Browsing by Author "Molchanov A"

Now showing 1 - 4 of 4
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    Asymmetric trading responses to credit rating announcements from issuer- versus investor-paid rating agencies
    (John Wiley and Sons, Ltd, 2024-01) Nguyen QMP; Do HX; Molchanov A; Nguyen L; Nguyen NH
    The credit rating industry has traditionally followed the “issuer-pays” principle. Issuer-paid credit rating agencies (CRAs) have faced criticism regarding their untimely release of negative rating adjustments, which is attributed to a conflict of interests in their business model. An alternative model based on the “investor-pays” principle is arguably less subject to the conflict of interest problem. We examine how investors respond to changes in credit ratings issued by these two types of CRAs. We find that investors react asymmetrically: They abnormally sell equity stakes around rating downgrades by investor-paid CRAs, while abnormally buying around rating upgrades by issuer-paid CRAs. Our study suggests that, through their trades, investors capitalize on value-relevant information provided by both types of CRAs, and a dynamic trading strategy taking advantage of this information generates significant abnormal returns.
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    Leading safely: The impact of generalist CEOs on workplace safety
    (Elsevier B V, 2025-06-01) Zhang TX; Molchanov A; Nguyen H; Pham MH
    Businesses are expected to operate as responsible corporate entities, with employee safety serving as a cornerstone of this responsibility. Executives, as corporate leaders, bear moral and ethical obligations to ensure the well-being of their workforce. Drawing on human capital and upper echelons theories, we examine the influence of executives' transferable skills on workplace safety outcomes. We find that chief executive officers (CEOs) with general managerial human capital significantly contribute to the creation of safer work environments. The relation is more pronounced in firms facing financing constraints or intense market competition. These CEOs improve safety outcomes by making more prudent labor investment decisions, reducing employee workloads, and maintaining high information quality. Overall, our study underscores the pivotal role of CEOs' general managerial human capital in promoting employee well-being and mitigating the potential adverse consequences of occupational hazards on firm performance.
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    Technical trading rules, loss avoidance, and the business cycle
    (Elsevier B V, 2023-12) Ergun L; Molchanov A; Stork P
    We show that simple technical trading rule (TTR) strategies substantially reduce investment left tail risk. An investor following a TTR strategy can also avoid a high percentage of extremely negative returns. This percentage increases substantially during recessions. Interestingly, tail risk reduction does not come at a cost of lower performance – risk adjusted returns of TTR strategies are in fact higher than those of a buy-and-hold strategy. Our findings are robust to changes in trading strategy specifications. They hold in 38 international equity markets, as well as in a large sample of individual US stocks, and survive a reality check bootstrap.
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    The myth of business cycle sector rotation
    (John Wiley and Sons Ltd., 2023-09-06) Molchanov A; Stangl J
    Conventional wisdom suggests that sectors/industries provide systematic performance and that business cycle rotation strategies generate excess market performance. However, we find no evidence of systematic sector performance where popular belief anticipates it will occur. At best, conventional sector rotation generates modest outperformance, which quickly diminishes after allowing for transaction costs and incorrectly timing the business cycle. The results are robust to alternative sector and business cycle definitions. We find that relaxing sector rotation assumptions and letting any industry excess return predict future returns of other industries results in predictability not significantly different than what would be expected by random chance.