FY Eric Lam

Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)

55/F, Two International Finance Centre,

8 Finance Street, Central

Hong Kong

China

SCHOLARLY PAPERS

14

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2,133

CITATIONS

2

Scholarly Papers (14)

1.

Ex-ante Expection Errors and the Asset Growth Effect

AFA 2013 San Diego Meetings Paper
Number of pages: 40 Posted: 20 Jan 2012 Last Revised: 11 Jan 2019
FY Eric Lam and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University
Downloads 658 (38,244)

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total asset growth; capital investment; corporate profitability; stock returns

The Role of Limits to Arbitrage and the Asset Growth Anomaly

Number of pages: 61 Posted: 17 Mar 2009 Last Revised: 11 Jan 2019
FY Eric Lam and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University
Downloads 313 (94,502)

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Asset growth, Capital investment, Cross-section of stock returns, Limits to arbitrage

The Asset Growth Anomaly and the Role of Limits to Arbitrage

Number of pages: 49 Posted: 11 Feb 2009 Last Revised: 17 Sep 2017
FY Eric Lam and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University
Downloads 277 (107,883)
Citation 1

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Asset growth, Capital investment, Limits to arbitrage

The Profitability Premium: Macroeconomic Risks or Expectation Errors?

Number of pages: 53 Posted: 12 Aug 2014 Last Revised: 14 Mar 2016
FY Eric Lam, Shujing Wang and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Tongji University and Hong Kong Polytechnic University
Downloads 330 (89,064)
Citation 3

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Profitability premium, Macroeconomic Risks, Expectation errors, Investor sentiment

The Profitability Premium: Macroeconomic Risks or Expectation Errors?

Number of pages: 53 Posted: 03 Feb 2016
FY Eric Lam, Shujing Wang and K. C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Tongji University and Hong Kong University of Science & Technology (HKUST)
Downloads 40 (427,734)

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Profitability premium, Macroeconomic risks, Expectation errors, Investor sentiment

4.

What is the Real Relation between Cash Holdings and Stock Returns?

26th Australasian Finance and Banking Conference 2013
Number of pages: 39 Posted: 16 Mar 2013 Last Revised: 24 Sep 2016
FY Eric Lam, Tai Ma, Shujing Wang and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), National Sun Yat-sen University, Tongji University and Hong Kong Polytechnic University
Downloads 254 (118,741)

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Cash holdings; Accruals; Profitability; Net operating assets; Limits to arbitrage

5.

Understanding the Firm-Productivity Effect in Stock Returns

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 67 Posted: 20 Jan 2017 Last Revised: 30 Jan 2018
Deakin University - Department of Finance, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University
Downloads 89 (282,209)

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Firm-level productivity; Mispricing; Investor sentiment; Extrapolation; Limits to arbitrage

6.

Dissecting Arbitrage Costs

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 65 Posted: 24 Sep 2016 Last Revised: 20 Mar 2017
FY Eric Lam, Chishen Wei and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University
Downloads 61 (349,265)

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Arbitrage costs; arbitrage risk; information uncertainty; transaction costs; mispricing

Is the Growth-Value Anomaly Related to the Asset Growth Anomaly?

Number of pages: 42 Posted: 24 Sep 2016 Last Revised: 31 Oct 2016
Hung Wan Kot and FY Eric Lam
University of Macau - Department of Finance and Business Economics and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 44 (411,857)

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Market-to-book equity ratio, total asset growth, expectation errors, bankruptcy risk, gross profitability, limits to arbitrage

Is the Growth-Value Anomaly Related to the Asset Growth Anomaly?

Number of pages: 42 Posted: 30 Jan 2017
Hung Wan Kot and FY Eric Lam
University of Macau - Department of Finance and Business Economics and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 10 (598,311)

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Market-to-book equity ratio, total asset growth, expectation errors, bankruptcy risk; gross profitability, limits to arbitrage

8.

How Pervasive and Investable is the Asset Growth Anomaly?

Number of pages: 41 Posted: 28 Sep 2017
Hung Wan Kot, FY Eric Lam and K.C. John Wei
University of Macau - Department of Finance and Business Economics, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University
Downloads 45 (400,537)

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asset growth; corporate investments; stock returns

9.

External Financing, Access to Debt Markets, and Stock Returns

Number of pages: 52 Posted: 15 Jan 2010 Last Revised: 09 Jan 2019
K.C. John Wei and FY Eric Lam
Hong Kong Polytechnic University and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 12 (561,932)

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10.

Toward Understanding Short-Selling Activity: Demand and Supply

Accounting and Finance, Forthcoming
Posted: 19 Jan 2019
Flinders University, University of Macau - Department of Finance and Business Economics, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong University of Science & Technology (HKUST) - Department of Finance

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Short selling; Demand and supply; Institutional ownership; Borrowing cost

11.

Do Return Seasonalities Originate from Factor Seasonalities? An Empirical Analysis

Posted: 31 Jan 2017 Last Revised: 23 Sep 2018
FY Eric Lam, Ya LI, Gordon Y. N. Tang and Jing Xu
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Open University of Hong Kong, Hong Kong Baptist University and Renmin University of China - School of Finance

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Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect

12.

Limits-to-arbitrage, Investment Frictions, and the Investment Effect: New Evidence

European Financial Management, Forthcoming
Posted: 14 Mar 2016 Last Revised: 10 Mar 2019
FY Eric Lam, Ya LI, Wikrom Prombutr and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Open University of Hong Kong, California State University, Long Beach and Hong Kong Polytechnic University

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Limits-to-arbitrage; Investment frictions; q-theory; Investment; Stock returns

13.

Limits-to-Arbitrage, Investment Frictions, and the Asset Growth Anomaly

Journal of Financial Economics 102 (2011) 127-149
Posted: 10 Apr 2011 Last Revised: 11 Jan 2019
FY Eric Lam and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University

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Asset growth, Capital investment, Stock returns, Investment frictions, Limits-to-arbitrage

14.

The Q-theory Explanation for the External Financing Effect: New Evidence

Journal of Banking & Finance 49 (2014) 69-81
Posted: 17 Mar 2009 Last Revised: 09 Mar 2016
Yuan Huang, FY Eric Lam and K.C. John Wei
Hong Kong Polytechnic University - School of Accounting and Finance, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Polytechnic University

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Cross-section of stock returns, External financing, Total profitability, q-theory of investment, R&D, Total asset growth