Updated on 2025/10/31

写真a

 
CHEUNG, Ming Yan William
 
Affiliation
Faculty of Commerce, Graduate School of Business and Finance
Job title
Associate Professor

Research Experience

  • 2017.09
    -
    Now

    Waseda Business School, Waseda University   Finance   Associate Professor

  • 2009
    -
    2017

    University of Macau   Finance   Assistant Professor

  • 2012
    -
    2013

    University of Vienna (Universität Wien)   Finance   Visiting Assistant Professor

Education Background

  • 2001
    -
    2006

    University of Hong Kong   School of Economics and Finance   Ph.D. in Financial Economics  

  • 1997
    -
    2001

    University of Hong Kong   Department of Mathematics   M.Phil. in Mathematics，B.Sc. in Computational Mathematics and Operations Research  

Committee Memberships

  • 2019
    　
    　

    IEEE Conference on Computational Intelligence for Financial Engineering and Economics

  • 2018
    　
    　

    World Finance Conference

  • 2017
    -
    2018

    Financial Management Association Europe

  • 2015
    　
    　

    European Finance Association Annual Meeting

Professional Memberships

  • 　
    　
    　

    Southwestern Finance Association

  • 　
    　
    　

    Society of Financial Econometrics

  • 　
    　
    　

    IEEE Computational Intelligence Society

  • 　
    　
    　

    European Real Estate Society

  • 　
    　
    　

    European Corporate Governance Institute

  • 　
    　
    　

    The Econometric Society

  • 　
    　
    　

    Western Finance Association

  • 　
    　
    　

    European Finance Association

  • 　
    　
    　

    American Finance Association

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Research Areas

  • Money and finance   Market Liquidity,Real Estate Finance,REITs,Sin Stocks,Price Discovery

Research Interests

  • Household Finance

  • Corporate Finance

  • Machine Learning

  • Market Microstructure

  • Price Discovery

  • Sin Stocks

  • REITs

  • Real Estate Finance

  • Market Liquidity

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Awards

  • The Best Paper Award Semi-finalist

    2017   Financial Management Association  

    Winner： Cheung, Ming, Yan William

  • The Best Paper Award in Investment

    2017   Asian Real Estate Society Meeting  

    Winner： Cheung, Ming, Yan William

  • Wohl Publishing Best Paper in Corporate Finance

    2013   Southwestern Finance Association  

    Winner： Cheung, Ming, Yan William

  • 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

Media Coverage

  • Housing Price Index of Macau Statistics and Census Services, Macau SAR

    Macau Statistics and Census Services  

 

Papers

  • 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.

    DOI

    Scopus

    5
    Citation
    (Scopus)

  • Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions

    William Cheung, Scott Fung, Lewis Tam

    The Quarterly Review of Economics and Finance   60   149 - 161  2016.05  [Refereed]

    DOI

    Scopus

    4
    Citation
    (Scopus)

  • Does Property Transaction Matter in the Price Discovery of Real Estate Markets?

    William Mingyan Cheung, James Lei, Tsang Desmond

    International Real Estate Review   19 ( 1 ) 27 - 49  2016  [Refereed]

  • Does free cash flow problem contribute to excess stock return synchronicity?

    William Mingyan Cheung, Li Jiang

    Review of quantitative finance and accounting   46 ( 1 ) 123 - 140  2016.01  [Refereed]

    DOI

    Scopus

    4
    Citation
    (Scopus)

  • 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.

    DOI

    Scopus

    75
    Citation
    (Scopus)

  • EXCHANGE-TRADED BARRIER OPTION AND VPIN: EVIDENCE FROM HONG KONG

    William M. Cheung, Robin K. Chou, Adrian C. H. Lei

    JOURNAL OF FUTURES MARKETS   35 ( 6 ) 561 - 581  2015.06  [Refereed]

    　View Summary

    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

    DOI

    Scopus

    11
    Citation
    (Scopus)

  • 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.

    DOI

    Scopus

    7
    Citation
    (Scopus)

  • A Comparison of China's Main Board and Growth Enterprise Market Board—Market Microstructure Approach

    William Cheung, Kejing Liu

    Review of Pacific Basin Financial Markets and Policies   17 ( 02 ) 1450007  2014.06  [Refereed]

    DOI

    Scopus

    8
    Citation
    (Scopus)

  • The Babushka Lady in 2008 Financial Crisis: Price Discovery Role of Equity Option

    Weiyue CAO, William CHEUNG

       2013.06  [Refereed]

  • Blockholding and market reactions to equity offerings in China

    William Cheung, Keith S. K. Lam, Lewis H. K. Tam

    PACIFIC-BASIN FINANCE JOURNAL   20 ( 3 ) 459 - 482  2012.06  [Refereed]

    　View Summary

    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.

    DOI

    Scopus

    9
    Citation
    (Scopus)

  • Intertemporal profitability and the stability of technical analysis: evidences from the Hong Kong stock exchange

    William Cheung, Keith S. K. Lam, HangFai Yeung

    APPLIED ECONOMICS   43 ( 15 ) 1945 - 1963  2011  [Refereed]

    　View Summary

    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.

    DOI

    Scopus

    16
    Citation
    (Scopus)

  • Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis

    William Cheung, Scott Fung, Shih-Chuan Tsai

    Applied Financial Economics   20 ( 1-2 ) 85 - 103  2010.01  [Refereed]

    DOI

    Scopus

    80
    Citation
    (Scopus)

  • Market microstructure of an order driven market

    Cheung, Ming, Yan William

       2005.01  [Refereed]

  • 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.

    DOI

    Scopus

    9
    Citation
    (Scopus)

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Books and Other Publications

  • “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

  • 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
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  • 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 

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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 

Research Projects

  • China National Nature Science Foundation

    Project Year :

    2016
    -
    　
     

    Cheung, Ming, Yan William

 

Syllabus

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Teaching Experience

  • Risk management seminars

    Waseda Business School, Waseda University  

  • Advanced risk management

    Waseda Business School, Waseda University  

  • Risk management

    Waseda Business School, Waseda University  

  • Derivatives, Exotic option and Insurance

    Waseda Business School, Waseda University  

 

Social Activities

  • Referee of Singapore Economic Review

  • Referee of Review of Accounting and Finance

  • Referee of Review of Quantitative Finance and Accounting

  • Referee of Quarterly Review of Economics and Finance

  • Referee of Policy Sciences

  • Referee of Journal of Economics and Business

  • Referee of International Real Estate Research

  • Referee of International Review of Economics and Finance

  • Referee of Emerging Finance Market and Trade

  • Referee of Economic Modelling

  • Referee of Applied Economics

  • Referee Journal of Empirical Finance

  • Referee of Corporate Governance: An International Review

  • Reviewer of Research Grants Council (RGC) of Hong Kong SAR

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Research Institute

  • 2024
    -
    2026

    Waseda Center for a Carbon Neutral Society   Concurrent Researcher

Internal Special Research Projects

  • Cointegrations in Ageing Population Risks and House Price Dynamics

    2023  

    　View Summary

    I find that short-term deviations of house prices from cointegration restrictions is a strong predictor of future rural house prices and migration rate from 1 to 4 year ahead. This is not the case for urban areas nor where cointegration restrictions are being ignored. Rural house prices, not urban ones, are the key to understand this cointegration restriction. Our framework is pertinent to most ageing societies with available housing and demographic data. When a government formulates macroprudential policies internalizing these cointegration restrictions and supporting rural developments, migration into rural areas and population increases are possible. Our evidence highlights the importance of cointegration-based long-run ageing risks for rural housing markets.

  • On costs and benefits of trading activities of financial derivatives on underlying risky assets

    2022  

    　View Summary

    In a series of my studies, I find that the benefits of trading financial derivatives may outweigh the costs of doing it because hedging protects investors and individuals from extremely adverse situations. I find that hedging home prices by housing derivatives could be better than not hedging at all, especially during the 2008 financial crisis. One reason could be enhanced public information production from financial analysts. I find that information is more efficiently disseminated to the public by analysts after equity option listing.

  • On The Relation Between Asset Liquidity and Stock Liquidity:An Empirical Analysis

    2019  

    　View Summary

    We examine the effect of stock liquidity on investment efficiency. Consistent with feedback and incentive theories, investment efficiency increases after the reform but only for under-investing firms. Higher stock liquidity increases institutional ownership, board independence, and price efficiency, especially for under-investing firms; thereby increasing investment efficiency of firms including those owned by the state. Our analysis is robust to a battery of considerations, including multiple specifications and several natural experiments. Our findings highlight externalities linked to the Chinese reform and further substantiate the real effects of financial markets.   

  • An examination of impacts of stock liquidity on firms'investment inefficiency through the channels of incomplete contracting and information asymmetry

    2018  

    　View Summary

    We documents that enhanced stock liquidity increases the propensity of firms to raise debt capital. The positive effect of liquidity on a debt issuance propensity is much stronger in firms with greater de fault risk. The reduction of the cost of debt capital driven by enhanced liquidity is much more significant than the reduction of the cost of equity capital. To address endogeneity concerns, we consider several tick-size changes in the United States, obtaining highly consistent results. These results are consistent with standard theoretical frameworks for financing under uncertainty and asymmetric information: by facilitating information production, stock liquidity reduces insider and market uncertainty about future firm cash flows, thereby lowering the default risk and thus the costs of debt financing. We also provide further evidence showing that enhanced liquidity reduces common uncertainty more significantly than the information gap.  

  • Hedging, Signaling and Price Discovery in International Real Estate Markets

    2017   James D. Shilling, Scott S. Fung

    　View Summary

    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.