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Publications & working papers

2016

Bali, T.G., Brown, S., Peng, Q. and Tang, Y. (2016) "Is economic uncertainty priced in the cross-section of stock returns?" Social Science Research Network Working Paper (available online via the SSRN)

Bae, K., Bhattacharya, U., Kang, J. and Rhee, S. (2016) "Nominal stock price anchors: a global phenomenon?" Social Science Research Network Working Paper (available online via the SSRN)

Henderson, V., Hobson, D. and Tse, A.S.L. (2016) "Can probability weighting help prospect theory explain the disposition effect?" Social Science Research Network Working Paper (available online via the SSRN)

Hwang, C.Y. and Li, Y. (2016) "Analysts' reputational concerns, self-censoring and the international dispersion effect." Management Science (forthcoming)

Peng, Q. (2016) "Noisy rational bubbles." Social Science Research Network Working Paper (available online via the SSRN)

Peng, Q. (2016) "Financial frictions, entry and growth: a study of China." Social Science Research Network Working Paper (available online via the SSRN)

2015

Henderson, V., Hobson, D. and Tse, A.S.L. (2015) "Randomised strategies and prospect theory in a dynamic context." Social Science Research Network Working Paper (available online via the SSRN)

Kang, J. (2015) "Stock market concentration, entrepreneurship, and economic growth." Social Science Research Network Working Paper (available online via the SSRN)

2013

Kang, J. and Shum, P. (2013) "Leveraged and inverse ETF performance during the financial crisis." Managerial Finance, 39(5): 476-508 (DOI: 10.1108/03074351311313825)

2009

So, M.K.P. and Tse, A.S.L. (2009) "Dynamic modeling of tail risk: applications to China, Hong Kong and other Asian markets." Asia-Pacific Financial Markets, 16(3): 183-210 (DOI: 10.1007/s10690-009-9092-6)