Donald Lien | University of Texas at San Antonio (original) (raw)
Papers by Donald Lien
The Quarterly Review of Economics and Finance, Jun 1, 2023
Journal of Futures Markets, Dec 17, 2020
International Review of Economics & Finance, 2019
International Review of Economics & Finance, 2016
Journal of Empirical Finance
Social Science Research Network, 2014
Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimi... more Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimizing the portfolio’s Aumann and Serrano (2008) index of riskiness is always smaller than the hedge ratio determined by minimizing the portfolio’s variance. It is also demonstrated that the Foster and Hart (2009) riskiness hedge ratio does not exist.
Social Science Research Network, 2007
International Review of Economics & Finance, Nov 1, 2021
Journal of Futures Markets, Feb 15, 2017
Advances in Accounting
Abstract We examine how the threat of losing income tax-exemption affects U.S. nonprofit hospital... more Abstract We examine how the threat of losing income tax-exemption affects U.S. nonprofit hospitals' misclassification of the components of uncompensated care when the hospitals (i) are required to provide charity care subject to a minimum threshold in exchange for keeping the tax-exemption, (ii) are reimbursed for their bad debts, and (iii) can misrepresent their privately observed information regarding bad debts and charity care provided. Using an analytical model, we illustrate the optimal misclassification strategies of bad debt and charity care.
China: An International Journal
SSRN Electronic Journal, 2022
Review of Financial Economics, 2020
This study examines the return‐realized volatility (RV) relation at daily and intraday frequencie... more This study examines the return‐realized volatility (RV) relation at daily and intraday frequencies. Using daily data, we find the contemporaneous return is the dominating factor for RV, which is in support of the behavioral explanation. For intraday data, we further find a significantly positive (negative) relation between contemporaneous positive (negative) return and RV, which is consistent with prospect theory. Quantile regression analysis documents a U‐shaped (inverted U‐shaped) contemporaneous return‐volatility relation for positive (negative) returns across volatility quantiles during the daytime trading period. In addition, we find the affect heuristic is more aggressive at overnight trading period.
We estimate the liquidity connectedness in the spot foreign exchange (FX) market based on an empi... more We estimate the liquidity connectedness in the spot foreign exchange (FX) market based on an empirical network model. We find that the liquidity connectedness reflects the dynamic market uncertainties around the world. Supply- and demand-side factors are important drivers of liquidity connectedness, especially for the fear sentiment of investors and economic policy uncertainty. The relation between liquidity connectedness on the subsequent carry-trade return in the FX market is nonlinear and V-shaped. Overall, our research indicates that liquidity connectedness is a good measure of currency risk and can reflect the fragility of the FX market.
Frontiers of Economics in China, 2019
Foreign direct investment (FDI) and foreign remittance have been the main sources of external cap... more Foreign direct investment (FDI) and foreign remittance have been the main sources of external capital inflows for many developing countries. FDI has been credited as the main driver of rapid economic growth in many Asian countries/regions in recent decades. However, this effect of FDI on long-run economic growth has not been observed in Latin American countries. Now, the question is whether FDI and an increase in foreign remittances in the past two decades have achieved expected positive results in terms of economic growth for emerging economies. This study uses a generalized method of moments (GMM) dynamic panel model to quantify the impacts of FDI and foreign remittances as sources of foreign capital for Asia and Latin America. Our findings suggest that FDI and remittances perform differently in different regions in terms of their impacts on GDP growth. Countries that have specific policies (i.e., industrial policy, domestic content requirement, and export production targets) for ...
Time-charter and FFA data for Capesize and Panamax vessels
Finance Research Letters, 2021
The COVID-19 has caused dramatic fluctuations in international financial markets. This paper test... more The COVID-19 has caused dramatic fluctuations in international financial markets. This paper tests the effect of this pandemic on foreign exchange dependences within the BRICS economies. Upon dividing the COVID-19 episode into four stages, we document negative effects of the COVID-19 on dependences between CNY and other currencies in the BRICS across different stages. In addition, USD flows positively affect the dependencies of BRL-CNY, INR-CNY, and RUB-CNY pairs in response to the transition of the pandemic stages.
The International Trade Journal, 2020
Transportation Research Part E: Logistics and Transportation Review, 2020
The Quarterly Review of Economics and Finance, Jun 1, 2023
Journal of Futures Markets, Dec 17, 2020
International Review of Economics & Finance, 2019
International Review of Economics & Finance, 2016
Journal of Empirical Finance
Social Science Research Network, 2014
Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimi... more Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimizing the portfolio’s Aumann and Serrano (2008) index of riskiness is always smaller than the hedge ratio determined by minimizing the portfolio’s variance. It is also demonstrated that the Foster and Hart (2009) riskiness hedge ratio does not exist.
Social Science Research Network, 2007
International Review of Economics & Finance, Nov 1, 2021
Journal of Futures Markets, Feb 15, 2017
Advances in Accounting
Abstract We examine how the threat of losing income tax-exemption affects U.S. nonprofit hospital... more Abstract We examine how the threat of losing income tax-exemption affects U.S. nonprofit hospitals' misclassification of the components of uncompensated care when the hospitals (i) are required to provide charity care subject to a minimum threshold in exchange for keeping the tax-exemption, (ii) are reimbursed for their bad debts, and (iii) can misrepresent their privately observed information regarding bad debts and charity care provided. Using an analytical model, we illustrate the optimal misclassification strategies of bad debt and charity care.
China: An International Journal
SSRN Electronic Journal, 2022
Review of Financial Economics, 2020
This study examines the return‐realized volatility (RV) relation at daily and intraday frequencie... more This study examines the return‐realized volatility (RV) relation at daily and intraday frequencies. Using daily data, we find the contemporaneous return is the dominating factor for RV, which is in support of the behavioral explanation. For intraday data, we further find a significantly positive (negative) relation between contemporaneous positive (negative) return and RV, which is consistent with prospect theory. Quantile regression analysis documents a U‐shaped (inverted U‐shaped) contemporaneous return‐volatility relation for positive (negative) returns across volatility quantiles during the daytime trading period. In addition, we find the affect heuristic is more aggressive at overnight trading period.
We estimate the liquidity connectedness in the spot foreign exchange (FX) market based on an empi... more We estimate the liquidity connectedness in the spot foreign exchange (FX) market based on an empirical network model. We find that the liquidity connectedness reflects the dynamic market uncertainties around the world. Supply- and demand-side factors are important drivers of liquidity connectedness, especially for the fear sentiment of investors and economic policy uncertainty. The relation between liquidity connectedness on the subsequent carry-trade return in the FX market is nonlinear and V-shaped. Overall, our research indicates that liquidity connectedness is a good measure of currency risk and can reflect the fragility of the FX market.
Frontiers of Economics in China, 2019
Foreign direct investment (FDI) and foreign remittance have been the main sources of external cap... more Foreign direct investment (FDI) and foreign remittance have been the main sources of external capital inflows for many developing countries. FDI has been credited as the main driver of rapid economic growth in many Asian countries/regions in recent decades. However, this effect of FDI on long-run economic growth has not been observed in Latin American countries. Now, the question is whether FDI and an increase in foreign remittances in the past two decades have achieved expected positive results in terms of economic growth for emerging economies. This study uses a generalized method of moments (GMM) dynamic panel model to quantify the impacts of FDI and foreign remittances as sources of foreign capital for Asia and Latin America. Our findings suggest that FDI and remittances perform differently in different regions in terms of their impacts on GDP growth. Countries that have specific policies (i.e., industrial policy, domestic content requirement, and export production targets) for ...
Time-charter and FFA data for Capesize and Panamax vessels
Finance Research Letters, 2021
The COVID-19 has caused dramatic fluctuations in international financial markets. This paper test... more The COVID-19 has caused dramatic fluctuations in international financial markets. This paper tests the effect of this pandemic on foreign exchange dependences within the BRICS economies. Upon dividing the COVID-19 episode into four stages, we document negative effects of the COVID-19 on dependences between CNY and other currencies in the BRICS across different stages. In addition, USD flows positively affect the dependencies of BRL-CNY, INR-CNY, and RUB-CNY pairs in response to the transition of the pandemic stages.
The International Trade Journal, 2020
Transportation Research Part E: Logistics and Transportation Review, 2020