Image: Kuntara Pukthuanthong

Kuntara Pukthuanthong

Robert J. Trulaske, Jr. Professor of Finance and Associate Professor
420 Cornell Hall

Dr. Pukthuanthong’s main research interests are international finance and asset pricing. She received a BA in Economics from Chulalongkorn University, Thailand; an MBA in finance from Washington University, and PhD in finance from University of California, Irvine. Her research has been published in the Journal of Financial Economics, Review of Asset Pricing Studies, Critical Review of Finance, Journal of Banking and Finance, Journal of Financial Markets, Journal of Corporate Finance, Financial Review, Economic Note, Pacific Basin Finance Journal, Applied Financial Economics, Financial Analysts Journal, Journal of Investment Management, Journal of Portfolio Management, Global Finance Journal, International Journal of Managerial Finance, Journal of Applied Corporate Finance, and Venture Capital Journal.

Dr. Pukthuanthong's additional experience includes:


BA, Economics, Chulalongkorn University; MBA, Finance, Washington University; PhD, Finance, University of California


Crowell Prize, PanAgora Asset Management for the paper, "Protocol for Factor Identification" with Richard Roll, CalTech and Avadhinar Subrahmanyam, UCLA. Recognized by the Q Group, The Institute for Quantitative Research in Finance, with the 2015 Jack Treynor Prize for the paper "A Protocol for Factor Identification," co-authored by Richard Roll of the California Institute of Technology. On valuing human capital and relating it to macroeconomic conditions with David Berger and Richard Roll: One of the five papers being considered for the best paper of the 2016 FMA


Top-Tier Publications

A Protocol for Factor Identification; with Richard Roll and Avanidhar Subrahmanyam, The Review of Financial Studies, Volume 32, Issue 4, April 2019, Pages 1573–1607.

Journal Articles

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.

International asset allocation in presence of systematic cojumps, with Mohamad Arouri, Oussama M’saddek, and Duc Nguyen at forthcoming Journal of Economic Dynamics and Control.

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.

Conflict-Induced Forced CEO Turnover and Firm Performance, with Saif Ullah, Thomas Walker, and Jing Zhang, Managerial Finance  44(9), 2018, 1134-1154.

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.

Capital Ratios and performance of Islamic vs. conventional banks, with Mohammad Bitar, Mohammad Hassan, and Thomas Walker, Open Economies Review 2018, 1-36.

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

Timely vs. Delayed CEO Turnover , with Saif Ullah, Thomas Walker, and Xuan WuInformation Systematic Frontier 2017, 19(3), 469-479.

On the Role of the Chief Risk Officer and the Risk Committee in Insuring Financial Institutions against Litigation with Arash Amoozegar and Thomas Walker, Managerial Finance, 2016, 43(1), 19-43.

Insider Stock Trading and the Bond Market with Andreas Oehler, Kuntara Pukthuanthong, Thomas Walker, and Stefan Wendt, Journal of Fixed Income, Winter 2016, Vol. 25, No. 3, pp. 74-91.

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 Markets2016, 31, issue C, 81-126. 

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, 351-398Featured in The Economist, Financial Times, Bloomberg BusinessWeek, and the University of Cambridge Judge Business School media

Do Hedge Funds Dynamically Manage Systematic Risk?  with Ethan Namvar, Blake Phillips, and Raghavendra Rau, Journal of Banking and Finance, Volume 64, issue C, 2016, lead article.

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

Legal Opportunism, Litigation Risk, and IPO Underpricing, Thomas Walker, Harry Turtle, and Dolrudee Thiengtham, Journal of Business Research, Volume 68 (2), February 2015, 326-340

Internationally correlated jumps with Richard Roll, Review of Asset Pricing Studies, 2015 5(1), 92-111

Detecting superior mutual fund managers: Evidence from copycats with Blake Phillips and Raghavendra Rau, Review of Asset Pricing Studies, 2015, 4(2), 286-321. Featured in The EconomistThe Wall Street Journal, and Financial Times. Mentioned in the Alpha Architect Blog.

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.

The Role of Aviation Laws and Legal Liability in Aviation Disasters: a Financial Market Perspective with Thomas Walker and Dolruedee Thiengtham, International Review of Law and Economics, Volume 37, March 2014, Pages 51–65

Underwriters and the Broken Chinese Wall: Institutional Holdings and Post-IPO Securities Litigation with Sergey Barabanov, Onem Ozocak, and Thomas Walker, Journal of Financial Research, Volume 36, Winter 2013, Pages 543-578.

Is the diversification benefit of frontier markets realizable by mean-variance investors? The evidence of investable fundswith Dave Berger and Jimmy Yang, Journal of Portfolio Management, Summer 2013, 39 (4), 36-48. Featured in The New York Times.

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

An International Look at the Lawsuit Avoidance Hypothesis of IPO Underpricing with Huiling Lin and Thomas Walker, Journal of Corporate Finance 19, February 2013, 56–77.

Family firms going public: The impact of governance and legitimacy on IPO performances, with Hung-bin Ding, Journal of Business Economics and Management, 2013, 14(1), 156-181.

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

Does Family Ownership Create or Destroy Value: Evidence from Canada, with Thomas Walker, Journal of International and Managerial Finance, 2013, 9(1)

An International CAPM for Partially Integrated Markets, with Mohamed Arouri and Duc Nguyen, Journal of Banking and Finance, 2012, 36(9), 2473-249.

Market fragility and international criseswith Dave Berger, Journal of Financial Economics, 2012, 105(3), 565-580

International diversification with Frontier Markets, with Dave Berger and Jimmy Yang, Journal of Financial Economics, 2011, 101(1), 227-242. Featured online and in print in the New York Times

Gold and the dollar (and the euro, pound, and yen), with Richard Roll, Journal of Banking and Finance, 2011, 35(8), 2070-2083.

Why should we like firms that voluntarily disclose? Evidence from profit warning firms, Journal of Investing, Winter 2010, Vol. 19, No. 4: pp. 66–83

Why warn? The impact of profit warnings on shareholder’s equity, with Fayez Elayan, International Research Journal Investment Management and Financial Innovation, 2009, 6(4), 164-176.

Global market integration: A better way to measure it and its application, with Richard Roll, Journal of Financial Economics, 2009, 94(2), 214-232.  Best paper Australian Finance Association, Sydney Australia 2009.

The international aviation insurance regime in times of industry uncertainty with Triant Flouris, Paul Hayes, and Thomas Walker, International Journal of Private Law, 2(4), 343-357, 2009.

Do IPOs in countries where firms have high family control benefit from more prestigious underwriters? with Thomas Walker, a lead article, Multinational Business Review, 2009, 16(2).

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.

Idiosyncratic Volatility and Stock Returns: A Cross Country Analysis with Nuttawat Visaltanachoti, a lead article in Applied Financial Economics, 2009, 19(16), 1269-1281.

Family Firm IPO Performance and IPO Signals with Hung-bin Ding, Journal of Enterprising Culture, 2009, 17(1), 55-77.

Weak Form Efficiency in Currencies: and Update and an Explanation, co-authored with Lee Thomas, Financial Analyst Journal, May-June 2008, 64(3), 31-52.

Leverage, Pre-IPO Insider Ownership, and Underpricing: high-tech versus low-tech IPOs with Thomas Walker and Jaemin Kim, Management Decision, 46(1), March 2008.

Asset Allocation Barbells co-authored with Lee Thomas, Frank J. Fabozzi’s Handbook of Finance: Investment Management and Financial Management, John Wiley and Sons, ISBN-10: 0470078154

Random Walk Currency Futures Profits Revisited, co-authored with Carlos Bazan and Lee Thomas, International Journal of Managerial Finance, 2007, 3(3), 263-286.

Venture Capital in China: A Culture Shock for Western Investors, with Thomas Walker, Management Decision, 2007, 45, 708 – 731.

IPO Pricing, Block Sales, and Long Term Performance with Nikhil Varaiya, a lead article, Financial Review, 2007, 42(3), 1-30.

Are IPO Auctions Celebrating a Comeback: U.S. Evidence with Nikhil Varaiya and Thomas Walker, lead article, Venture Capital Journal, 2007, 9(4), 1-39.

Equity and Debt Market Responses to Sovereign Credit Ratings Announcements with Fayez Elayan and Lawrence Rose, Global Finance Journal, 2007, 18(1), 47-83.

Do Foreign Exchange Markets Still Trend? co-authored with Lee Thomas and Richard Levich, Journal of Portfolio Management, Fall 2007, 1-5.

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.

Why Venture Capital Markets Are Well Developed in Some Countries But Comparatively Small in Others: Evidence from Europe with Dolruedee Thiengtham and Thomas Walker, in Venture Capital in Europe, Greg N. Gregoriou, Maher Kooli and Roman Kräussl (eds.), Elsevier, Amsterdam, The Netherlands, November

On the Stock Markets Reaction to Major Railroad Accidents: An Empirical Analysis with Thomas Walker and Sergey Barabanov, Journal of the Transportation Research Forum, Spring 2006, 45(1), 23-39.

IPO Firm Executives, Compensation, and Selling with Jaemin Kim, Journal of Entrepreneurial Finance and Business Ventures, 2006, 11(1).

Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation with Fayez Elayan and Richard Roll, Economic Notes, 2006, 35(3), 253-291.

Venture Capital in Europe: Closing the Gap to the U.S., with Andreas Oehler, Marco Rummer, and Thomas Walker, in Venture Capital in Europe, lead chapter, November 2006, Greg N. Gregoriou, Maher Kooli and Roman Kräussl (eds.), Elsevier, Amsterdam, The Netherlands

Underwriter Learning about Unfamiliar Firms: Evidence from the History of Biotech IPOs, Journal of Financial Markets, 2006, 9(4), 366-407.

Investors Like Firms that Expense Employee Stock Options And They Dislike Firms that Fail to Expense with Richard Roll and Fayez Playan, Journal of Investment Management, 2005, 3(1), 75-98.

IPO Valuation, Frank J. Fabozzi’s Handbook of Finance: Investment Management and Financial Management, John Wiley and Sons, ISBN-10: 0470078154

Book Chapter

What Drives Variation in the International Diversification Benefits? A Cross-country Analysis with Handbook of Financial Econometrics, Mathematics, Statistics, and Technology edited by Cheng Few Lee, Rutgers University.

Multinational Finance and Global Financial Market Integration, in Hossein Bidgoli (ed.), Handbook of Technology Management, 2010


Crash of ‘08.  Co-authored with Dr. Lee R. Thomas III, published in the Capco Institute Bulletin and the Global Association of Risk Professionals, December 2008.