Kuntara Pukthuanthong

University of Missouri, Columbia

Associate Professor, Robert J. Trulaske Jr. Professor of Finance

Robert J. Trulaske, Sr. College of Business

403 Cornell Hall

Columbia, MO 65211

United States

https://www.kuntara.net/

SCHOLARLY PAPERS

96

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25,530

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Top 2,455

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601

CROSSREF CITATIONS

122

Scholarly Papers (96)

1.
Downloads 2,858 ( 8,658)
Citation 44

A Protocol for Factor Identification

Forthcoming, Review of Financial Studies
Number of pages: 64 Posted: 14 Jul 2018
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,063 (38,974)
Citation 24

Abstract:

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factor, risk factor, risk premium, protocol, select factors

A Protocol for Factor Identification

Review of Financial Studies, Forthcoming
Number of pages: 50 Posted: 24 Jul 2017 Last Revised: 17 Jun 2018
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 729 (65,347)
Citation 6

Abstract:

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Factors, Factor Identification, Principle Components, Cross-Sectional Regression, Return Variation, Error-In-Variable Problem

A Protocol for Factor Identification

Number of pages: 47 Posted: 20 Oct 2013 Last Revised: 19 Jun 2018
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 589 (85,785)

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A Protocol for Factor Identification

Number of pages: 47 Posted: 05 Nov 2014
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 477 (111,427)
Citation 8

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A Picture is Worth a Thousand Words: Measuring Investor Sentiment by Combining Machine Learning and Photos from News

Number of pages: 74 Posted: 10 Dec 2018 Last Revised: 02 Jul 2020
Khaled Obaid and Kuntara Pukthuanthong
California State University-East Bay and University of Missouri, Columbia
Downloads 1,276 (29,982)

Abstract:

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Investor Sentiment, Behavioral Finance, Return Predictability, Machine Learning, Big Data

A Picture is Worth a Thousand Words: Measuring Investor Sentiment by Combining Machine Learning and Photos from News

Forthcoming, Journal of Financial Economics
Number of pages: 54 Posted: 10 May 2021 Last Revised: 07 Jun 2021
Khaled Obaid and Kuntara Pukthuanthong
California State University-East Bay and University of Missouri, Columbia
Downloads 485 (109,473)
Citation 2

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Sentiment, machine learning, photo, visual sentiment, predictability, convolution neural network

3.

A New Method for Factor-Mimicking Portfolio Construction

Number of pages: 79 Posted: 18 Mar 2019 Last Revised: 14 Apr 2022
Kuntara Pukthuanthong, Richard Roll, Junbo L. Wang and Tengfei Zhang
University of Missouri, Columbia, California Institute of Technology, Louisiana State University, Baton Rouge and Rutgers University - Rutgers School of Business-Camden
Downloads 1,601 (21,665)

Abstract:

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factor-mimicking portfolios, nontraded factors, risk premium

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 11 Jan 2017 Last Revised: 06 Aug 2018
Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 1,157 (34,447)
Citation 35

Abstract:

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Risk Premium Estimation, Errors-in-Variables Bias, Instrumental Variables, Individual Stocks, Asset Pricing Models

Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Number of pages: 67 Posted: 24 Sep 2015
Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 388 (141,958)
Citation 9

Abstract:

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Risk Premium Estimation, Errors-in-Variables Bias, Instrumental Variables, Individual Stocks, Asset Pricing Models

5.

Sentiment Across Asset Markets

Number of pages: 45 Posted: 11 Jun 2018 Last Revised: 24 Jun 2018
Dashan Huang, Heikki Lehkonen, Kuntara Pukthuanthong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, University of Jyväskylä - School of Business and Economics, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 1,465 (24,772)
Citation 7

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Sentiment

6.
Downloads 1,165 (34,649)
Citation 24

Do Foreign Exchange Markets Still Trend?

Journal of Portfolio Management, Vol. Fall, 2007
Number of pages: 16 Posted: 10 Dec 2006 Last Revised: 14 Jan 2009
Kuntara Pukthuanthong, Richard M. Levich and Lee R. Thomas
University of Missouri, Columbia, New York University (NYU) - Department of Finance and Investcorp - London Office
Downloads 791 (58,612)
Citation 1

Abstract:

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foreign exchange, technical trading

Do Foreign Exchange Markets Still Trend?

NYU Working Paper No. FIN-06-030, Journalof Portfolio Management, Vol. 34, No. 1, 2007
Number of pages: 16 Posted: 03 Nov 2008 Last Revised: 07 Nov 2011
Kuntara Pukthuanthong, Richard M. Levich and Lee R. Thomas III
University of Missouri, Columbia, New York University (NYU) - Department of Finance and Independent
Downloads 374 (147,981)
Citation 11

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7.

Past Performance May Be an Illusion: Performance, Flows, and Fees in Mutual Funds

Critical Finance Review, Forthcoming
Number of pages: 56 Posted: 30 Oct 2012 Last Revised: 22 Dec 2014
Blake Phillips, Kuntara Pukthuanthong and P. Raghavendra Rau
University of Waterloo, University of Missouri, Columbia and University of Cambridge
Downloads 767 (62,022)
Citation 26

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Limited attention; Behavioral finance; Investor psychology; Capital markets; Horizon effects; Mutual fund fee-setting

8.

VC Ownership Post-IPO: When, Why, and How Do VCs Exit?

Forthcoming: Journal of Financial Research
Number of pages: 38 Posted: 19 Jan 2022 Last Revised: 15 Apr 2024
Anup Basnet, Kuntara Pukthuanthong, Harry J. Turtle and Thomas John Walker
Western University, University of Missouri, Columbia, Colorado State University, Fort Collins - Department of Finance & Real Estate and Concordia University, Quebec - Department of Finance
Downloads 744 (64,577)
Citation 2

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Venture Capital, Exit Time, Exit Mechanisms, Initial Public Offerings, Mergers and Acquisitions, Share Distributions

9.

Size Doesn't Matter: Diseconomies of Scale in the Mutual Fund Industry Revisited

Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 11 Feb 2018
Blake Phillips, Kuntara Pukthuanthong and P. Raghavendra Rau
University of Waterloo, University of Missouri, Columbia and University of Cambridge
Downloads 696 (70,333)
Citation 15

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Mutual Fund Performance, Size-Performance Relation, Instrumental Variables, Diseconomies of Scale

Economic Narratives and Market Outcomes: A Semi-Supervised Topic Modeling Approach

Number of pages: 87 Posted: 29 Dec 2021 Last Revised: 18 Jan 2022
Dat Mai and Kuntara Pukthuanthong
University of Missouri at Columbia and University of Missouri, Columbia
Downloads 487 (108,902)
Citation 2

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Narratives, LDA, topic modeling, predictability, textual analysis, history

11.

Do Hedge Funds Dynamically Manage Systematic Risk?

Journal of Banking and Finance, Forthcoming
Number of pages: 47 Posted: 30 Oct 2012 Last Revised: 17 Jan 2023
Ethan Namvar, Blake Phillips, Kuntara Pukthuanthong and P. Raghavendra Rau
University of California, Berkeley - Haas School of Business, University of Waterloo, University of Missouri, Columbia and University of Cambridge
Downloads 542 (96,436)
Citation 7

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Hedge Funds, Alternative Investments, Correlation Risk, Systematic Risk

War Discourse and the Cross-Section of Expected Stock Returns

Number of pages: 132 Posted: 14 Jun 2023 Last Revised: 03 Apr 2024
David A. Hirshleifer, Dat Mai and Kuntara Pukthuanthong
Marshall School of Business, USC, University of Missouri at Columbia and University of Missouri, Columbia
Downloads 525 (99,429)

Abstract:

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War Discourse and the Cross Section of Expected Stock Returns

NBER Working Paper No. w31348
Number of pages: 132 Posted: 12 Jun 2023 Last Revised: 26 Jun 2023
David A. Hirshleifer, Dat Mai and Kuntara Pukthuanthong
Marshall School of Business, USC, University of Missouri-Columbia and University of Missouri, Columbia
Downloads 9 (1,104,614)
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13.

AI Narrative and Stock Mispricing

Number of pages: 38 Posted: 26 Apr 2023 Last Revised: 02 Jun 2023
Arka Bandyopadhyay, Dat Mai and Kuntara Pukthuanthong
New York University, University of Missouri at Columbia and University of Missouri, Columbia
Downloads 497 (107,325)

Abstract:

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news narrative, artificial intelligence, NLP, return prediction, mispricing

14.

Detecting Superior Mutual Fund Managers: Evidence from Copycats

Review of Asset Pricing Studies, Forthcoming
Number of pages: 52 Posted: 19 Sep 2014 Last Revised: 22 Dec 2014
Blake Phillips, Kuntara Pukthuanthong and P. Raghavendra Rau
University of Waterloo, University of Missouri, Columbia and University of Cambridge
Downloads 490 (109,102)
Citation 5

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copycats, mutual fund, skill, performance

15.

Investor Sentiment and Asset Returns: Actions Speak Louder than Words

Number of pages: 44 Posted: 13 Dec 2022
Dat Mai, Kuntara Pukthuanthong and Guofu Zhou
University of Missouri at Columbia, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 450 (120,694)

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sentiment, return prediction, Bitcoin, stocks, behavioral finance

16.

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Journal of Banking and Finance, Vol. 36, No. 9, 2012
Number of pages: 54 Posted: 23 Dec 2012
Mohamed El Hedi Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
EDHEC Business School, IPAG Business School and University of Missouri, Columbia
Downloads 381 (146,217)

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ICAPM, integration, emerging markets, multivariate GARCH

17.

Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Number of pages: 69 Posted: 28 Jul 2014 Last Revised: 19 Jun 2018
Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 379 (147,004)
Citation 1

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error-in-variables, instruments, asset pricing

18.

U.S. Coins Market: Historical Performance and Anomalies

Number of pages: 61 Posted: 12 Dec 2019 Last Revised: 27 Jan 2020
David A. Maslar, Khaled Obaid and Kuntara Pukthuanthong
University of Tennessee, Knoxville - Department of Finance, California State University-East Bay and University of Missouri, Columbia
Downloads 342 (164,576)
Citation 1

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Alternative investments, Long-term returns, Numismatics, Coins, Anomalies, Information diffusion

Changing Expected Returns Can Induce Spurious Components in Autocorrelations

Number of pages: 62 Posted: 18 Aug 2021 Last Revised: 15 Aug 2022
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 167 (329,449)

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Efficient Markets, Serial Correlation, Spurious Results

Changing Expected Returns Can Induce Spurious Serial Correlation

Number of pages: 59 Posted: 14 Nov 2021 Last Revised: 06 Jul 2022
Kuntara Pukthuanthong, Richard Roll and Avanidhar Subrahmanyam
University of Missouri, Columbia, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 156 (349,378)

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Efficient Markets, Serial Correlation, Spurious Results

20.

Political Connections, Government Procurement Contracts, and the Cost of Debt

Number of pages: 64 Posted: 02 Aug 2017 Last Revised: 19 Jan 2018
Reza Houston, David A. Maslar and Kuntara Pukthuanthong
Ball State University - Miller College of Business, University of Tennessee, Knoxville - Department of Finance and University of Missouri, Columbia
Downloads 319 (177,228)
Citation 1

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government contracting, political connections, cost of debt

21.

Machine Learning Classification Methods and Portfolio Allocation: An Alternative Probabilistic Perspective

Number of pages: 99 Posted: 10 Sep 2020 Last Revised: 17 Nov 2021
Yang Bai and Kuntara Pukthuanthong
University of Missouri, Finance Department and University of Missouri, Columbia
Downloads 301 (188,373)

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Artificial neural network, big data, binomial test, classification, dropout additive regression tree, gradient boosting machine, information theory, machine learning, portfolio allocation, out-of-sample prediction, random forest, return state transition

22.

Asset Pricing with Slope Factors: Model and Evidence of Outperformance

Number of pages: 61 Posted: 22 Jul 2022
Siddhartha Chib, Yi Chun Lin, Kuntara Pukthuanthong and Xiaming Zeng
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - Department of Economics, University of Missouri, Columbia and Independent
Downloads 286 (198,706)

Abstract:

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factor risk premia; firm level characteristics; marginal likelihood; pricing test; stochastic discount factor; risk factors; out-of-sample sharpe-ratio

23.

Diversity Narrative and Equity in Firm Leadership

Number of pages: 42 Posted: 26 Apr 2023
Arka Bandyopadhyay, Dat Mai and Kuntara Pukthuanthong
New York University, University of Missouri at Columbia and University of Missouri, Columbia
Downloads 285 (199,484)

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Diversity, Equity, Female CEO, Tech firms, India

24.

Agnostic Tests of Stochastic Discount Factor Theory

Number of pages: 51 Posted: 19 Apr 2015 Last Revised: 14 Dec 2019
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 266 (213,859)
Citation 3

Abstract:

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Stochastic discount factor, asset pricing

25.

An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor

Number of pages: 94 Posted: 01 Jan 2020 Last Revised: 04 Oct 2021
Kuntara Pukthuanthong, Richard Roll and Junbo L. Wang
University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
Downloads 264 (215,469)
Citation 2

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stochastic discount factor, pricing kernel, cross-sectional test

26.

Are Stock-Market Anomalies Anomalous After All?

Number of pages: 89 Posted: 19 Feb 2021 Last Revised: 21 Feb 2021
George Chalamandaris, Kuntara Pukthuanthong and Nikolas Topaloglou
Athens University of Economics and Business - Department of Accounting and Finance, University of Missouri, Columbia and Athens University of Economics and Business
Downloads 262 (217,121)

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Stochastic dominance, stochastic spanning, mean-variance spanning market anomalies.

27.

Corporate Social Responsibility and M&A Uncertainty

Journal of Corporate Finance, Forthcoming
Number of pages: 49 Posted: 01 Apr 2019
Mohamed Arouri, Mathieu Gomes and Kuntara Pukthuanthong
Université Côte d'Azur, Université Clermont Auvergne and University of Missouri, Columbia
Downloads 261 (217,976)
Citation 16

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Corporate Social Responsibility (CSR), Mergers and Acquisitions (M&A), Risk Arbitrage

28.

The Effect of Capital Ratios on the Risk, Efficiency and Profitability of Banks: Evidence from OECD Countries

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 59 Posted: 10 Jan 2018
Mohammad Bitar, Mohammad Bitar, Kuntara Pukthuanthong and Thomas John Walker
Nottingham University Business SchoolUniversity of Nottingham, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 244 (232,878)
Citation 16

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Bank capital, Basel capital, risk, efficiency, profitability, principal component analysis, quantile regressions

29.

Does Disclosure Regulation Work? Evidence from International IPO Markets

Contemporary Accounting Research, Forthcoming
Number of pages: 62 Posted: 14 Jan 2012
Charles Shi, Kuntara Pukthuanthong and Thomas John Walker
NUS Business School, National University of Singapore, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 236 (240,663)
Citation 9

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Disclosure Regulation, Mandatory Disclosure, Information Asymmetry, International IPO Underpricing

30.

Market Fragility and International Market Crashes

Journal of Financial Economics 2012, 105(3), 565-580
Number of pages: 62 Posted: 07 Nov 2011 Last Revised: 24 Dec 2012
Dave Berger and Kuntara Pukthuanthong
Oregon State University and University of Missouri, Columbia
Downloads 231 (245,575)
Citation 5

Abstract:

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Financial crises, Systemic risk

War Discourse and Disaster Premia: 160 Years of Evidence from Stock and Bond Markets

Number of pages: 103 Posted: 09 May 2023 Last Revised: 07 Aug 2023
David A. Hirshleifer, Dat Mai and Kuntara Pukthuanthong
Marshall School of Business, USC, University of Missouri at Columbia and University of Missouri, Columbia
Downloads 217 (260,845)

Abstract:

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War, disaster risk, machine learning, topic modelling, predictability, out-of-sample test

War Discourse and Disaster Premia: 160 Years of Evidence from Stock and Bond Markets

NBER Working Paper No. w31204
Number of pages: 155 Posted: 08 May 2023 Last Revised: 22 May 2023
David A. Hirshleifer, Dat Mai and Kuntara Pukthuanthong
Marshall School of Business, USC, University of Missouri-Columbia and University of Missouri, Columbia
Downloads 9 (1,104,614)
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Abstract:

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32.

Asset Pricing from Daily Shopper Spending

Number of pages: 65 Posted: 22 Mar 2021 Last Revised: 17 Apr 2023
Kuntara Pukthuanthong, Jialu Shen and Ruixiang Wang
University of Missouri, Columbia, University of Missouri at Columbia - Department of Finance and Clark University - Graduate School of Management
Downloads 226 (250,875)

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Consumption-based Asset Pricing, Consumption Dynamics, Equity Premium

33.

An International Look at the Lawsuit Avoidance Hypothesis of IPO Underpricing

Journal of Corporate Finance, Vol. 19, No. 13, 2013
Number of pages: 55 Posted: 23 Dec 2012
Hui Ling Lin, Kuntara Pukthuanthong and Thomas John Walker
Concordia University California, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 226 (250,875)
Citation 9

Abstract:

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Initial public offerings, securities regulation, securities litigation

34.

War Risk: Time Series and Cross-sectional Evidence from the Stock and Bond Markets

Number of pages: 140 Posted: 06 Sep 2022 Last Revised: 07 Aug 2023
Dat Mai and Kuntara Pukthuanthong
University of Missouri at Columbia and University of Missouri, Columbia
Downloads 225 (251,891)

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War, disaster risk, topic modeling, narratives, War factors

35.

On Valuing Human Capital And Relating it to Macro-Economic Conditions

Number of pages: 65 Posted: 31 Dec 2013 Last Revised: 13 Feb 2021
Dave Berger, Kuntara Pukthuanthong and Richard Roll
Oregon State University, University of Missouri, Columbia and California Institute of Technology
Downloads 225 (251,891)
Citation 2

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Human capital value, economic crisis, inflation, GDP, macroeconomics

36.

Basel III and Bank Efficiency: Does One Solution Fit All? Evidence from Islamic and Conventional Banks

Number of pages: 70 Posted: 05 May 2015
Mohammad Bitar, Mohammad Bitar, Thomas John Walker and Kuntara Pukthuanthong
Nottingham University Business SchoolUniversity of Nottingham, Concordia University, Quebec - Department of Finance and University of Missouri, Columbia
Downloads 219 (258,339)

Abstract:

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Efficiency, Basel III, Capital, Liquidity, Conditional Quantile Regression

37.

Earnings Conference Calls and Institutional Monitoring: Evidence from Textual Analysis

Forthcoming, Journal of Financial Research
Number of pages: 53 Posted: 11 Sep 2019
Arash Amoozegar, Dave Berger, Xueli Cao and Kuntara Pukthuanthong
Government of Canada - Export Development Canada, Oregon State University, FedEx Services and University of Missouri, Columbia
Downloads 212 (266,328)
Citation 1

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institutional investors, conference call, textual tone, indexing

38.

Fragility, Stress, and Market Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 10 Nov 2015 Last Revised: 13 Nov 2015
Dave Berger and Kuntara Pukthuanthong
Oregon State University and University of Missouri, Columbia
Downloads 205 (274,717)
Citation 1

Abstract:

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Financial crises; Risk; Asset-pricing

39.

Slope Factors Outperform: Evidence from a Large Comparative Study

Number of pages: 60 Posted: 23 Nov 2021 Last Revised: 15 Feb 2023
Siddhartha Chib, Yi Chun Lin, Kuntara Pukthuanthong and Xiaming Zeng
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - Department of Economics, University of Missouri, Columbia and Independent
Downloads 193 (290,118)
Citation 1

Abstract:

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Factor risk premia; firm level characteristics; marginal likelihood; pricing test; stochastic discount factor; risk factors

40.

The Role of Aviation Laws and Legal Liability in Aviation Disasters: A Financial Market Perspective

International Review of Law and Economics, March 2014 Volume 37, Pages 51–65
Number of pages: 45 Posted: 04 Jul 2013 Last Revised: 13 Jun 2014
Concordia University, Quebec - Department of Finance, Fin-Consult, Concordia University, Quebec - John Molson School of Business and University of Missouri, Columbia
Downloads 180 (308,727)

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Aviation Law, Information and Market Efficiency, Event Studies

41.

Litigation Risk and Institutional Monitoring

Journal of Corporate Finance, Forthcoming
Number of pages: 51 Posted: 21 Nov 2016 Last Revised: 27 Nov 2016
Kuntara Pukthuanthong, Harry J. Turtle, Thomas John Walker and Jun Wang
University of Missouri, Columbia, Colorado State University, Fort Collins - Department of Finance & Real Estate, Concordia University, Quebec - Department of Finance and Asper School of Business, University of Manitoba
Downloads 163 (336,470)
Citation 3

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Shareholder Litigation, Corporate Governance, Institutional Investors

42.

Commodity Dependence and Optimal Asset Allocation

Number of pages: 38 Posted: 07 Aug 2023 Last Revised: 21 Sep 2023
Vianney Dequiedt, Mathieu Gomes, Kuntara Pukthuanthong and Benjamin Williams
affiliation not provided to SSRN, Université Clermont Auvergne, University of Missouri, Columbia and Université Clermont Auvergne
Downloads 159 (343,614)

Abstract:

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Commodity dependence, Asset allocation, Diversification

43.

The Impact of Cash, Debt, and Insiders on Open Market Share Repurchases

Journal of Applied Corporate Finance, Forthcoming
Number of pages: 22 Posted: 23 Dec 2012
Concordia University, Quebec, University of Missouri, Columbia, Concordia University, Quebec - John Molson School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and Concordia University, Quebec - Department of Finance
Downloads 153 (354,979)

Abstract:

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share repurchases, insider trading, event studies

44.

Just Look: Knowing Peers with Image Representation

Number of pages: 69 Posted: 26 May 2023
Tomasz Kaczmarek and Kuntara Pukthuanthong
Poznan University of Economics and Business and University of Missouri, Columbia
Downloads 151 (358,738)

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Images, Industry classifications, Diversification, Industry momentum

45.

Media Tone Goes Viral: Global Evidence from the Currency Market

Number of pages: 90 Posted: 13 Apr 2020
Heikki Lehkonen, Kari Heimonen and Kuntara Pukthuanthong
University of Jyväskylä - School of Business and Economics, University of Jyväskylä and University of Missouri, Columbia
Downloads 149 (362,599)

Abstract:

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Media tone, Text analysis, Exchange rates, Forecasting

46.

Does Family Ownership Create or Destroy Value: Evidence from Canada

International Journal of Managerial Finance, Vol. 9, No. 1, 2013
Number of pages: 42 Posted: 23 Dec 2012 Last Revised: 22 Mar 2015
Heng Du, Kuntara Pukthuanthong, Dolruedee Thiengtham and Thomas John Walker
Concordia University, Quebec - Department of Finance, University of Missouri, Columbia, Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - Department of Finance
Downloads 147 (366,653)

Abstract:

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family ownership, agency conflicts, firm performance

47.

Insider Trading in Rumored Takeover Targets

Forthcoming, European Financial Management
Number of pages: 49 Posted: 10 Aug 2020
Concordia University, Department of Finance, Université du Québec à Montréal, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 143 (374,786)
Citation 5

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Insider trading, takeover rumors, information asymmetry, takeover announcements, mergers and acquisitions

48.

On the Role of the Chief Risk Officer and the Risk Committee in Insuring Financial Institutions Against Litigation

Forthcoming, Managerial Finance
Number of pages: 54 Posted: 16 Jul 2016 Last Revised: 24 Jul 2016
Arash Amoozegar, Kuntara Pukthuanthong and Thomas John Walker
Government of Canada - Export Development Canada, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 142 (376,857)
Citation 1

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Litigation, chief risk officer, corporate governance

49.

Human Capital Valuation, Asset Pricing, and Economic Development

Number of pages: 61 Posted: 28 Feb 2023 Last Revised: 12 Apr 2023
Dave Berger, Kuntara Pukthuanthong and Richard Roll
Oregon State University, University of Missouri, Columbia and California Institute of Technology
Downloads 126 (416,020)

Abstract:

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Human capital, market value, innovation

50.

Global Market Integration: An Alternative Measure and its Application

AFA 2009 San Francisco Meetings Paper
Number of pages: 19 Posted: 21 Mar 2008 Last Revised: 01 Mar 2022
Kuntara Pukthuanthong and Richard Roll
University of Missouri, Columbia and California Institute of Technology
Downloads 126 (413,552)
Citation 123

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global, integration, market

An Unambiguous Statement of Interest Rate Parity

Number of pages: 30 Posted: 02 Jan 2023
Kuntara Pukthuanthong and Lee R. Thomas III
University of Missouri, Columbia and Independent
Downloads 110 (460,189)

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Interest rate parity; Siegel’s paradox; growth investing; dynamic risk neutrality; universal hedging

An Unambiguous Statement of Interest Rate Parity

Number of pages: 29 Posted: 29 Jan 2023
Kuntara Pukthuanthong and lee thomas
University of Missouri, Columbia and Independent
Downloads 10 (1,094,366)

Abstract:

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Interest rate parity, Siegel's paradox, growth investing, dynamic risk neutrality, universal hedging

52.

Legal Opportunism, Litigation Risk, and IPO Underpricing

Journal of Business Research, Forthcoming
Number of pages: 28 Posted: 29 Jul 2014
Concordia University, Quebec - Department of Finance, Colorado State University, Fort Collins - Department of Finance & Real Estate, University of Missouri, Columbia and Concordia University, Quebec - John Molson School of Business
Downloads 120 (428,886)

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Initial Public Offerings; Securities Regulation; Securities Litigation

53.

Underwriters and the Broken Chinese Wall: Institutional Holdings and Post-IPO Securities Litigation

Journal of Financial Research, Winter 2013 Volume 36, Issue 4, pages 543–578
Number of pages: 46 Posted: 08 Aug 2013 Last Revised: 13 Jun 2014
Sergey Barabanov, Onem Ozocak, Kuntara Pukthuanthong and Thomas John Walker
University of St. Thomas, Brock University - Goodman School of Business, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 119 (431,582)

Abstract:

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Institutional Ownership, Analyst Earnings Forecasts, Securities Litigation, Initial Public Offerings

54.

Convenience Yields of Collectibles

Number of pages: 38 Posted: 29 Nov 2023
Elroy Dimson, Kuntara Pukthuanthong and Blair Vorsatz
University of Cambridge - Judge Business School, University of Missouri, Columbia and University of Chicago - Booth School of Business
Downloads 117 (439,888)

Abstract:

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Collectibles, convenience yields, emotional dividends, sustainable invest- ing, non-pecuniary returns, machine learning

55.

The Information Content of NAV Estimates

Forthcoming, Journal of Real Estate Finance and Economics
Number of pages: 50 Posted: 01 Jun 2020
Ryan Chacon, Dan W. French and Kuntara Pukthuanthong
University of Colorado, Colorado Springs, Lamar University and University of Missouri, Columbia
Downloads 113 (448,660)

Abstract:

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REIT, analyst, valuation, NAVs, market efficiency, information transmission

56.

Conflict-Induced Forced CEO Turnovers and Firm Performance

Managerial Finance, Forthcoming
Number of pages: 44 Posted: 26 Mar 2018
Kuntara Pukthuanthong, Saif Ullah, Thomas John Walker and Jing Zhang
University of Missouri, Columbia, Concordia University, Concordia University, Quebec - Department of Finance and Concordia University, Quebec - John Molson School of Business
Downloads 113 (448,660)

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Strategic Direction, Strategy Formation, Forced CEO Turnovers, Firm Performance

57.

The Performance of Islamic vs. Conventional Banks: Evidence on the Suitability of the Basel Capital Ratios

Forthcoming Open Economic Review
Number of pages: 35 Posted: 14 Mar 2018
Nottingham University Business SchoolUniversity of Nottingham, University of New Orleans - College of Business Administration - Department of Economics and Finance, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 111 (454,685)

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Bank Capital, Basel Capital, Profitability, Efficiency

58.

Legitimacy Signals and Family IPO Performances

Forthcoming Journal of Business Economics and Management, Forthcoming
Number of pages: 33 Posted: 23 Dec 2012
Hung-Bin Ding and Kuntara Pukthuanthong
Loyola University Maryland and University of Missouri, Columbia
Downloads 109 (460,691)
Citation 1

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legitimacy, signaling, family ownership, family firms, Taiwan, initial public offering

59.

Is Media Tone Just a Tone? Time-Series and Cross-Sectional Evidence from the Currency Market

Number of pages: 78 Posted: 05 Dec 2022 Last Revised: 07 Dec 2022
Heikki Lehkonen, Kari Heimonen and Kuntara Pukthuanthong
University of Jyväskylä - School of Business and Economics, University of Jyväskylä and University of Missouri, Columbia
Downloads 108 (463,668)

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Media tone, Text analysis, Exchange rates, Forecasting

60.

War Discourse and Disaster Premia: 160 Years of Evidence from the Stock Market

Number of pages: 154 Posted: 18 Feb 2024
David A. Hirshleifer, Dat Mai and Kuntara Pukthuanthong
Marshall School of Business, USC, University of Missouri at Columbia and University of Missouri, Columbia
Downloads 107 (466,857)

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War, Topic Modelling, Machine Learning, Predictability, Disaster Risk

61.

Jump Risk Premia Across Major International Equity Markets

Journal of Empirical Finance, Forthcoming
Number of pages: 50 Posted: 09 Jan 2019 Last Revised: 10 Jan 2019
Mohamed El Hedi Arouri, Oussama M’saddek and Kuntara Pukthuanthong
EDHEC Business School, Université Clermont Auvergne and University of Missouri, Columbia
Downloads 95 (506,302)
Citation 1

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systematic jump risk, risk premium, leverage effect

62.

Cracking the Code: The Networking Matrix of Finance Academia

Number of pages: 61 Posted: 05 Jun 2023 Last Revised: 13 Jul 2023
Kuntara Pukthuanthong and Sujiao Zhao
University of Missouri, Columbia and Bank of Portugal - Department of Economics
Downloads 83 (550,640)

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International diversification with frontier markets

Journal of Financial Economics, Forthcoming
Number of pages: 48 Posted: 20 Apr 2022
Dave Berger, Kuntara Pukthuanthong and J. Jimmy Yang
Oregon State University, University of Missouri, Columbia and Oregon State University
Downloads 83 (556,759)

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Frontier markets; International equity markets; Market Integration; International diversification

International Diversification with Frontier Markets

Journal of Financial Economics, Vol. 101, No. 1, 2011
Posted: 07 Nov 2011 Last Revised: 06 Mar 2015
Dave Berger, Kuntara Pukthuanthong and J. Jimmy Yang
Oregon State University, University of Missouri, Columbia and Oregon State University - College of Business

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Frontier markets, International equity markets, Market Integration, International diversification  

64.

Efficiency in Islamic vs. Conventional Banking: The Role of Capital and Liquidity

Number of pages: 58 Posted: 22 Jul 2019
Mohammad Bitar, Mohammad Bitar, Kuntara Pukthuanthong and Thomas John Walker
Nottingham University Business SchoolUniversity of Nottingham, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Downloads 76 (579,811)
Citation 2

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Islamic banking, Capital, Liquidity, Efficiency, Conditional quantile regressions

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Number of pages: 39 Posted: 25 Jan 2011
Mohamed Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
Université Côte d'Azur, IPAG Business School and University of Missouri, Columbia
Downloads 37 (825,868)
Citation 1

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International asset pricing, segmentation, emerging markets, multivariate GARCH

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Number of pages: 49 Posted: 21 Mar 2011 Last Revised: 05 Feb 2019
Mohamed Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
Université Côte d'Azur, IPAG Business School and University of Missouri, Columbia
Downloads 37 (825,868)

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international Asset Pricing, Segmentation, Emerging Markets, Multivariate GARCH

66.

Informativeness of Mutual Fund Advertisements: Does Advertising Communicate Fund Quality to Investors?

Forthcoming, Financial Management, 2020
Number of pages: 57 Posted: 29 May 2020 Last Revised: 07 May 2021
Khaled Obaid and Kuntara Pukthuanthong
California State University-East Bay and University of Missouri, Columbia
Downloads 70 (606,732)

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Portfolio choice; Individual investor behavior; Mutual funds; Advertising; Signal; Signaling theory; Performance

67.

Timely vs. Delayed CEO Turnover

Information Systematic Frontier 2017, 19(3), 469-479.
Number of pages: 26 Posted: 14 Sep 2017
Kuntara Pukthuanthong, Saif Ullah, Thomas John Walker and Xuan Wu
University of Missouri, Columbia, Concordia University, Concordia University, Quebec - Department of Finance and Concordia University, Quebec, John Molson School of Business, Students
Downloads 70 (606,732)

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Duality; Financial Wrongdoing; CEO Turnover; CEO Resignations

68.

No One-Size-Fits-All Tale: The Diversity and Complexity in Asset Pricing across Global Markets

Number of pages: 84 Posted: 01 Aug 2023 Last Revised: 09 Aug 2023
Kuntara Pukthuanthong, Zhuo Qiao and Yan Wang
University of Missouri, Columbia, University of Macau and University of Macau
Downloads 69 (611,367)
Citation 1

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Bayesian analysis, Model comparison, Fat tails, Currency risk, Factor strength, International asset pricing

69.

Cojumps and Asset Allocation in International Equity Markets

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 42 Posted: 28 Nov 2018
Université Côte d'Azur, Université Clermont Auvergne, IPAG Business School and University of Missouri, Columbia
Downloads 64 (635,840)
Citation 2

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cojumps, foreign asset holdings, international diversification

70.

Has the Difference in Stock Liquidity and Stock Returns Between Chinese State Owned and Privately Owned Enterprises Become Smaller?

Finance Research Letters, Forthcoming
Number of pages: 15 Posted: 27 Mar 2018
Kuntara Pukthuanthong and Zhuo Qiao
University of Missouri, Columbia and University of Macau
Downloads 58 (667,451)

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Split-Share Structure Reform, State Owned Enterprises, Privately Owned Enterprises, Stochastic Dominance

71.

Model Free Jump Measures and Interest Rates: Common Patterns in US and UK Monetary Policy Around Major Economic Events

European Journal of Finance, Forthcoming
Number of pages: 39 Posted: 10 Nov 2015
Januj Juneja and Kuntara Pukthuanthong
San Diego State University-College of Business Administration and University of Missouri, Columbia
Downloads 45 (746,517)

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Non-parametric methods, Monetary Policy, Interest

72.

Rational Apathy: Unveiling the Hidden Consequences of Workplace Automation

Number of pages: 62 Posted: 14 Dec 2021 Last Revised: 09 Jan 2024
Kuntara Pukthuanthong, Zhihua Wei, Aoran Zhang and philip Zhao
University of Missouri, Columbia, Xiamen University, Toronto Metropolitan University (formerly Ryerson University) and Concordia University Montreal
Downloads 28 (878,336)

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Labor and finance; Workplace automation; Workplace safety; Corporate social responsibility; Artificial intelligence

73.

What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis

Posted: 07 Sep 2019
Wan-Jiun Paul Chiou and Kuntara Pukthuanthong
Central Michigan University - Department of Finance and Law and University of Missouri, Columbia

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Diversification Benefits, Investment Constraints, International Portfolio

74.

A Comparison of Municipal Bond Index Weighting Schemes

Posted: 24 Mar 2015
Vineer Bhansali, Ethan Namvar, Kuntara Pukthuanthong and Shane D. Shepherd
LongTail Alpha, LLC, University of California, Berkeley - Haas School of Business, University of Missouri, Columbia and Research Affiliates, LLC

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Municipal Bonds; Municipal Bond Index; Passive Investing; Indexing

75.

Positive and Negative Synergies between the CEO's and the Corporate Board's Human and Social Capital: A study of Biotechnology Firms IPOs

Strategic Management Journal, June 2014 Volume 35, Issue 6, pages 845–868
Posted: 20 Apr 2013 Last Revised: 19 Jun 2018
Chamu Sundaramurthy, Kuntara Pukthuanthong and Yasemin Y. Kor
San Diego State University - College of Business Administration, University of Missouri, Columbia and Cambridge Judge Business School

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board of directors, corporate governance, initial public offering, human and social capital, bio-technology

Insider Stock Trading and the Bond Market

Posted: 21 Dec 2012 Last Revised: 01 Mar 2016
Andreas Oehler, Kuntara Pukthuanthong, Thomas John Walker and Stefan Wendt
Bamberg University, University of Missouri, Columbia, Concordia University, Quebec - Department of Finance and School of Business, Reykjavik University

Abstract:

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Bond Pricing, Credit Risk, Insider Trading

Insider Stock Trading and the Bond Market

The Journal of Fixed Income, Winter 2016, Vol. 25, No. 3: pp. 74-91
Posted: 01 Mar 2016
Andreas Oehler, Kuntara Pukthuanthong, Thomas John Walker and Stefan Wendt
Bamberg University, University of Missouri, Columbia, Concordia University, Quebec - Department of Finance and School of Business, Reykjavik University

Abstract:

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Bond Pricing, Credit Risk, Insider Trading

77.

Venture Capital in Europe: Closing the Gap to the U.S.

VENTURE CAPITAL IN EUROPE, Gregoriou, G. N. Kooli, M. Kraeussl, R., eds., Elsevier, London u. a., pp. 3-17, 2007
Posted: 17 Aug 2010
Andreas Oehler, Kuntara Pukthuanthong, Marco Rummer and walker thomas
Bamberg University, University of Missouri, Columbia, University of Oxford - Said Business School and affiliation not provided to SSRN

Abstract:

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Venture Capita, Economic Policy, Entrepreneurship

78.

Family Firms Going Public: The Impact of Governance and Legitimacy on IPO Performances

Journal of Business Economics and Management 2013, 14(1), 156-181.
Posted: 31 Oct 2009 Last Revised: 21 Sep 2014
Hung-Bin Ding and Kuntara Pukthuanthong
Loyola University Maryland and University of Missouri, Columbia

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Family business, IPO, Taiwan, IPO signals, control premium

79.

Commonality in Liquidity: Evidence from the Stock Exchange of Thailand

Pacific-Basin Finance Journal, Forthcoming
Posted: 20 Jan 2009
Kuntara Pukthuanthong and Nuttawat Visaltanachoti
University of Missouri, Columbia and Massey University - Department of Economics and Finance

Abstract:

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Liquidity, Commonality, Microstructure, Thailand

80.

Idiosyncratic Volatility and Stock Returns: A Cross Country Analysis

Applied Financial Economics, Forthcoming
Posted: 20 Jan 2009
Kuntara Pukthuanthong and Nuttawat Visaltanachoti
University of Missouri, Columbia and Massey University - Department of Economics and Finance

Abstract:

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Idiosyncratic risk, CAPM, Stock returns

81.

Pre-IPO Insider Ownership and Underpricing: High-Tech Versus Low-Tech IPOs

Financial Decisions, 2009
Posted: 16 Jan 2009
Kuntara Pukthuanthong and Thomas John Walker
University of Missouri, Columbia and Concordia University, Quebec - Department of Finance

Abstract:

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Initial Public Offerings, Insider Ownership

82.

Leverage, Pre-IPO Insider Ownership, and Underpricing: High-Tech versus Low-Tech IPOs

Management Decision, Vol. 46, No. 1, March 2008
Posted: 16 Jan 2009
Jaemin Kim, Kuntara Pukthuanthong and Thomas John Walker
Fowler College of Business, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance

Abstract:

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Pricing, Investments, Capital, Stock markets

83.

Underwriter Learning about Unfamiliar Firms: Evidence from the History of Biotech IPOs

Journal of Financial Markets, Vol. 9, 2006
Posted: 16 Jan 2009
Kuntara Pukthuanthong
University of Missouri, Columbia

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84.

Venture Capital in China: A Culture Shock for Western Investors

Management Decision, Vol. 45, pp. 708-731, 2007
Posted: 16 Jan 2009
Thomas John Walker and Kuntara Pukthuanthong
Concordia University, Quebec - Department of Finance and University of Missouri, Columbia

Abstract:

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Venture capital, Economic policy, Entrepreneurialism, China

85.

Equity and Debt Market Responses to Sovereign Credit Ratings Announcements

Global Finance Journal, Vol. 18, No. 1, 2007
Posted: 16 Jan 2009
Fayez A. Elayan, Kuntara Pukthuanthong and Lawrence C. Rose
Brock University-Goodman School of Business, University of Missouri, Columbia and Massey University

Abstract:

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Sovereign credit rating, Bond market reaction, Stock market reaction

86.

Random Walk Currency Futures Profits Revisited

International Journal of Managerial Finance, Vol. 3, No. 3, pp. 263-286, 2007
Posted: 16 Jan 2009
Kuntara Pukthuanthong, Lee R. Thomas III and Carlos
University of Missouri, Columbia, Independent and San Diego State University

Abstract:

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Random processes, Futures markets, Currency options

87.

How Employee Stock Options and Executive Equity Ownership Affect Long-Term IPO Stock Prices and Operating Performance

Journal of Corporate Finance, Vol. 13, 2007
Posted: 16 Jan 2009
Kuntara Pukthuanthong, Richard Roll and Thomas John Walker
University of Missouri, Columbia, California Institute of Technology and Concordia University, Quebec - Department of Finance

Abstract:

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Initial public offerings, Stock options, Executive compensation

88.

Family Firm IPO Performance and Market Signals

Journal of Enterprising Culture, 2009, 17(1), 55-77.
Posted: 13 Jan 2009 Last Revised: 21 Sep 2014
Hung-Bin Ding and Kuntara Pukthuanthong
Loyola University Maryland and University of Missouri, Columbia

Abstract:

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Initial Public Offering, Family

89.

IPO Pricing, Block Sales, and Long Term Performance

Financial Review, Vol. 42, No. 3, pp. 1-30, 2007
Posted: 13 Jan 2009
Nikhil P. Varaiya and Kuntara Pukthuanthong
San Diego State University and University of Missouri, Columbia

Abstract:

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IPO, initial public offering, block sales, large trades, long-horizon performance

90.

IPO Firm Executives, Compensation, and Selling

Journal of Entrepreneurial Finance and Business Ventures, Vol. 11, No. 1, 2006
Posted: 13 Jan 2009
Jaemin Kim and Kuntara Pukthuanthong
Fowler College of Business and University of Missouri, Columbia

Abstract:

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Stock Option, Restricted Stock, Initial Public Offering

91.

On the Stock Market's Reaction to Major Railroad Accidents

Journal of the Transportation Research Forum, Vol. 45, No. 1, pp. 23-39, Spring 2006
Posted: 13 Jan 2009 Last Revised: 19 Mar 2009
Thomas John Walker, Kuntara Pukthuanthong and Sergey Barabanov
Concordia University, Quebec - Department of Finance, University of Missouri, Columbia and University of St. Thomas

Abstract:

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Railroad Accidents, Information and Market Efficiency, Event Studies

92.

Do IPOs in Countries Where Firms Have High Family Control Benefit from More Prestigious Underwriters

Multinational Business Review, Vol. 16, No. 2, Special Issue, 2009
Posted: 13 Jan 2009
Kuntara Pukthuanthong and Thomas John Walker
University of Missouri, Columbia and Concordia University, Quebec - Department of Finance

Abstract:

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Initial Public Offerings, Family

93.

Are IPO Auctions Celebrating a Comeback: U.S. Evidence

Venture Capital Journal, Vol. 9, No. 4, pp. 1-36, 2007
Posted: 13 Jan 2009
Kuntara Pukthuanthong, Nikhil P. Varaiya and Thomas John Walker
University of Missouri, Columbia, San Diego State University and Concordia University, Quebec - Department of Finance

Abstract:

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Initial public offerings, IPO auctions

94.

Recent Developments in the Aviation Insurance Industry

Risk Management and Insurance Review, 2009
Posted: 13 Jan 2009 Last Revised: 14 Jan 2009
Triant Flouris, Paul Hayes, Kuntara Pukthuanthong and Thomas John Walker
York College CUNY, Ascend Worldwide, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance

Abstract:

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Aviation Disasters, Aviation Insurance, Reinsurance

95.

Weak-Form Efficiency in Currency Markets

Financial Analysts Journal, Vol. 64, No. 3, 2008
Posted: 23 Sep 2008 Last Revised: 07 Nov 2011
Kuntara Pukthuanthong, Lee R. Thomas III and CFA Institute
University of Missouri, Columbia, Independent and CFA Institute

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Alternative Investments: Other, Hedge Fund Strategies, Portfolio Management: Hedge Fund Strategies, Derivative Instruments: Currency Derivatives

96.

Investors Like Firms that Expense Employee Stock Options and They Dislike Firms that Fail to Expense

Journal of Investment Management, Vol. 3, No. 1, First Quarter 2005
Posted: 01 Apr 2005
Fayez A. Elayan, Kuntara Pukthuanthong and Richard Roll
Brock University-Goodman School of Business, University of Missouri, Columbia and California Institute of Technology

Abstract:

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Employee stock options, expense recognition, transparency

Other Papers (1)

Total Downloads: 0
1.

Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds

Journal of Portfolio Management, Vol. 39, No. (4), 36-48, 2013
Posted: 09 Jun 2014 Last Revised: 06 Mar 2015
Dave Berger, Kuntara Pukthuanthong and J. Jimmy Yang
Oregon State University, University of Missouri, Columbia and Oregon State University - College of Business

Abstract:

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Frontier markets, International diversification, Mutual funds, ETFs