Exploring the Persistent Behavior of Financial Markets
Yi-Cheng Tsai, Chin-Laung Lei, William Cheung, Chung-Shu Wu, Jan-Ming Ho, Chuan-Ju Wang
Finance Research Letters
24
199
-
220
2018.03
[Refereed]
View Summary
This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.
The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment
William Mingyan Cheung, Richard Chung, Scott Fung
JOURNAL OF CORPORATE FINANCE
35
211
-
231
2015.12
[Refereed]
View Summary
This study examines the effects of stock liquidity on firm value and corporate governance using the Real Estate Investment Trust (REIT) setting. The unique features of the REIT industry, including homogeneity of the investment structures, the high payout requirement, and the importance of institutional investors, highlight the positive effect of stock liquidity on firm value through corporate governance. To address the endogeneity problem, we perform a difference-in-differences test based on the propensity score matching estimator. The result shows that REIT stock liquidity has a causal and positive effect on firm value, as measured by Tobin's Q Importantly, REIT stock liquidity is conducive to better corporate governance through the channel of institutional ownership. REIT stock liquidity leads to higher institutional ownership, particularly for institutional investor types that are active monitors and institutional investors with multi-firm ownership in their REIT portfolios. (C) 2015 Elsevier B.V. All rights reserved.
We study the validity of the volume-synchronized probability of informed trading (VPIN) metric in measuring the order flow toxicity around the mandatory call events of callable bull/bear contracts. High VPIN around mandatory call events indicates the existence of large volume imbalances, suggesting high market risk surrounding those call events. In this study, we provide the first direct evidence of the validity of VPIN outside the U.S. market. (c) 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:561-581, 2015
Comparing the price of sin: Abnormal returns of cross-listed casino gaming stocks in the Hong Kong and US markets
William Ming Yan Cheung, Desmond Lam
INTERNATIONAL JOURNAL OF HOSPITALITY MANAGEMENT
45
73
-
76
2015.02
[Refereed]
View Summary
While a number of hospitality researchers have investigated hospitality stock returns, few examine the stock returns of casino gaming companies. In finance, these stocks are often termed as 'sin' stocks. The purpose of this study is to compare the stock returns of cross-listed casino gaming stocks in Hong Kong and New York stock exchanges. Four pairs of casino gaming stocks are currently cross-listed in both exchanges, allowing for comparison. The cross-listing sample consists of 3138 firm-day observations from January 2009 to December 2013. Preliminary analyses, using time-series regression, show that the average daily returns and standard deviations of casino gaming stocks are much higher than market indices in both jurisdictions. Most importantly, casino gaming stocks listed in Hong Kong exchange have a significantly higher abnormal return than their cross-listed counterparts in the US. The reason may be due to cultural issues. These findings will have meaningful implications to investors of casino gaming companies. (C) 2014 Elsevier Ltd. All rights reserved.
We examine the impact of blockholding on shareholders' wealth in equity offerings in China. We find that investors generally react negatively to equity-offering announcements by firms with high blockholding. A one-standard-deviation (12%) increase in blockholding leads to a 0.59% reduction in firm valuation over a seven-day window and a 5.50% reduction over a 2-year period surrounding the announcement. Private (non-governmental) blockholding is associated with a more negative valuation effect than governmental blockholding over the long-term event window. The above result holds only for financially constrained firms but not unconstrained firms. Further analysis shows that firms with private blockholding have greater positive cash-cash flow sensitivity than firms with governmental blockholding, and again, the result holds for financial constrained firms only. Collectively, the findings suggest that equity offerings in China signal the issuers' future financial constraints, but the findings do not support the agency hypothesis of state ownership. (C) 2011 Elsevier B.V. All rights reserved.
This study investigates the impact of market integration on the profitability of two simple and popular technical trading rules, the Simple Moving Average (SMA) and the Trading Range Break (TRB) in Hong Kong. Using data from 1972 to 2006, we find that the SMA (1, 50) consistently outperforms the market before the integration of stock exchanges in 1986. Under the (1, 50) rule, a variable length moving average performs better than the fixed length moving average rule by 2.5 to 5% (annual) before transaction costs because it includes the information of the first 9 days into investors' decision. The results are robust to the out of sample tests for the validity of the profitability of the trading rules. The returns of the trading range break rules are insignificant over the 35-year span. Our results support the conjecture that stock market integration may lead to better information efficiency. The findings of significant pre-1986 profits and insignificant post-1986 profits, contradict previous findings that returns are predictable in Hong Kong, suggesting that the Hong Kong stock market may be weak-form efficient after 1986. Overall, our results suggest that technical analysis matters for asset pricing.
Order Aggressiveness, Volume and Liquidity in Limit Order Market
William M Cheung, Frank M Song
2004.04
[Refereed]
Liquidity, Size and Cycle of Order Flow
William M Cheung, Frank M Song
2004
[Refereed]
Block-circulant preconditioners for systems arising from discretization of the three-dimensional convection-diffusion equation
WM Cheung, MK Ng
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
140
(
1-2
)
143
-
158
2002.03
[Refereed]
View Summary
We consider the system of equations arising from finite difference discretization of a three-dimensional convection-diffusion model problem. This system is typically nonsymmetric. The GMRES method with the Strang block-circulant preconditioner is proposed for solving this linear system. We show that our preconditioners are invertible and study the spectra of the preconditioned matrices. Numerical results are reported to illustrate the effectiveness of our methods, (C) 2002 Elsevier Science B.V. All rights reserved.
“Fuel Consumption Costs of Routing Uncertainty” , Operations Research Proceedings 2013, Selected Papers of the International Conference on Operations Research
Cheung Ming, Yan William, Unger, S, D. Huisman(
Part:
Joint author)
Springer International Publishing
2014
“Empirical Analysis of Liquidity Provision of an Order Driven Market”, Proceedings of IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Cheung, Ming, Yan William
2013
“Liquidity Risk Spillover: Evidence from Cross-country Analysis” , Proceedings of IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Cheung Ming, Yan William, S. Lo(
Part:
Joint author)
2012
“Order aggressiveness of option market: Evidence from the 2008 credit crisis” , Proceedings of IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Cheung Ming, Yan William, C. Cheng(
Part:
Joint author)
2012
Works
Works
Hedging Housing Price Risks
Cheung Ming, Yan William, Li Bao, Stephan Unger
Other
2018
-
Power of ABC:Some Evidence of Serial-Position Effects in Japanese REIT Markets
Cheung Ming, Yan William, Yuichiro Kawaguchi, Lewen Guo, Stephan Unger
Other
2018
-
Stock Liquidity and Investment Efficiency: Evidence from the Split-Share Structure Reform
Cheung Ming, Yan William, Hyunjoong Im, Srinivasan Selvam
Other
2018
-
The effect of stock liquidity on debt-equity choices
Cheung Ming, Yan William, Thomas Noe, Hyun Joong Im, Bohui Zhang
Other
2018
-
A Test of the Information Content of Dividend: Theory and Evidence from REITs and REOCs
Cheung Ming, Yan William, Scott Fung, James Shilling
Other
2017
-
A Tale of Two Cities: The Nexus between Options Market and Firm-Level Characteristics and Performances
Cheung, Ming, Yan William
Other
2010
-
Are All Analysts Recommendations Informative?
Cheung Ming, Yan William, Scott Fung, James Shilling
Other
Why Firms Payout More than Minimum?
Cheung Ming, Yan William, Scott Fung, James Shilling
Other
Semantic Orientation of Financial News
Cheung Ming, Yan William, Yuichiro Kawaguchi, Mitsu Watanabe
Other
Global Association of Risk Professionals Global Research Fellowship
2012
Winner:
Cheung, Ming, Yan William
The Best Paper Award in Investment
2009
Southwestern Finance Association
Winner:
Cheung, Ming, Yan William
Research Projects
Research Projects
China National Nature Science Foundation
Project Year :
2016
-
Cheung, Ming, Yan William
Presentations
Presentations
Power of ABC: Some Evidence of Serial-Position Effects in Japanese REIT Markets
Cheung, Ming, Yan William
[Invited]
Asian Real Estate Society, Vietnam Symposium in Banking and Finance, Paris Financial Management Conference
Presentation date:
2018
Stock Liquidity and Investment Efficiency: Evidence from the Split-Share Structure Reform
Cheung, Ming, Yan William
[Invited]
Conference on Theories and Practices of Securities and Financial Market, Conference on Asia-Pacific Financial Markets
Presentation date:
2018
A Test of the Information Content of Dividend: Theory and Evidence from REITs and REOCs
Cheung, Ming, Yan William
[Invited]
The American Real Estate and Urban Economics Association-Allied Social Science Associations
Presentation date:
2018
Hedging Housing Price Risks
Cheung, Ming, Yan William
[Invited]
The Econometric Society American Meeting (UCDavis), The Econometric Society China Meeting (Fudan), European Conference on Operational Research (Valencia), Taiwan Finance Association Meeting(NCCU), Hong Kong Baptist University, National Chengkung Universit
Presentation date:
2018
The effect of stock liquidity on debt-equity choices
Cheung, Ming, Yan William
[Invited]
Financial Management Association Europe 2018, China International Conference in Finance 2017, Peking University HSBC Business School, Toulouse School of Management, Stockholm University
Finance theory suggests that an increase in dividend payout serves as an unambiguous signal to the marketplace that the firm anticipates higher future earnings. Yet, it is often unclear just what an increase in dividend payout signals and how it does so, testing the theory using a sample of ordinary firms proves difficult in general. In this paper, we focus on the application of dividend signaling theory to the case of Real Estate Investment Trusts (REITs). REIT managers have valuable information about the firm’s re-leasing spread profit, and will, in the presence of asymmetric information, choose to convey this insider’s information to outside investors in periods of when the market lease rate is high or is expected to increase through dividend changes. Consistent with our theoretical predictions, we find substantial evidence of a positive relation between dividend changes and future earnings changes for REITs with high investment spending in periods when current lease rates are expected to increase in the future. Further, we find very little evidence of dividend signaling in all other cases, even when we do a detailed analysis of REITs with low investment spending in periods when current lease rates are expected to increase in the future.