wang, J., 2019. Risk, culture and investor behavior in small (but
notorious) Eurozone countries. Journal of International Financial Markets, Institutions
and Money, 60, pp.89-110. DOI: https://doi.org/10.1016/j.intfin.2018.12.010
Switzer, L., Wang, J. and Lee, S., 2017. Extreme Risk and Small Investor Behavior in
Developed Markets. Journal of Asset Management, 18(6), pp.457-475.
DOI: https://doi.org/10.1057/s41260-017-0047-6
Tran, V.L. and Leirvik, T. (2019) A Simple but Powerful Measure of Market Efficiency,
Finance Research Letters, 29, pp. 141–151. DOI:
https://doi.org/10.1016/j.frl.2019.03.004
Urquhart, A. 2016. The Inefficiency of Bitcoin. Economics Letters, 148, pp. 80-82. DOI:
https://doi.org/10.1016/j.econlet.2016.09.019
12
8) Yaodong Liu
I am willing to supervise students who are interested in (1), behavioural finance, (2) green
finance, and (3) behavioural corporate finance and M&As.
Behavioural Finance
Human beings are not entirely rational when making investment decisions, and their
behaviour can be influenced by psychological factors and the external environment. Although
existing studies have identified various behavioral biases of investors, many remain
unexplained. Students who are interested in this type of subject may need to have some
knowledge of psychology in advance. Some examples of dissertation topics include:
· The impact of calendar effects on the stock price movement.
· How do investors react to market turmoil?
· Investors' attention and price movement.
· The behavioural biases of individual and institutional investors.
Green Finance
Climate change has become the most concerning environmental problem worldwide (Bekun,
Alola, & Sarkodie, 2019). The question of what can influence a company's emissions
decisions and whether a change in a company's emissions policy will make investors buy-in
is a very interesting subject. Examples of dissertation topics:
· The role of ESG on corporate carbon (or greenhouse) gas emissions.
· Can policymakers or institutional investors play a role in corporate carbon emissions?
· R&D and corporate carbon emissions.
· Will companies pay for excessive emissions? e.g. How do stock markets react to excessive
emissions?
Behavioural corporate finance and M&As
Mergers and acquisitions are an important means of corporate restructuring as well as
expansion. The success of an M&A, the reaction of the market to it, and the influence of the
company's management on it are determined by many factors. Some examples of dissertation
topics include:
· How does the stock market react to different types of M&As?
· What determines the probability of successful M&As?
· The impact of CEO's characteristics on corporate decision makings, such as M&As.
· The structure of board members and M&As.
Email: yaodong.liu@abdn.ac.uk
13
9) Weihao Han
I am willing to supervise students who are interested in (1) empirical asset pricing, (2) portfolio
management with machine learning. Preferred programming languages: MATLAB and R.
Empirical asset pricing
The Asset Pricing Program explores the factors that determine the prices of and returns on
financial and real assets, including stocks, bonds, currencies, and real estate. It also studies the
behavior of households and firms that invest in these assets. Some examples of dissertation
topics include:
• Equity premium puzzle: Investigating why the historical average equity
premium has been much higher than what can be justified by standard economic
theory. (Li, H. and Xu, Y. (2002), Survival Bias and the Equity Premium Puzzle.
The Journal of Finance, 57: 1981-1995. https://doi.org/10.1111/0022-1082.00486)
• Asset pricing anomalies: Examining market inefficiencies that cannot be
explained by traditional asset pricing models, such as momentum, value, and size
effects. (https://www.webofscience.com/wos/woscc/full-
record/WOS:A1996UP28500002)
• Factor investing: Investigating the efficacy of different factors (e.g., value,
momentum, size) in predicting asset returns and constructing diversified portfolios.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000186755300009)
• Cryptocurrencies and blockchain: Analyzing the risks and returns of investing
in cryptocurrencies, and exploring the potential of blockchain technology for
financial markets. (https://www.webofscience.com/wos/woscc/full-
record/WOS:000760376800001)
Portfolio Management
Portfolio management is the art and science of managing a collection of investments, such as
stocks, bonds, and other financial instruments, with the goal of achieving a specific set of
investment objectives. Some examples of dissertation topics include:
• Portfolio optimization: Developing mathematical models and algorithms for
optimizing portfolio allocation based on risk, return, and other factors.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000265098400005)
• Risk management: Developing strategies for managing risk in a portfolio, such
as diversification, hedging, and dynamic asset allocation.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000464089600018)
• Alternative investments: Investigating the risks and returns of alternative
investments, such as private equity, hedge funds, and real assets, and assessing their
role in a diversified portfolio. (https://www.webofscience.com/wos/woscc/full-
record/WOS:000765216100001)
• Machine learning and artificial intelligence: Applying machine learning and
artificial intelligence techniques to portfolio management, such as predicting asset
prices and optimizing asset allocation.
(https://www.webofscience.com/wos/woscc/full-record/WOS:000765216100001)
Email: weihao.han@abdn.ac.uk
14
10) Dr Boying Xu
Research interests in the following areas:
Corporate Finance, including Private Equity, sustainability and ESG issues.
Email:
11) Dr Anthony Kyiu
Research interests in the following areas:
Corporate finance, climate finance, corporate governance, Institutional development
and Banking
Email:
12) Dr Kweku Adams
My research interests centre on international business/business strategy, specifically
the management of headquarters-subsidiary relations, investigating the wider
environmental, social governance and human rights challenges facing multinational
corporations and local communities. I am interested in supervising MSc topics in the
areas of ethics and sustainability dilemmas of emerging market multinationals, human
rights violations by multinational corporations, gender diversity in emerging market
firms and the activities of oil and gas multinationals in resource-rich countries.
Email:
