​Kuntara Pukthuanthong
​
Robert Trulaske Jr. Professor of Finance
Trulaske College of Business
​University of Missouri
 ​Thank you for visiting my website. I graduated with a BS in economics from Chulalongkorn University and an MBA in finance from Washington University. I have a Ph.D. in finance from the University of California, Irvine. I have published in Review of Financial Studies, Journal of Financial Economics, Contemporary Accounting Research, and others (see below). During my Ph.D., I was a research assistant at PIMCO, Newport Beach, CA. I got tenure at San Diego State University. During my term at SDSU, I was a Lamfalussy Fellow at the European Central Bank. I was a Professor-in-Residence and consultant at Research Affiliates, Newport Beach, CA, and a consultant at Flint Rock Global Investors and Denali Advisors in San Diego. Recently, I worked for the AXA Rosenberg in Santa Monica, CA, on a project related to my paper, A Protocol for Factor Identification. 

I am a partner at Flint Rock Global Investors, a consultant for BlackRock,   an Associate Editor of the International Review of Financial Analysis, and ​a member of the program committee of FutFin.Info based in Stockholm, Sweden.
​Main Publications
1. A Picture is Worth a Thousand Words: Measuring Investor Sentiment by Combining Machine Learning and Photos from News with Khaled Obaid, Forthcoming, Journal of Financial Economics 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.

2. A Protocol for Factor Identification, with Richard Roll and Avanidhar Subrahmanyam, Review of Financial Studies 32 (4), April 2019, 1573–1607.  
  • Code is here, here, here, and here or email me for more.
  • 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.
 
3. 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, forthcoming Journal of Financial Economics, 2019 In Press
  • Codes is here. Email me if you need more codes.
  • We also propose a test of whether characteristics are associated with risk in Section 5
  • ​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.

4. 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.  

5. Disclosure Regulation and IPO Underpricing: An International Analysis co-authored with Charles Shi and Thomas Walker, Contemporary Accounting Research 2013, 30 (1), 356-387.  

6. Market Fragility and International Market Crises co-authored 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. 

7. International Diversification with Frontier Markets with David Berger and Jimmy Yang, Journal of Financial Economics, 2011, 101(1), 227-242.  
  • Featured on-line and in print in the New York Times
  • 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.
 
8. Global Market Integration: A Better Way To Measure It And Its Application co-authored 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
  • Global 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.  Insider Trading in Rumored Takeover Targets with Fred Davis, Hamed Khardivar, and Thomas Walker at forthcoming European Financial Management

2. Informativeness of Mutual Fund Advertisements: Does Advertising Communicate Fund Quality to Investors? with Khaled Obaid, forthcoming Financial Management  

3. The Information Content of Analysts' Value Estimates with Ryan Chacon and Dan French at Journal of Real Estate Finance and Economics
AAA 2017, MU 2016, SWFA 2016  

4. Earning 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

6. Corporate Social Responsibility And M&A Uncertainty with Mohamed Arouri and Mathieu Gomes, Journal of Corporate Finance,  56, June 2019, 176-198  

7. 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.  
o   FMA 2017
 
8. 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

 9. 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  

10.  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]
 
11. 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.  

12. Litigation Risk and Institutional Monitoring with Harry Turtle, Thomas Walker, and Jun Wang, Journal of Corporate Finance 2017, 45, 342-359.  

13.  The Determinants of IPO-Related Shareholder Litigation: The Role of CEO Equity Incentives and Corporate Governancewith Xingli Li, Marcus Glenn Walker, and Thomas Walker, Journal of Financial Markets, 2016, 31, issue C, 81-126.

14.  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.  

15.  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.
 
16.  Fragility, Stress, And Market Returns with Dave Berger, Journal of Banking and Finance, 2016, 62, 152-163.

17. 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 on-line 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

 18. 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.

19. Internationally Correlated Jumps with Richard Roll, Review of Asset Pricing Studies Volume 5(1), 2015, 92-111.
 
20. 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]
 
21. 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 on-line in Bloomberg, “Uber Aims to Shed Troubled Past in Pre-IPO Peace-Making Bonanza” [11]

 22. 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.  

23. 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  

24. 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.                

25. 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

26. 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.  

27. Gold price and US dollar (and the Euro, Pound, and Yen) co-authored with Richard Roll, Journal of Banking and Finance2011, 35(8), 2070-2083.

28.  Idiosyncratic Volatility and Stock Returns: A Cross Country Analysis co-authored with Nuttawat Visaltanachoti, a lead article Applied Financial Economics 2009, 19(16), 1269-1281.
 
29.  Commonality in Liquidity: Evidence from Stock Exchange of Thailand co-authored with Nuttawat Visaltanachoti, Pacific-Basin Finance Journal Jan 2009, 17(1), 80-99.
 
30.  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.

31. IPO Pricing, Block Sales, and Long Term Performance co-authored with Nikhil Varaiya, a lead article, Financial Review2007, 42 (3), 1-30.  
​
32.  How Employee Stock Options and Executive Equity Ownership Affect Long-term IPO Operating Performance co-authored with Richard Roll and Thomas Walker, Journal of Corporate Finance 2007, 13, 695-720.
 
33.  Do Foreign Exchange Markets Still Trend? co-authored with Lee Thomas and Richard Levich, lead article Journal of Portfolio Management Fall 2007, 1-5.


34.  Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation co-authored with Fayez Elayan and Richard Roll, Economic Notes 2006, 35(3), 253-291.
 
35.  Underwriter Learning about Unfamiliar Firms: Evidence from the History of Biotech IPOs, Journal of Financial Markets2006, 9(4), 366-407.
 
36.  Investors Like Firms that Expense Employee Stock Options And They Dislike Firms that Fail to Expense co-authored with Richard Roll and Fayez Elayan, Journal of Investment Management 2005, 3(1), 75-98.
 
​
[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
​​