チェン ミンヤン ウィリアム (チェン ミンヤン ウィリアム)

写真a

所属

商学学術院 大学院経営管理研究科

職名

准教授

学歴 【 表示 / 非表示

  • 2001年
    -
    2006年

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

  • 1997年
    -
    2001年

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

経歴 【 表示 / 非表示

  • 2017年09月
    -
    継続中

    Waseda Business School, Waseda University   Finance   Associate Professor

  • 2009年
    -
    2017年

    University of Macau   Finance   Assistant Professor

  • 2012年
    -
    2013年

    University of Vienna (Universität Wien)   Finance   Visiting Assistant Professor

所属学協会 【 表示 / 非表示

  •  
     
     

    Southwestern Finance Association

  •  
     
     

    Society of Financial Econometrics

  •  
     
     

    IEEE Computational Intelligence Society

  •  
     
     

    European Real Estate Society

  •  
     
     

    European Corporate Governance Institute

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研究分野 【 表示 / 非表示

  • 金融、ファイナンス   市場流動性,不動産ファイナンス,REITs,Sin Stocks,価格発見

研究キーワード 【 表示 / 非表示

  • Household Finance

  • Corporate Finance

  • Machine Learning

  • Market Microstructure

  • 価格発見

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論文 【 表示 / 非表示

  • 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年03月  [査読有り]

     概要を見る

    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

  • 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年05月  [査読有り]

    DOI

  • 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年  [査読有り]

  • 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年01月  [査読有り]

    DOI

  • 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年12月  [査読有り]

     概要を見る

    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

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書籍等出版物 【 表示 / 非表示

  • “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( 担当: 共著)

    Springer International Publishing  2014年

  • “Empirical Analysis of Liquidity Provision of an Order Driven Market”, Proceedings of IEEE Conference on Computational Intelligence for Financial Engineering & Economics

    チェン ミンヤン ウィリアム

    2013年

  • “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( 担当: 共著)

    2012年

  • “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( 担当: 共著)

    2012年

Works(作品等) 【 表示 / 非表示

  • Hedging Housing Price Risks

    Cheung Ming, Yan William, Li Bao, Stephan Unger  その他 

    2018年
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  • Power of ABC:Some Evidence of Serial-Position Effects in Japanese REIT Markets

    Cheung Ming, Yan William, Yuichiro Kawaguchi, Lewen Guo, Stephan Unger  その他 

    2018年
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  • Stock Liquidity and Investment Efficiency: Evidence from the Split-Share Structure Reform

    Cheung Ming, Yan William, Hyunjoong Im, Srinivasan Selvam  その他 

    2018年
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  • The effect of stock liquidity on debt-equity choices

    Cheung Ming, Yan William, Thomas Noe, Hyun Joong Im, Bohui Zhang  その他 

    2018年
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  • A Test of the Information Content of Dividend: Theory and Evidence from REITs and REOCs

    Cheung Ming, Yan William, Scott Fung, James Shilling  その他 

    2017年
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受賞 【 表示 / 非表示

  • The Best Paper Award Semi-finalist

    2017年   Financial Management Association  

    受賞者: チェン ミンヤン ウィリアム

  • The Best Paper Award in Investment

    2017年   Asian Real Estate Society Meeting  

    受賞者: チェン ミンヤン ウィリアム

  • Wohl Publishing Best Paper in Corporate Finance

    2013年   Southwestern Finance Association  

    受賞者: チェン ミンヤン ウィリアム

  • Global Association of Risk Professionals Global Research Fellowship

    2012年  

    受賞者: チェン ミンヤン ウィリアム

  • The Best Paper Award in Investment

    2009年   Southwestern Finance Association  

    受賞者: チェン ミンヤン ウィリアム

共同研究・競争的資金等の研究課題 【 表示 / 非表示

  • China National Nature Science Foundation

    研究期間:

    2016年
    -
     
     

    チェン ミンヤン ウィリアム

講演・口頭発表等 【 表示 / 非表示

  • Power of ABC: Some Evidence of Serial-Position Effects in Japanese REIT Markets

    チェン ミンヤン ウィリアム  [招待有り]

    Asian Real Estate Society, Vietnam Symposium in Banking and Finance, Paris Financial Management Conference  

    発表年月: 2018年

  • Stock Liquidity and Investment Efficiency: Evidence from the Split-Share Structure Reform

    チェン ミンヤン ウィリアム  [招待有り]

    Conference on Theories and Practices of Securities and Financial Market, Conference on Asia-Pacific Financial Markets  

    発表年月: 2018年

  • A Test of the Information Content of Dividend: Theory and Evidence from REITs and REOCs

    チェン ミンヤン ウィリアム  [招待有り]

    The American Real Estate and Urban Economics Association-Allied Social Science Associations  

    発表年月: 2018年

  • Hedging Housing Price Risks

    チェン ミンヤン ウィリアム  [招待有り]

    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  

    発表年月: 2018年

  • The effect of stock liquidity on debt-equity choices

    チェン ミンヤン ウィリアム  [招待有り]

    Financial Management Association Europe 2018, China International Conference in Finance 2017, Peking University HSBC Business School, Toulouse School of Management, Stockholm University  

特定課題研究 【 表示 / 非表示

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

    2017年   James D. Shilling, Scott S. Fung

     概要を見る

    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. 

 

現在担当している科目 【 表示 / 非表示

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担当経験のある科目(授業) 【 表示 / 非表示

  • 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  

 

委員歴 【 表示 / 非表示

  • 2019年
     
     

    IEEE Conference on Computational Intelligence for Financial Engineering and Economics

  • 2018年
     
     

    World Finance Conference

  • 2017年
    -
    2018年

    Financial Management Association Europe

  • 2015年
     
     

    European Finance Association Annual Meeting

社会貢献活動 【 表示 / 非表示

  • 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

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メディア報道 【 表示 / 非表示

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

    Macau Statistics and Census Services