​Kuntara Pukthuanthong-Le
​
Marie M. and Harry L. Smith Endowed Chair
Robert Trulaske Jr. Professor of Finance​ 
Trulaske College of Business
​University of Missouri
Thank you for visiting my website! I got MBA from Washington University in St. Louis, and a PhD in finance at the University of California, Irvine, inspired by my family's experiences with cash and liquidity. I've had the privilege of working with firms like PIMCO, Research Affiliates, Flint Rock Global Investors, Denali Advisors, and BlackRock, and I'm currently a professor at Mizzou. My research focuses on asset pricing, machine learning, and international finance, with publications in journals such as the Journal of Finance, the Review of Financial Studies and the Journal of Financial Economics.

I am specifically interested in applying machine learning to images, LLM and asset pricing. See what the college says about my research agenda here. I have been fortunate to apply A Protocol for Factor Identification research for AXA Rosenberg. I was also a consultant for BlackRock and a partner at Flint Rock Global Investors. 

On a personal note, my husband is a scientist/engineer, and we have four wonderful kids (Katelyn, Edison, Brandon and Newton). Feel free to contact me with any questions or to chat about code, data, research, and more!

Our oldest child, Katelyn,  just won the first prize on her AVID7 (chosen by JWMS staffs) at JWS middle school from this essay.  She has entrepreneurial spirit in her blood. See her business here, Le Flânerie. Our first son, Edison, got selected to study Algebra 1. We are proud of them. In a spare time, I enjoy working out and spending time with family.
​Main Publications
We test whether a war-related factor model derived from textual analysis of media news explains the cross-section of expected asset returns. The war risk factor is motivated by, and builds on a semi-supervised topic model to extract discourse topicsfrom 7,000,000 New York Times stories spanning 160 years, which has been shown to be powerful in predicting aggregate market returns. We find that war risk factors help predict the cross section of returns across a diverse range of testing assets, deriving from both traditional and machine learning construction techniques, encompassing both public and own-constructed sources, and spanning a wide range of 138 anomalies. These findings are consistent with assets that have poor returns during periods of heightened war risk earning higher risk premia, or alternatively, that a factor based upon war sensitivity captures investor mispricing of war risk. The return premium associated with the war factor is incremental to factors from prominent factor models and other measures of news-based uncertainty. Our results are further buttressed through the factor mimicking portfolio of war risk. War risk passes the protocol of factor identification and is shown to be a genuine risk factor.
2. War Discourse and Disaster Premia: 160 Years of Evidence from Stock Market  with David Hirshleifer and Dat Mai forthcoming, Review of Financial Studies
  • The War index is here. 
  • All codes and data are here Replication code.
  • 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)
Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, we test whether topics of media discussion are predictors of future market returns. This provides a test of theories of rare disaster risk premia, and of behavioral hypotheses about the valuation of the prospect of rare disasters. Using data on investors’ perception of rare disaster risks derived from news allows us to circumvent the empirical problem that major disasters are rare. Our methodology also avoids look-ahead bias and addresses the semantic shifts that occur over long time periods. War discourse positively predicts market returns both in-sample and out-of-sample, with an out-of-sample R-squared of 1.35%, and beats all other discourse topics as return predictors. War’s predictive power increases through the sample period and is robust when constructed from the Wall Street Journal. These findings are consistent with a focus by investors on the risk of war in media discourse being associated with low market valuations and high subsequent returns.
​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.
By applying machine learning to accurately and cost effectively classify photos based on sentiment, we introduce a daily market-level investor sentiment index (Photo Pessimism) from a large sample of news photos. Between 1926 and 2018, Photo Pessimism predicts market return reversal and increase in trading volume. The return predictability pattern is concentrated among stocks with high limits to arbitrage and during high uncertainty and low investor distraction periods. Photo Pessimism complements sentiment in news text. Moreover, Photo Pessimism has over five times stronger predictive power when we focus only on business news. These results are consistent with behavioral models, but inconsistent with theories of media content as a proxy for new fundamental information.
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.
  • 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
We propose a protocol for identifying genuine risk factors. A genuine risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that is reasonable enough to be consistent with risk pricing. A market factor, a profitability factor, and traded versions of macroeconomic factors pass our protocol, but many characteristic-based factors do not. Several of the underlying characteristics, however, do command premiums in the cross-section.
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.
  • Codes is here. and here . Email me if you need more codes.
  • We also propose a test of whether characteristics are associated with risk in Section 5
  • ​The Internet Appendix is here
  • Northern Finance Association 2018, American Finance Association 2018
To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual stocks. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex post risk premiums. This estimator also yields well-specified tests in small samples. The market risk premium under the capital asset pricing model (CAPM) and the liquidity-adjusted CAPM, premiums on risk factors under the Fama–French three- and five-factor models, and the Hou et al. (2015) four-factor model are all insignificant after controlling for asset characteristics.
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.  
​We  extend  the  Pukthuanthong  and  Roll  (2009)  measure  of  integration  to  provide  an  estimate  of systemic  risk  within  international  equity  markets.  Our  measure  indicates  an  increasing  likelihood of  market  crashes.  The  conditional  probability  of  market  crashes,  especially  across  markets, increases  substantially  following  increases  of  our  risk  measure.  High  levels  of  our  risk  measure indicate  the  probability  of  a  global  crash  is  greater  than  the  probability  of  local  crash.  That  is, conditional  on  high  levels  of  systemic  risk,  the  probability  of  a  severe  crash  across  multiple markets  is  larger  than  the  probability  of  a  crash  within  a  smaller  number  of  markets. ​
9. International Diversification with Frontier Markets with David Berger and Jimmy Yang, Journal of Financial Economics, 2011, 101(1), 227-242.  We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that frontier markets have low integration with the world market and thereby offer significant diversification benefits.
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
sGlobal markets seem to be increasingly integrated but there is no well-accepted measure of integration. We show that the correlation across markets is a poor measure; perfectly integrated markets can exhibit weak correlation. We derive a new integration measure based on the explanatory power of a multi-factor model and use it empirically to investigate recent trends in global integration. For most countries, there has been a marked increase in measured integration over the past three decades, but this is not indicated by correlations among country indexes ​
Other Publications
  1. Commodity Dependence and Optimal Asset Allocation with Vianney Dequiedt, Mathieu Gomes,  and Benjamin Williams-Rambaud, forthcoming Journal of Futures Market
  2. Sentiment and Asset Returns: Actions Speak Louder than Words  with  Xi Dong, Dat Mai, and Guofu Zhou, forthcoming Journal of Portfolio Management
  3. VC ownership post-IPO: When, why, and how do VCs exit? with Anup Basnet, Harry Turtle, and Thomas Walker, forthcoming Journal of Business Research
  4.  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.
  5. Informativeness of Mutual Fund Advertisements: Does Advertising Communicate Fund Quality to Investors? with Khaled Obaid,  Financial Management, 50(1), Spring 2021,  203-236
  6. 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.
  7. 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
  8. Efficiency In Islamic Vs. Conventional Banking: The Role Of Capital And Liquidity with Mohammad Bitar and Thomas Walker,  46, November 2020 Global Finance Journal
  9. Corporate Social Responsibility And M&A Uncertainty with Mohamed Arouri and Mathieu Gomes, Journal of Corporate Finance,  56, June 2019, 176-198
  10. 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
  11. 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
  12. 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
  13. 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]
  14. 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.
  15. 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.
  16. 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.
  17. Timely vs. Delayed CEO Turnover, with Saif Ullah, Thomas Walker, and Xuan Wu, Information Systematic Frontier 2017, 19(3), 469-479.
  18. Litigation Risk and Institutional Monitoring with Harry Turtle, Thomas Walker, and Jun Wang, Journal of Corporate Finance 2017, 45, 342-359.
  19. 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.
  20. The Determinants of IPO-Related Shareholder Litigation: The Role of CEO Equity Incentives and Corporate Governance 1.
  21.  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.
  22. Insider Stock Trading and the Bond Market
  23.  Fragility, Stress, And Market Returns 
  24.  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
  25.  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.
  26.  Internationally Correlated Jumps with Richard Roll, Review of Asset Pricing Studies Volume 5(1), 2015, 92-111.
  27.  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]
  28.  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]
  29.  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.
  30.  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
  31.  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
  32.  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.              
  33.  Does Family Ownership Create or Destroy Value: Evidence from Canada, with Thomas Walker International Journal of Managerial Finance 2013, 9(1), 13-48.
  34.  Legitimacy Signals And Family IPO Performances co-authored with Hung-bin Ding Journal of Business Economics and Management 2013, 14(1), 156-181.
  35.  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
  36.  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.
  37. 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.
  38.  Why Should We Like Firms that Voluntarily Disclose? Evidence From Profit Warning Firms, Journal of Investing, 
  39.  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.
  40.  Who Benefits from Market Integration? A comparative study of Yankee IPOs from high and low integrated markets,
  41.  The International Aviation Insurance Regime in Times of Industry Uncertainty with Triant Floris, Paul Hayes, Dolruedee Thiengtham, and Thomas Walker, International Journal of Private Law 2009, 2(4), 343-357.
  42.  Pre-IPO Insider Ownership and Underpricing: High-tech versus Low-tech IPOs with Triant Floris, Paul Hayes, Dolruedee Thiengtham, and Thomas Walker, Risk Management and Insurance Review 2009, 12(2), 227-249.
  43.  Pre-IPO Insider Ownership and Underpricing: High-tech versus Low-tech IPO.
  44.  Family Firm IPO Performance and Market Signals co-authored with Hung-bin Ding, Journal of Enterprising Culture, 2009, 17(1), 55-77.  
  45.  Idiosyncratic Volatility and Stock Returns: A Cross Country Analysis with Nuttawat Visaltanachoti, a lead article Applied Financial Economics 2009, 19(16), 1269-1281.
  46.  Recent Developments in the Aviation Insurance Industry with Triant Floris, Paul Hayes, Dolruedee Thiengtham, and Thomas Walker, Risk Management and Insurance Review 2009, 12(2), 227-249.
  47.  Pre-IPO Insider Ownership and Underpricing: High-tech versus Low-tech IPOs
  48.   Commonality in Liquidity: Evidence from Stock Exchange of Thailand co-authored with Nuttawat Visaltanachoti, Pacific-Basin Finance Journal Jan 2009, 17(1), 80-99.
  49.  Weak Form Efficiency in Currencies: an Update and an Explanation
  50.  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.
  51.  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.
  52.  Book building 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.
  53.  IPO Pricing, Block Sales, and Long-Term Performance co-authored with Nikhil Varaiya, a lead article, Financial Review 2007, 42 (3), 1-30.
  54.  Venture Capital in China: A Culture Shock for Western Investors with Thomas Walker, Management Decision 2007, 45, 708-731.
  55.  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.
  56.  Do Foreign Exchange Markets Still Trend? with Lee Thomas and Richard Levic, lead article Journal of Portfolio Management Fall 2007, 1-5.
  57. Equity and Debt Market Responses to Sovereign Credit Rating Announcements with Fayez Elayan and Lawrence Rose, Global Finance Journal 2007, 18(1), 47-83.
  58.  Random Walk Currency Futures Profits Revisited with Carlos Bazar and Lee Thomas, International Journal of Managerial Finance 2007, 3(3), 263-286.
  59.  IPO Firm Executives, Compensation, and Selling with Jaemin Kim, lead article Journal of Entrepreneurial Finance and Business Ventures 2006, 11(1), 3-21.
  60.  Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation with Fayez Elayan and Richard Roll, Economic Notes 2006, 35(3), 253-291.
  61.  Underwriter Learning about Unfamiliar Firms: Evidence from the History of Biotech IPOs, Journal of Financial Markets 2006, 9(4), 366-407.
  62.  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.
  63.  On the Pros and Cons of Employee Stock Options: What Are the Alternatives with Thomas Walker, International Corporate Ownership and Control Journal Fall 2006, 4(1), 266-277.
  64.  A Review of IPO Selling Methods: Is There a Clear Winner? with Thomas Walker, International Corporate Ownership and Control Journal Winter 2005-2006, 3(2), 68-74.
  65.  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. 
  66.  Corporate Governance and Theories of Executive Pay with Eli Talmor and James Wallace, International Corporate Ownership and Control Journal Winter 2004, 1(2), 95-106.

[1] http://agendaweek.com/c/2123283/253583?referrer_module=SearchSubFromAG&highlight=kuntara
[2] http://fortune.com/2019/01/27/4-stocks-that-could-soar-under-new-ceos
[3]http://www.economist.com/news/business-and-finance/21644137-investors-get-misled-stale-returns-mutton-  dressed-lamb?zid=300&ah=e7b9370e170850b88ef129fa625b13c4
[4] http://www.bloomberg.com/research/markets/news/article.asp?docKey=600-201502200512M2______EUPR_____fc290000033e1f1b_3600-1&article_id=20505454138
[5] http://www.jbs.cam.ac.uk/media/2015/stale-illusion/http://www.jbs.cam.ac.uk/media/2015/stale-illusion/
[6] http://www.ft.com/cms/s/0/9f734416-b920-11e4-a8d0-00144feab7de.html?siteedition=uk#axzz3S4uQmpYe
[7] http://blog.alphaarchitect.com/2016/07/21/stale-performance-chasing-beware-of-horizon-effects/?utm_source=Alpha+Architect+Website+Users&utm_campaign=02f36ae24b-RSS_EMAIL_CAMPAIGN&utm_medium=email&utm_term=0_2f87b7924e-02f36ae24b-149755185#gs.FMN393g
[8] http://www.economist.com/blogs/buttonwood/2014/10/investing
[9] http://blogs.wsj.com/moneybeat/2014/10/20/even-stock-pickers-cant-pick-good-stock-pickers/
[10] http://www.ft.com/cms/s/0/39bb337a-5879-11e4-a31b-00144feab7de.html?siteedition=uk
[11] https://www.bloomberg.com/news/articles/2018-12-15/uber-aims-to-shed-troubled-past-in-pre-ipo-peace-making-bonanza