Rose Neng Lai

University of Macau

Professor in Finance

Av. Da Universidade, Taipa

Macau, Nil

Macau

  • University of Macau

SCHOLARLY PAPERS

34

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3,320

SSRN CITATIONS
Rank 23,267

SSRN RANKINGS

Top 23,267

in Total Papers Citations

8

CROSSREF CITATIONS

34

Ideas:
“  FinTech Financing and financial stability; Impact of Fintech financing on property markets; Further on housing bubbles;  ”

  • University of Macau

Scholarly Papers (34)

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1.

On the Effectiveness of Housing Purchase Restriction Policy in China: A Difference in Difference Approach

Number of pages: 46 Posted: 25 Mar 2015
Jerry Cao, Bihong Huang and Rose Neng Lai
Independent, University of Macau - Department of Finance and Business Economics and University of Macau
Downloads 632 (55,093)
Citation 7

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housing purchase restriction policy, housing bubble, China, difference in difference

2.

The Role of Liquidity in Value at Risk - The Case of Hong Kong

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 45 Posted: 24 Aug 2007
Cass Cheng Po Lei and Rose Neng Lai
affiliation not provided to SSRN and University of Macau
Downloads 464 (80,863)
Citation 1

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3.

A Regime Shift Model of the Recent Housing Bubble in the United States

Ross School of Business Paper No. 1084
Number of pages: 55 Posted: 13 Aug 2007
Robert Van Order and Rose Neng Lai
University of Michigan - Stephen M. Ross School of Business and University of Macau
Downloads 310 (127,677)
Citation 1

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Bubbles, House Prices, Regime Shift

4.

Herding and Trading Volume

Number of pages: 40 Posted: 22 Aug 2011
Qing Qing Lan and Rose Neng Lai
University of Macau - Faculty of Business Administration and University of Macau
Downloads 257 (155,559)
Citation 2

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5.

On an Efficient Design of Reverse Mortgages: A Possible Solution for Aging Asian Populations

Number of pages: 37 Posted: 24 Nov 2017
Robert C. Merton and Rose Neng Lai
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Macau
Downloads 232 (171,196)
Citation 6

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Retirement, Reverse Mortgage, Securitization, Tranching, Core Capital

6.

Shadow Banking and the Property Market in China

Lai, Rose Neng, and Robert Van Order (2019). Shadow Banking and the Property Market in China, International Real Estate Review, 22(3), 361-399.
Number of pages: 44 Posted: 02 Jun 2016 Last Revised: 09 Feb 2021
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 184 (212,014)
Citation 1

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Chinese housing market, shadow banking, pooled mean group estimation

7.

Momentum and House Price Growth in the U.S.: Anatomy of a 'Bubble'

Ross School of Business Paper No. 1124
Number of pages: 45 Posted: 21 Jan 2009
Rose Neng Lai and Robert Van Order
University of Macau and University of Michigan - Stephen M. Ross School of Business
Downloads 159 (240,095)

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Price Bubble, House Prices, Regime Shift

8.

Intraday Herding on Cross-Listed Stocks ─ Spillover and Abnormal Return

Number of pages: 38 Posted: 08 Sep 2015
Rose Neng Lai and Yang Zhang
University of Macau and University of Macau
Downloads 132 (278,563)
Citation 1

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Intraday herding, Cross-listing, Information spillover

9.

Liquidity, Fragility and the Credit Crunch: A Theoretical Explanation and the Introduction of Contingent Convertible Bonds

25th Australasian Finance and Banking Conference 2012
Number of pages: 24 Posted: 22 Aug 2012
Robert A. Van Order and Rose Neng Lai
George Washington University and University of Macau
Downloads 129 (283,378)
Citation 1

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Fragility, Liquidity, CoCo bonds

10.

Risk Taking, Guarantees, Securitization and the Option to Change Strategy: The Economics of Pulling a Fast One

Ross School of Business Paper No. 1123
Number of pages: 30 Posted: 21 Jan 2009
Rose Neng Lai and Robert Van Order
University of Macau and University of Michigan - Stephen M. Ross School of Business
Downloads 117 (304,439)

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Securitization, Financial Institutions, Risk-taking

11.

Housing Bubble and Government Regulation: Evidence from China

Narodowy Bank Polski Workshop: Recent Trends in the Real Estate Market and Its Analysis (2015 Edition) , NBP Working Paper No. 243, Volume 2
Number of pages: 63 Posted: 23 Sep 2016
Jerry Cao, Bihong Huang and Rose Neng Lai
Independent, University of Macau - Department of Finance and Business Economics and University of Macau
Downloads 104 (330,114)

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Home Purchase Restriction Policy, Housing Bubble, China, Difference In

12.

A Tale of Two Countries: Comparing the US and Chinese Housing Markets

Lai, Rose Neng and Robert A. Van Order. (2020). A Tale of Two Countries: Comparing the US and Chinese Bubbles Housing Markets, Journal of Real Estate Finance and Economics, 61(3), 505-547.
Number of pages: 47 Posted: 04 Aug 2018 Last Revised: 09 Feb 2021
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 77 (397,700)
Citation 1

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Chinese Housing Market, US Housing Market, Bubbles, Momentum, (Pooled) Mean Group Estimation

13.

The Performance of Non-Listed Opportunity Real Estate Funds in China

Swiss Finance Institute Research Paper No. 21-27
Number of pages: 27 Posted: 19 Mar 2021 Last Revised: 22 Mar 2021
Graeme Newell, Jufri Marzuki, Martin Hoesli and Rose Neng Lai
Western Sydney University - School of Economics and Finance, Western Sydney University, University of Geneva - Geneva School of Economics and Management (GSEM) and University of Macau
Downloads 76 (400,603)

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Non-listed real estate fund, opportunity real estate fund, China, risk-adjusted performance, real estate investment strategy

14.

U.S. House Prices Over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency

Downloads 73 (409,659)
Citation 4

U.S. House Prices Over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency

Number of pages: 48 Posted: 22 Nov 2014 Last Revised: 25 Mar 2015
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 72 (417,669)
Citation 1

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Housing Bubbles; Pooled Mean Group Estimation; Supply Elasticities

U.S. House Prices Over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency

Real Estate Economics, Vol. 45, Issue 2, pp. 259-300, 2017
Number of pages: 42 Posted: 19 Apr 2017
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 1 (849,271)
Citation 1
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15.

Retention Requirements and Incentives for Controlling Inefficient Risk-Taking -- Bridging Banking, Securitization and Capital Requirements

Number of pages: 15 Posted: 22 Nov 2014
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 71 (415,887)
Citation 1

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Financial Institutions, Contingent Convertible Bonds, Management Incentives, Risk-Taking, Dodd-Frank Act

16.

A Model of Securitization When Bank Optimism and Liquidity Matter

Number of pages: 53 Posted: 26 Nov 2016
Nicole Xu and Rose Neng Lai
The People's Bank of China (PBC) and University of Macau
Downloads 66 (432,365)

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Securitization, Information Asymmetry, Liquidity, Optimism, Financial Crisis, Tranching

17.

The Envelope Theorem and Identification: Implications for Some Empirical Work in Economics and Finance

Number of pages: 13 Posted: 22 Nov 2014 Last Revised: 10 Feb 2015
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 58 (460,876)

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Envelope Theorem; endogeneity; identification problem

18.

Are ‘Too Big To Fail’ Banks Just Different in Size? – A Study on Risk-Taking and Tail Risk

Number of pages: 54 Posted: 01 Dec 2021
Zongyuan Li and Rose Neng Lai
Dalian Maritime University and University of Macau
Downloads 47 (505,335)

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Risk-Taking, Tail Risk, Systemic Risk, Banking Regulation, Too-Big-to-Fail (TBTF) Banks

19.

Interbank Borrowing and Bank Liquidity Risk

Forthcoming, Journal of Financial Research
Number of pages: 63 Posted: 18 Nov 2021
Zongyuan Li and Rose Neng Lai
Dalian Maritime University and University of Macau
Downloads 34 (568,975)

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Interbank Market, Liquidity Risk, Liquidity Creation, Market Discipline

20.

Not All Bank Liquidity Creation Boosts Prices --- The Case of the US Housing Markets

International Real Estate Review, 24(1), 19-58
Number of pages: 45 Posted: 17 Mar 2021 Last Revised: 15 Oct 2021
Zongyuan Li and Rose Neng Lai
Dalian Maritime University and University of Macau
Downloads 31 (585,544)

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Bank Liquidity Creation, Housing Market, House Price Fundamental, Credit Supply, Funding Resources

21.

Optimism-Driven Decisions of Real Estate Developers Under Demand Uncertainty

Xu, Ruihui and Rose Neng Lai. (2018). Optimism-driven Decisions of Real Estate Developers Under Demand Uncertainty, Journal of Real Estate Research, 40(2), 267-308.
Number of pages: 53 Posted: 14 Aug 2018 Last Revised: 09 Feb 2021
Nicole Xu and Rose Neng Lai
The People's Bank of China (PBC) and University of Macau
Downloads 28 (603,735)

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Optimism, Demand Uncertainty, Heterogeneous Beliefs, Real Estate Developers

22.

Construction and Sale Decisions of Real Estate Developers Under Heterogeneous Beliefs

Number of pages: 54 Posted: 26 Nov 2016
Nicole Xu and Rose Neng Lai
The People's Bank of China (PBC) and University of Macau
Downloads 26 (616,553)

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Uncertainty, Heterogeneous Beliefs, Real Estate Developer, Optimism

23.

Research for the 'Exciting, Dynamic and Unique' Asian Markets: A Commentary on 'Future Research Opportunities for Asian Real Estate'

Lai, Rose Neng (2019). Research for the “Exciting, Dynamic and Unique” Asian Markets: A Commentary on “Future Research Opportunities for Asian Real Estate”, International Journal of Urban Sciences, 25:2, 291-295, DOI: 10.1080/12265934.2019.1625804.
Number of pages: 9 Posted: 16 Aug 2019 Last Revised: 12 Oct 2021
Rose Neng Lai
University of Macau
Downloads 10 (734,535)

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Asian real estate markets; big data; disruptive technologies; emerging markets

24.

Momentum and House Price Growth in the United States: Anatomy of a Bubble

Real Estate Economics, Vol. 38, No. 4, pp. 753-773, 2010
Number of pages: 21 Posted: 03 Jan 2011
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 2 (800,333)
Citation 2
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25.

Spillover and Profitability of Intraday Herding on Cross-listed Stocks

Lai, Rose Neng and Yang Zhang (2019). Spillover and Profitability of Intraday Herding on Cross-listed Stocks The Chinese Economy, Chinese Economy, forthcoming.
Number of pages: 53 Posted: 16 Aug 2019
Rose Neng Lai and Yang Zhang
University of Macau and University of Macau
Downloads 1 (812,133)

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Herding; Cross-listing; A-shares; H-shares; Chinese stock markets; Hong Kong stock market

26.

Herding and Positive Feedback Trading on Property Stocks

Journal of Property Investment & Finance, Vol. 26 Issue: 2, pp.110-131
Posted: 30 Mar 2018
Tingyu Zhou and Rose Neng Lai
Florida State University and University of Macau

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27.

Herding and Information Based Trading

Journal of Empirical Finance, Vol. 16, No. 3, 2009
Posted: 26 Mar 2018
Tingyu Zhou and Rose Neng Lai
Florida State University and University of Macau

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28.

Fintech Finance and Financial Fragility ― Focusing on China

Posted: 27 Nov 2017
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University

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Fintech, Shadow Banking, Contagion, Financial Fragility, Interconnectedness

29.

Securitization, Risk‐Taking and the Option to Change Strategy

Real Estate Economics, Vol. 42, Issue 2, pp. 343-362, 2014
Number of pages: 20 Posted: 20 May 2014
Rose Neng Lai and Robert A. Van Order
University of Macau and George Washington University
Downloads 0 (829,731)
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30.

Pricing Relocation–Redevelopment Projects for City Expansion: The Case in China

Real Estate Economics, Vol. 41, Issue 4, pp. 925-957, 2013
Number of pages: 33 Posted: 17 Dec 2013
Jiajin Chen and Rose Neng Lai
CUNY Baruch College and University of Macau
Downloads 0 (829,731)
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31.

Risk-Taking, Securitization and the Option to Change Strategy

Real Estate Economics, Forthcoming
Posted: 27 Nov 2012
Robert Van Order and Rose Neng Lai
University of Michigan - Stephen M. Ross School of Business and University of Macau

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Securitization, financial institutions, risk-taking

32.

Pricing Relocation-Redevelopment Projects for City Expansion - The Case in China

Real Estate Economics, Forthcoming
Posted: 16 May 2012
JiaJin Chen and Rose Neng Lai
affiliation not provided to SSRN and University of Macau

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sequential options, relocation, demolition, redevelopment, government policy

33.

Momentum and House Price Growth in the US: Anatomy of a Bubble

Real Estate Economics, Forthcoming
Posted: 23 Aug 2010 Last Revised: 30 Sep 2010
Rose Neng Lai and Robert Van Order
University of Macau and University of Michigan - Stephen M. Ross School of Business

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Price Bubble, House Prices, Regime Shift

34.

Stickiness of Rental Rates and Developers' Option Exercise Strategies

Journal of Real Estate Finance and Economics, Vol. 34, No. 1, 2007
Posted: 18 Aug 2006
Rose Neng Lai, Ko Wang and Jing Yang
University of Macau, City University of New York (CUNY) - Baruch College - Zicklin School of Business and California State University, Fullerton - Department of Finance

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sticky rents, overbuilding, real options