​Kuntara Pukthuanthong
​
Marie M. and Harry L. Smith Endowed Chair
Robert Trulaske Jr. Professor of Finance​ 
Trulaske College of Business
​University of Missouri
I study how information moves markets — through images, language, war narratives, and the signals that machines can see but humans miss. My work sits at the intersection of asset pricing, machine learning, and AI, and I've published in the  Journal of Finance, the Review of Financial Studies and the Journal of Financial Economics. I use convolutional neural networks on news photos, large language models on corporate text, and 160 years of war discourse to understand how investors process the world around them  (see here). I'm currently a professor of finance at the University of Missouri, where I hold the Marie M. and Harry L. Smith Endowed Chair and the Robert J. Trulaske Jr. Professorship. Before academia, I worked with PIMCO, BlackRock, Research Affiliates, and Denali Advisors, and I still think about what actually works when models meet real money.

I earned my MBA from Washington University in St. Louis and my PhD in finance from the University of California, Irvine, where my family's experiences with cash and liquidity first drew me to financial markets. I serve as Associate Editor of the  Journal of Banking and Finance and on the Editorial Board of the Financial Analysts Journal, the flagship publication of CFA Institute. My consulting and industry work includes applying  A Protocol for Factor Identification with AXA Rosenberg, consulting for BlackRock, and Denali Advisors, and serving as a partner at Flint Rock Global Investors. I'm also exploring quantum finance with Pairie Koh at Georgia Tech and Dr. Chi-Ren Shyu. You can read what the college has to say about my AI research agenda here.
Editorial  Appointment
  • Editorial Board, Financial Analysts Journal (2026 – present)
  • Associate Editor, Journal of Banking and Finance (2025 – present)
​Main Publications
1. War Discourse and the Cross-Section of Expected Stock Returns  with David Hirshleifer and Dat Mai​, forthcoming Journal of Finance​​
  • Replication code and data - The script for the sLDA is in this folder.
  • For the raw WSJ and NYT full text daily article data, please contact me.
  • Northeastern University (2025), Chapman University (2025), Texas Tech University (2025), and StonyBrook University (2025)
  • Our response to Professor Subrahmanyam's comments is here.
2. War Discourse and Disaster Premia: 160 Years of Evidence from Stock Market  with David Hirshleifer and Dat Mai, Review of Financial Studies Volume 38, Issue 2, February 2025, Pages 457–506,
  • The War index is here. 
  • All codes and data are here Replication code.​
  • For the raw WSJ and NYT full text daily article data, please contact me.
  • Chicago Quantitative Alliance (2nd prize winner, 2021)
  • EFA 2021 (PhD symposium), Texas Finance PhD symposium (2021), NFA (2021), FMA (2021), SFA (2021), FRA (2021), AFA PhD poster session (2022), MFA (2022), Texas PhD Symposium (2022), CFDM Conference at Boulder (2022), Bank of Portugal (2022), Center for Financial Research Cologne (CFR 2022)​, Long Tail Alpha presentation (2021)
  • Our response to Professor Subrahmanyam's comments is here.
​3. A Picture is Worth a Thousand Words: Measuring Investor Sentiment by Combining Machine Learning and Photos from News  with Khaled Obaid,, Journal of Financial Economics, 144 (1), April 2022, 273-297.
4. A Protocol for Factor Identification, with Richard Roll and Avanidhar Subrahmanyam, Review of Financial Studies 32 (4), April 2019, 1573–1607.  
  • The code is here and here for the necessary condition and here for the two-pass regression. Email me for more information.
  • Code in python. Please change LRISK to any factor you'd like to test.
  • Older version with Richard (many innovative stuffs including the application of ETFs as pervasive factors)
  • Awards: Crowell Prize - PanAgora Asset Management Award 2018, Jack Treynor Prize Winner- Q group grant 2017, Inquire UK grant, ICPM Grant- University of Toronto, Dauphine-Amundi Chair in Asset Management, KPMG Fellowship
  • Presentations: JOIM meeting 2018, Dauphine University Paris 2015, FTSE conference 2015, Research Affiliates meeting in Laguna Beach California May 2015, JOIM conference 2015, FMA 2014, Inquire Europe 2014. Asian FMA 2014, Australian Finance 2013, Rotman ICPM 2013, Inquire UK 2012, Caltech, UCLA, and MU finance seminar
5. Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation with Narasimhan Jegadeeh, Joonki Noh, Richard Roll and Junbo Wang, Journal of Financial Economics, 2019  133(2), 273–298.


Code and data are here. and here . Email me if you need more codes. This is the code in python. Section 5 tests whether characteristics are associated with risk.
  • ​The Internet Appendix is here
  • Northern Finance Association 2018, American Finance Association 2018
6. Positive And Negative Synergies Between The CEO's And The Corporate Board's Human And Social Capital: A Study Of Biotechnology Firms IPOs with Chamu Sundaramurthy and Yasemin Kor, Strategic Management Journal, 36(6), June 2014 845-868.  
​
7. Disclosure Regulation and IPO Underpricing: An International Analysis with Charles Shi and Thomas Walker, Contemporary Accounting Research 2013, 30 (1), 356-387.  ​
8. Market Fragility and International Market Crises with Dave Berger, Journal of Financial Economics 2012, 105(3), 565-580.  
9. International Diversification with Frontier Markets with David Berger and Jimmy Yang, Journal of Financial Economics, 2011, 101(1), 227-242.  
10. Global Market Integration: A Better Way To Measure It and Its Application  with Richard Roll, Journal of Financial Economics 2009, 94(2), 214-232.    
  • Code is here
  • Best paper Australian Finance Association, Sydney Australia 2009
  • Awards: Inquire, UK 2009, GARP 2009 and Inquire, Europe 2009​
Other Publications
  1. A New Method for Asset Pricing Test with Nontradable Factors with Richard Roll, Junbo Wang, and Tengfei Wang, Journal of Banking and Finance
  2. Emotional Yields of Collectibles, with  Elroy Dimson, and Matthew Vorsatz, Financial Analysts Journal
  3. Media Tone is a Priced Risk Factor in Currency Markets​  with Kari Heimonen and Heikki Lehkonen​, forthcoming Journal of Banking and Finance
  4. Commodity Dependence and Optimal Asset Allocation with Vianney Dequiedt, Mathieu Gomes,  and Benjamin Williams-Rambaud, forthcoming Journal of Futures Market
  5. Sentiment and Asset Returns: Actions Speak Louder than Words  with  Xi Dong, Dat Mai, and Guofu Zhou, forthcoming Journal of Portfolio Management
  6. VC ownership post-IPO: When, why, and how do VCs exit? with Anup Basnet, Harry Turtle, and Thomas Walker, forthcoming Journal of Business Research
  7.  Insider Trading in Rumored Takeover Targets with Fred Davis, Hamed Khardivar, and Thomas Walker at  European Financial Management, Volume27, Issue 3, June 2021, 490-527.
  8. Informativeness of Mutual Fund Advertisements: Does Advertising Communicate Fund Quality to Investors? with Khaled Obaid,  Financial Management, 50(1), Spring 2021,  203-236
  9. The Information Content of Analysts' Value Estimates with Ryan Chacon and Dan French at Journal of Real Estate Finance and Economics, 63(4), pages 598-629,  November 2021.
  10. Earnings conference call and institutional monitoring with Arash Amoozegar, David Berger, and Xueli Cao, 43(1), Spring 2020, Journal of Financial Research, 5-36, lead article.  ​FMA 2018 in San Diego
  11. Efficiency In Islamic Vs. Conventional Banking: The Role Of Capital And Liquidity with Mohammad Bitar and Thomas Walker,  46, November 2020 Global Finance Journal
  12. Corporate Social Responsibility And M&A Uncertainty with Mohamed Arouri and Mathieu Gomes, Journal of Corporate Finance,  56, June 2019, 176-198
  13. Jump Risk Premia Across Major International Equity Markets with Mohamed Arouri and Oussama M'saddek, lead article, Journal of Empirical Finance, 52, June 2019, 1-21. FMA 2017
  14. Cojumps And Asset Allocation In International Equity Markets with Mohamad Arouri, Oussama M’saddek, and Duc Nguyen, lead article, Journal of Economic Dynamics and Control, 98, January 2019, 1-22. FMA 2016, Paris Finance Meeting 2015
  15. Has The Difference In Stock Liquidity And Stock Returns Between Chinese State-Owned And Privately Owned Enterprises Become Smaller? with Zhuo Qiao at Finance Research Letters 28, March 2019, 39-44
  16. Conflict-Induced Forced CEO Turnover and Firm Performance with Saif Ullah, Thomas Walker, and Jing Zhang, Managerial Finance 44(9), 2018, 1134-1154. Featured in Agenda[1]  Fortune Magazine January 28, 2019[2]
  17. The Performance of Islamic Vs. Conventional Banks: Evidence on the Suitability of the Basel Capital Ratios with Mohammad Bitar, Mohammad Hassan, and Thomas Walker, Open Economies Review, lead article, 2018, 1-36.
  18.  The Effect Of Capital Ratios On The Risk, Efficiency And Profitability Of Banks: Evidence From OECD Countries with Mohammad Bitar and Thomas Walker, Journal of International Financial Markets, Institutions & Money, 53. March 2018. 227-262.
  19. Size does not matter: Diseconomies of Scale in the Mutual Fund Industry Revisited with Blake Phillips and Raghavendra Rau, Journal of Banking and Finance, 2018, 88(C), 357-365.
  20. Timely vs. Delayed CEO Turnover, with Saif Ullah, Thomas Walker, and Xuan Wu, Information Systematic Frontier 2017, 19(3), 469-479.
  21. Litigation Risk and Institutional Monitoring with Harry Turtle, Thomas Walker, and Jun Wang, Journal of Corporate Finance 2017, 45, 342-359.
  22. On the Role of the Chief Risk Officer and the Risk Committee in Insuring Financial Institutions against Litigationwith Arash Amoozegar and Thomas Walker, Managerial Finance, 2016, 43(1), 19-43.
  23. The Determinants of IPO-Related Shareholder Litigation: The Role of CEO Equity Incentives and Corporate Governance with Xingli Li, Marcus Glenn Walker, and Thomas Walker, Journal of Financial Markets, 2016, 31, issue C, 81-126.
  24. Do Hedge Funds Dynamically Manage Systematic Risk? with Ethan Namvar, Blake Phillips, and P. Raghavendra Rau, lead article, Journal of Banking and Finance, 2016, 64 (C), 1-15.
  25. Insider Stock Trading and the Bond Market with Andreas Oehler with Thomas Walker and Stefan Wendt, Journal of Fixed Income, Winter 2016, Vol. 25, No. 3, pp. 74-91.
  26. Fragility, Stress, And Market Returns with Dave Berger, Journal of Banking and Finance, 2016, 62, 152-163.
  27. Past Performance May Be An Illusion: Performance, Flows, And Fees In Mutual Funds with Blake Phillips and Raghavendra Rau, Critical Finance Review, 2016, volume 5, 351-398.; Featured online in the Economist,[3] Financial Times,[4] Bloomberg,[5] Judge Business School Cambridge University media, [6] and Alpha Architect[7] Best investment paper from Southern Finance Association Meeting 2014
  28. Model-Free Jump Measures And Interest Rates: Common Patterns In US And UK Monetary Policy Around Major Economic Events with Januj Juneja, European Journal of Finance, 2016, 22, 1388-1413.
  29.  Internationally Correlated Jumps with Richard Roll, Review of Asset Pricing Studies Volume 5(1), 2015, 92-111.
  30.  Detecting Superior Mutual Fund Managers: Evidence from Copycats with Blake Phillips and Raghavendra Rau, Review of Asset Pricing Studies 2014, 4(2), 286-321.Featured on-line in The Economist,[8] WSJ,[9] and Financial Times[10]
  31.  Legal Opportunism, Litigation Risk, and IPO Underpricing Thomas Walker, Harry Turtle, and Dolrudee Thiengtham, Journal of Business Research, 68 (2), February 2015, 326-340. Featured online in Bloomberg, “Uber Aims to Shed Troubled Past in Pre-IPO Peace-Making Bonanza”[11]
  32. Underwriters and the Broken Chinese Wall: Institutional Holdings and Post-IPO Securities Litigation, Sergey Barabanov, Onem Ozocak, and Thomas Walker, Journal of Financial Research, 36, Winter 2013, 543-578.
  33.  The Role of Aviation Laws and Legal Liability in Aviation Disasters: a Financial Market Perspective co-authored with Thomas Walker and Dolruedee Thiengtham, International Review of Law and Economics Volume 37, March 2014, Pages 51–65
  34.  Is the Diversification Benefit of Frontier Markets Realizable by Mean-Variance Investors? The Evidence of Investable Funds with Dave Berger and Jimmy Yang, Journal of Portfolio Management Summer 2013, 39 (4), 36-48
  35. The Effects of Cash, Debt, and Insiders on Open Market Share Repurchases with Liang Feng,   Dolruedee Thiengtham, Harry Turtle, and Thomas Walker, Journal of Applied Corporate Finance, 2013, 25 (1), 55-63.              
  36. Does Family Ownership Create or Destroy Value: Evidence from Canada?, with Thomas Walker International Journal of Managerial Finance 2013, 9(1), 13-48.
  37.  Legitimacy Signals And Family IPO Performances co-authored with Hung-bin Ding Journal of Business Economics and Management 2013, 14(1), 156-181. 
  38. An International Look at the Lawsuit Avoidance Hypothesis of IPO Underpricing co-authored with Huiling Lin and Thomas Walker, Journal of Corporate Finance 19, February 2013, 56–77
  39.  An International CAPM for Partially Integrated Markets co-authored with Mohamed Arouri and Duc Nguyen, Journal of Banking and Finance 2012, 36(9), 2473-249.
  40. Gold price and US dollar (and the Euro, Pound, and Yen) co-authored with Richard Roll, Journal of Banking and  Finance 2011, 35(8), 2070-2083., 
  41. Why Warn? The Impact Of Profit Warnings On Shareholder’s Equity co-authored with Fayez Elayan, International Research Journal Investment Management and Financial Innovations 2009, 6, 39-51. 
  42. Who Benefits from Market Integration? A comparative study of Yankee IPOs from high and low integrated markets, Journal of Financial Transformation 2009, 26, 116-130. 
  43. Why should We Like Firms that Voluntarily Disclose? Evidence From Profit Warning Firms, Journal of Investing, 2010, 19(4), 66-83.
  44. The International Aviation Insurance Regime in Times of Industry Uncertainty co-authored with Triant Flouris, Paul Hayes, and Thomas Walker, International Journal of Private Law 2009, 2 (4), 343-357. 
  45. Family Firm IPO Performance and Market Signals co-authored with Hung-bin Ding, Journal of Enterprising Culture, 2009, 17(1), 55-77.  
  46. Idiosyncratic Volatility and Stock Returns: A Cross Country Analysis with Nuttawat Visaltanachoti, a lead article Applied Financial Economics 2009, 19(16), 1269-1281.
  47. Recent Developments in the Aviation Insurance Industry co-authored with Triant Flouris, Paul Hayes, Dolruedee Thiengtham and Thomas Walker, Risk Management and Insurance Review 2009, 12(2), 227-249. 
  48. Pre-IPO Insider Ownership and Underpricing: High-tech versus Low-tech IPOs co-authored with Thomas Walker, Financial Decisions 2009.
  49. Commonality in Liquidity: Evidence from Stock Exchange of Thailand co-authored with Nuttawat Visaltanachoti, Pacific-Basin Finance Journal Jan 2009, 17(1), 80-99.
  50. Weak Form Efficiency in Currencies: an Update and an Explanation co-authored with Lee Thomas, Financial Analyst Journal May/June 2008, 64(3), 31-52.
  51. Family Control, Underwriter Prestige, and IPO Underpricing: A Cross Country Analysis with Thomas Walker, a lead article, Multinational Business Review 2008, 16(2), 1-42.
  52. Leverage, Pre-IPO Insider Ownership, and Underpricing: high-tech versus low-tech IPOs co-authored with Thomas Walker and Jaemin Kim, Management Decision March 2008, 46(1), 106-130.
  53. Bookbuilding Versus Auction Selling Methods: A Study Of US IPOs co-authored with Nikhil Varaiya and Thomas Walker, lead article, Venture Capital Journal 2007, 9(4), 1-36.
  54. IPO Pricing, Block Sales, and Long-Term Performance co-authored with Nikhil Varaiya, a lead article, Financial Review 2007, 42 (3), 1-30.
  55. Venture Capital in China: A Culture Shock for Western Investors co-authored with Thomas Walker, Management Decision 2007, 45, 708 – 731.
  56. How Employee Stock Options and Executive Equity Ownership Affect Long-term IPO Operating Performance with Richard Roll and Thomas Walker, Journal of Corporate Finance 2007, 13, 695-720.
  57. Do Foreign Exchange Markets Still Trend? with Lee Thomas and Richard Levic, lead article Journal of Portfolio Management Fall 2007, 1-5.
  58. Equity and Debt Market Responses to Sovereign Credit Rating Announcements with Fayez Elayan and Lawrence Rose, Global Finance Journal 2007, 18(1), 47-83.
  59. Random Walk Currency Futures Profits Revisited co-authored with Carlos Bazan and Lee Thomas, International Journal of Managerial Finance 2007, 3(3), 263-286.
  60. IPO Firm Executives, Compensation, and Selling co-authored with Jaemin Kim, lead article Journal of Entrepreneurial Finance and Business Ventures 2006, 11(1), 3-21.
  61. Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation with Fayez Elayan and Richard Roll, Economic Notes 2006, 35(3), 253-291.
  62.  Underwriter Learning about Unfamiliar Firms: Evidence from the History of Biotech IPOs, Journal of Financial Markets 2006, 9(4), 366-407.
  63. On the Stock Markets Reaction to Major Railroad Accidents: An Empirical Analysis co-authored with Thomas Walker and Sergey Barabanov, Journal of the Transportation Research Forum Spring 2006, 45(1), 23-39.
  64. On the Pros and Cons of Employee Stock Options: What Are the Alternatives co-authored with Thomas Walker, International Corporate Ownership and Control Journal Fall 2006, 4(1), 266-277.
  65. A Review of IPO Selling Methods: Is there a Clear Winner? co-authored with Thomas Walker, International Corporate Ownership and Control Journal Winter 2005- 2006, 3(2), 68-74.
  66.  Investors Like Firms that Expense Employee Stock Options And They Dislike Firms that Fail to Expense with Richard Roll and Fayez Elayan, Journal of Investment Management 2005, 3(1), 75-98. ​
  67. Corporate Governance and Theories of Executive Pay a lead article co-authored with Eli Talmor and James Wallace, International Corporate Ownership and Control Journal, a lead article Winter 2004, 1(2), 95-106.