Shu Feng

• Clark University

The authors study the performance consequences of exposure to corporate social responsibility (CSR) through stock holdings for mutual funds. Using a large sample of US domestic mutual funds, they find that funds overweighting low-CSR stocks outperform funds underweighting them by 1.7% to 2.6% annually. This outperformance, however, reverses during...

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based o...

This paper demonstrates that the ability of fund managers to create value depends on market liquidity conditions, which in turn introduces a liquidity risk exposure (beta) for skilled managers. We document an annual liquidity beta performance spread of 4% in the cross section of mutual funds over the period 1983–2014. Liquidity risk premia explain...

This article studies the effectiveness of technical trading approaches in market environments of varying sentiment. Because of short-sale constraints, overpricing with high sentiment (i.e., relatively optimistic sentiment) is more prevalent compared to underpricing with low sentiment (i.e., relatively pessimistic sentiment), and this effect is stro...

We discover three significant periodicities in the autocorrelation of intraday stock returns. We demonstrate that (i) the autocorrelation is 64% more negative during afternoons than during mornings, (ii) the autocorrelation is more negative Tuesdays through Fridays than on Mondays, (iii) overall serial correlation becomes less negative when salient...

The growth of smart grid technologies is already defining energy in the 21st century: smart cities depend on the smart grid for resilient energy delivery and improved energy efficiency. Adopting the smart grid under conditions of uncertainty demands focused attention and innovative approaches. This paper employs the Real Options Approach (ROA) to s...

We study the relationship between stock returns and the implied volatility smile slope of call and put options. Stocks with a steeper put slope earn lower future returns, while stocks with a steeper call slope earn higher future returns. Using dispersion of opinion as a proxy for belief differences, we find that the slope–stock return relation is s...

This paper employs the real option approach (ROA) to study the investment decision of a management accounting innovation—the case of activity-based costing (ABC)—adoption or discontinuation under uncertainty. We argue that investing in ABC is analogous to having the option rights in a financial (American) call option. We propose a model taking the...

Smart cities depend on smart grid for resilient energy delivery and improved energy efficiencies. This paper employs the real option approach (ROA) to study the investment decision of information technology innovation in the case of smart grid adoption under uncertainty. We argue that investing in smart grid is analogous to having the option rights...

This paper demonstrates that the systematic liquidity-risk exposures of mutual funds can predict outperformance in the cross-section. Funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually over the period 1984--2009. Four possible explanations for this effect are tested: (a) liquidity-risk pre...

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important determinant in the cross-section of mutual-fund returns. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually over t...