Duc Khuong Nguyen

@article{nguyen_3084,

title = {Portfolio's weighted political risk and mutual fund performance: A text-based approach},

author = {Huong Giang Nguyen and Khanh Hoang and Quan M.P. Nguyen and Hung Wuan Do and Duc Khuong Nguyen},

url = {https://www.sciencedirect.com/science/article/pii/S154461232400758X?via%3Dihub},

year  = {2024},

date = {2024-08-01},

journal = {Finance Research Letters},

volume = {66},

pages = {105728},

abstract = {Using text-based measures of firm-level political risk, we find a negative impact of the portfolio's weighted political risk on U.S. mutual fund performance. This relationship is robust to a wide range of topic-specific political risks at the firm level. We, however, find that national geopolitical risk, the U.S. state-level economic policy uncertainty, and Brexit-induced risk do not affect mutual fund performance. Our results suggest that even though mutual funds are immune from political risk at the macro level, they are significantly exposed to idiosyncratic political risk. We also demonstrate that partisanship matters to mutual fund performance.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{nguyen_3086,

title = {Portfolio's weighted political risk and mutual fund performance: A text-based approach},

author = {Huong Giang Nguyen and Khanh Hoang and Quan M.P. Nguyen and Hung Wuan Do and Duc Khuong Nguyen},

url = {https://www.sciencedirect.com/science/article/pii/S154461232400758X?via%3Dihub},

year  = {2024},

date = {2024-08-01},

journal = {Finance Research Letters},

volume = {66},

pages = {105728},

abstract = {Using text-based measures of firm-level political risk, we find a negative impact of the portfolio's weighted political risk on U.S. mutual fund performance. This relationship is robust to a wide range of topic-specific political risks at the firm level. We, however, find that national geopolitical risk, the U.S. state-level economic policy uncertainty, and Brexit-induced risk do not affect mutual fund performance. Our results suggest that even though mutual funds are immune from political risk at the macro level, they are significantly exposed to idiosyncratic political risk. We also demonstrate that partisanship matters to mutual fund performance.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{ngo_3085,

title = {Estimating the productivity of US agriculture: The Fisher total factor productivity index for time series data with unknown prices},

author = {Thanh Ngo and David Stripe and Duc Khuong Nguyen},

url = {https://onlinelibrary.wiley.com/doi/10.1111/1467-8489.12565},

year  = {2024},

date = {2024-07-01},

journal = {Australian Journal Of Agricultural And Resource Economics},

volume = {68},

number = {3},

pages = {701-712},

abstract = {In this paper, we propose a straightforward way to estimate the Fisher ideal total factor productivity (TFP) index (FI) in cases where price information is unavailable, using ?shadow prices' derived from data envelopment analysis (DEA). A Monte Carlo experiment shows that the shadow price Fisher ideal TFP index (SPFI) can effectively estimate the ?true' FI with relatively small (and stable) errors. The empirical application to the US agriculture sector (1948-2017) further suggests that the SPFI is a (superior) alternative to the traditional Malmquist DEA, especially in dealing with unbalanced panel or time series data when price data are unknown.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{boubaker_2930,

title = {Firm carbon risk exposure, stock returns, and dividend payment},

author = {Sabri Boubaker and Tonmoy Choudhury and Fakhrul Hasan and Duc Khuong Nguyen},

url = {https://www.sciencedirect.com/science/article/pii/S0167268123004687#:~:text=Our%20results%20show%20that%20when,stock%20returns%20and%20dividend%20payment.},

year  = {2024},

date = {2024-05-01},

journal = {Journal Of Economic Behavior & Organization},

volume = {221},

pages = {248-276},

abstract = {In this paper, we study whether a firm's carbon risk exposure plays a role in the relationship between dividend announcements and stock returns. Our results show that when investors hold disproportionately high carbon emitters with associated increased carbon risk, a positive relationship exists between a firm's carbon emissions and the association between the stock returns and dividend payment. If investors hold disproportionately high carbon emitters with the associated increased carbon risk stocks, the stock market reacts less positively (more negatively) to dividend increase (decrease) announcements. At the same time, if firms under-price their carbon risk, the stock market reacts less positively (more negatively) to dividend increase (decrease) announcements.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gull_2828,

title = {Stock price crash and information environment: Do CEO  gender and fnancial expertise matter?},

author = {Ammar Ali Gull and Ammar Abid and Duc Khuong Nguyen and Muhammad Usman and Rizwan Mushtaq},

url = {https://link.springer.com/article/10.1007/s11156-024-01244-w#:~:text=These%20findings%20highlight%20that%20the,expert%20CEOs%20reduce%20information%20asymmetry.},

year  = {2024},

date = {2024-02-01},

journal = {Review of Quantitative Finance and Accounting},

abstract = {This study examines the efect of stock price crash on the information environment. We 

further investigate the efect of female and fnancial expert CEOs on the stock price crash 

and information environment nexus. Employing one of the largest datasets to-date of Chinese A-share listed frms (i.e., over 35,000 frm-year observations), our fndings are twofold. First, consistent with agency and information asymmetry perspective, we fnd that 

stock price crash deteriorates the quality of information environment. Second, consistent 

with resource dependence view, our fndings reveal that the presence of female and fnancial expert CEOs mitigate the stock price crash and information environment relationship. 

Our fndings are robust to diferent endogeneity tests (e.g., two-stage least squares, propensity score matching, bootstrapping, and the system generalized method of moments), alternate proxies and additional analyses. This study contributes to the literature on portfolio 

investment and risk management.},

keywords = {},

pubstate = {online},

tppubtype = {article}

}

@article{wang_2928,

title = {Examining the linkage between economic policy uncertainty, coal price, and carbon pricing in China: Evidence from pilot carbon markets},

author = {Jiqiang Wang and Peng-Fei Dai and Xihui Haviour Chen and Duc Khuong Nguyen},

url = {https://www.sciencedirect.com/science/article/pii/S0301479723027913},

year  = {2024},

date = {2024-02-01},

journal = {Journal Of Environmental Management},

volume = {352},

pages = {120003},

abstract = {Economic policies affect companies' production decisions. And the energy consumption volume is an intuitive reflection of the enterprise's production decisions. In China, coal is the main source of carbon emissions and the most important energy source. Therefore, the coal market and the uncertainty of economic policies are both directly tied to the carbon market. This study explores both the direct impact of economic policy uncertainty and coal price on carbon prices as well as the indirect impact of economic policy uncertainty on carbon prices through coal prices by utilizing the DCC-GARCH model and the NARDL model. The findings indicate that the dynamic correlations between coal prices and the CEPU are always negative and that those between the price of carbon and the CEPU vary by area. Meanwhile, the dynamic correlations between coal and carbon prices are only positive in Shenzhen and Beijing. Both coal prices and economic policy uncertainty produce asymmetrical impacts on carbon prices. Some policy implications are provided for developing the carbon markets in light of the results drawn from the study.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{qin_2459,

title = {Strong financial regulation and corporate bankruptcy risk in China},

author = {Yi Qin and Duc Khuong Nguyen and Javier Cifuentes-Faura and Kaiyang Zhong},

url = {https://doi.org/10.1016/j.frl.2023.104343},

year  = {2023},

date = {2023-12-01},

journal = {Finance Research Letters},

volume = {58},

number = {Part B},

pages = {104343},

abstract = {This paper employs a difference-in-differences (DID) design to examine how strong financial regulation affects the bankruptcy risk of firms in China. Our research suggests that strong financial regulation significantly decreases corporate bankruptcy risk. The baseline conclusion withstands various robustness tests, ensuring its validity. Further analysis indicates that the reduction in corporate financialization and improvement in corporate liquidity serve as underlying mechanisms. This study promotes the theoretical and empirical understanding of the link between strong financial regulation and corporate risk.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{akyildirim_2481,

title = {Statistical arbitrage: factor investing approach},

author = {Erdinc Akyildirim and Ahmet Goncu and Alper Hekimoglu and Ahmet Sensoy and Duc Khuong Nguyen},

url = {https://link.springer.com/article/10.1007/s00291-023-00733-z},

year  = {2023},

date = {2023-12-01},

journal = {Or Spectrum},

volume = {45},

pages = {1295-1331},

abstract = {We introduce a continuous time model for stock prices in a general factor representation with the noise driven by a geometric Brownian motion process. We derive the theoretical hitting probability distribution for the long-until-barrier strategies and the conditions for statistical arbitrage. We optimize our statistical arbitrage strategies with respect to the expected discounted returns and the Sharpe ratio. Bootstrapping results show that the theoretical hitting probability distribution is a realistic representation of the empirical hitting probabilities. We test the empirical performance of the long-until-barrier strategies using US equities and demonstrate that our trading rules can generate statistical arbitrage profits.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{avik_2458,

title = {Green financing of renewable energy generation: Capturing the role of exogenous moderation for ensuring sustainable development},

author = {Sinha Avik and Ghosh Vinit and Hussain Nazim and Duc Khuong Nguyen and Das Narasingha},

url = {https://www.sciencedirect.com/science/article/pii/S0140988323005194},

year  = {2023},

date = {2023-10-01},

journal = {Energy Economics},

volume = {126},

number = {October 20},

pages = {1-16},

abstract = {The USA has been facing difficulties in attaining the objectives of Sustainable Development Goal (SDG) 7 (Affordable and Clean Energy). One of the major reasons behind this is the policy lacuna prevailing in terms of financializing the renewable energy generation projects. While the policy documents are suggesting solutions to address this issue, the hidden moderations arising out of the socio-economic and political settings are largely ignored. Moreover, the dependence structure of the green finance and renewable energy generation might follow a tail dependence, because of the extreme market conditions. The need for a policy reorientation involving these two factors has motivated the study. In this study the inter-quantile association between green finance and renewable energy generation are analyzed over January 1985 to December 2020. This study has also introduced a new method ?Multivariate Quantile-on-Quantile Regression? (m-QQR). The study outcomes reveal that the impact of green finance on renewable energy generation is susceptible to exogenous moderation, while demonstrating inter-quantile dependence. The policy framework recommended in the study is aimed at helping the USA in attaining the objectives of SDG 7.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{sinha_2458,

title = {Green financing of renewable energy generation: Capturing the role of exogenous moderation for ensuring sustainable development},

author = {Avik Sinha and Vinit Ghosh and Nazim Hussain and Duc Khuong Nguyen and Narasingha Das},

url = {https://www.sciencedirect.com/science/article/pii/S0140988323005194},

year  = {2023},

date = {2023-10-01},

journal = {Energy Economics},

volume = {126},

pages = {1-16},

abstract = {The USA has been facing difficulties in attaining the objectives of Sustainable Development Goal (SDG) 7 (Affordable and Clean Energy). One of the major reasons behind this is the policy lacuna prevailing in terms of financializing the renewable energy generation projects. While the policy documents are suggesting solutions to address this issue, the hidden moderations arising out of the socio-economic and political settings are largely ignored. Moreover, the dependence structure of the green finance and renewable energy generation might follow a tail dependence, because of the extreme market conditions. The need for a policy reorientation involving these two factors has motivated the study. In this study the inter-quantile association between green finance and renewable energy generation are analyzed over January 1985 to December 2020. This study has also introduced a new method ?Multivariate Quantile-on-Quantile Regression? (m-QQR). The study outcomes reveal that the impact of green finance on renewable energy generation is susceptible to exogenous moderation, while demonstrating inter-quantile dependence. The policy framework recommended in the study is aimed at helping the USA in attaining the objectives of SDG 7.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{abid_2639,

title = {Risk governance and bank risk-taking behavior: Evidence from  Asian banks},

author = {Ammar Abid and Ammar Ali Gull and Nazim Hussain and Duc Khuong Nguyen},

url = {https://www.sciencedirect.com/science/article/pii/S1042443121001724},

year  = {2021},

date = {2021-11-01},

journal = {Journal Of International Financial Markets Institutions & Money},

volume = {75},

pages = {101466},

abstract = {We investigate how risk committee and Chief Risk Officer's characteristics affect the risk-taking behavior of Asian commercial banks in the aftermath of the global financial crisis. Using a sample of 1480 observations representing 185 banks from year 2010 to 2017, we find evidence of a negative and significant link between the risk governance mechanisms and risk-taking. This link is however more pronounced for privately-owned banks (POBs) than for state-owned banks (SOBs). Moreover, risk governance mechanisms positively influence the performance of POBs but have no impact on performance of SOBs. Overall, our results show the role of risk governance mechanisms in curbing excessive risk-taking and improving risk management effectiveness and performance of Asian banks, with some differences across the SOBs and POBs.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}