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

18

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1,976

SSRN CITATIONS

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CROSSREF CITATIONS

4

Scholarly Papers (18)

1.

Ex-ante Expectation Errors and the Asset Growth Effect

AFA 2013 San Diego Meetings Paper
Number of pages: 40 Posted: 20 Jan 2012 Last Revised: 22 Dec 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 660 (39,952)

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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 320 (96,357)
Citation 1

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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 281 (110,939)
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 348 (87,609)
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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 50 (406,501)
Citation 1

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Profitability premium, Macroeconomic risks, Expectation errors, Investor sentiment

4.

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 97 (278,529)

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

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 54 (392,423)

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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 14 (596,498)

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Market-to-book equity ratio, total asset growth, expectation errors, bankruptcy risk; gross profitability, 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 64 (355,452)

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

7.

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 48 (406,528)

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asset growth; corporate investments; stock returns

8.

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 14 (573,917)

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9.

Funding Decisions in Online Marketplace Lending

Number of pages: 29 Posted: 08 Jan 2020 Last Revised: 10 Jan 2020
Chris K.C. Ip and FY Eric Lam
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 10 (599,821)

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Financial Technology; Fintech Lending; LendingClub; P2P Lending; Peer-to-peer Lending; Shadow Banking

10.

The Performance of Passively-Managed Hedged ETFs

Number of pages: 34 Posted: 16 Jan 2020
Hong Kong Polytechnic University, Hong Kong Baptist University and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 7

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Expense Ratio; Fund Performance; Hedged Exchange-traded Funds; Tracking Error

11.

An Empirical Analysis of Factor Seasonalities

2017 Southern Finance Association Annual Meeting
Number of pages: 42 Posted: 31 Jan 2017 Last Revised: 17 Dec 2019
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
Downloads 5 (633,309)

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

12.

Interest Rate Differentials Under an Exchange Rate Convertibility Zone: A Carry Trade Perspective

HKIMR Working Paper 16/2019
Number of pages: 29 Posted: 02 Jan 2020
Joseph K. W. Fung and FY Eric Lam
Hong Kong Baptist University and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 4 (640,331)

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Asymmetric Interest Rates, Exchange Rate Loss, Robust Inference, Linked Exchange Rate System, Convertibility Undertaking, Market Efficiency

13.

Toward Understanding Short-Selling Activity: Demand and Supply

Accounting and Finance, Forthcoming
Posted: 19 Jan 2019
City University of Macau, 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

14.

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

15.

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

International Review of Economics and Finance 64 (2019) 513-528
Posted: 16 Mar 2013 Last Revised: 28 Dec 2019
Deakin University - Department of Finance, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), National Sun Yat-sen University, Tongji University and Hong Kong Polytechnic University

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

16.

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

17.

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

18.

Summer Vacation and Cross-Sectional Stock Returns

2015 Paris Financial Management Conference
Ya LI, FY Eric Lam and Gordon Y. N. Tang
The Open University of Hong Kong, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Baptist University

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Book-to-market equity ratio; Cross sectional stock returns; Gross profitability; Halloween effect, Market value of equity; Sell in May and go away, Summer vacation, Total asset growth