Si Cheng

Chinese University of Hong Kong - Department of Finance

Assistant Professor of Finance

12/F, Cheng Yu Tung Building

No.12, Chak Cheung Street

Shatin, N.T.

Hong Kong

http://www.bschool.cuhk.edu.hk/staff/cheng-si/

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 10,132

SSRN RANKINGS

Top 10,132

in Total Papers Downloads

5,089

SSRN CITATIONS
Rank 31,715

SSRN RANKINGS

Top 31,715

in Total Papers Citations

9

CROSSREF CITATIONS

15

Scholarly Papers (12)

1.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis, Vol. 51, No. 6, 2016
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 12 Sep 2019
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,401 (14,667)
Citation 8

Abstract:

Loading...

Momentum, Liquidity

2.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Number of pages: 79 Posted: 18 Sep 2019 Last Revised: 20 Aug 2020
Doron Avramov, Si Cheng and Lior Metzker
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and Hebrew University of Jerusalem
Downloads 843 (31,210)
Citation 5

Abstract:

Loading...

Machine Learning, Return Prediction, Neural Networks, Financial Distress, Fintech

3.

Mutual Funds and Mispriced Stocks

Management Science, Forthcoming
Number of pages: 53 Posted: 18 May 2015 Last Revised: 12 Sep 2019
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 792 (33,818)
Citation 2

Abstract:

Loading...

Mutual funds; Managerial Skills; Mispricing

The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs

The Review of Asset Pricing Studies, Forthcoming
Number of pages: 90 Posted: 26 Feb 2013 Last Revised: 12 Dec 2018
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 686 (40,559)
Citation 2

Abstract:

Loading...

ETFs, Subsidization, Banks, Shadow Banking, Distress

The Unexpected Activeness of Passive Investors: A World-Wide Analysis of ETFs

CEPR Discussion Paper No. DP11988
Number of pages: 53 Posted: 25 Apr 2017
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 1 (748,943)
  • Add to Cart

Abstract:

Loading...

banks, Distress, ETFs, shadow banking, Subsidization

5.

Private Company Valuations by Mutual Funds

Number of pages: 57 Posted: 08 Nov 2017 Last Revised: 05 Sep 2019
Georgia State University, University of California, Davis, Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance and University of California, Davis - Graduate School of Management
Downloads 548 (55,111)

Abstract:

Loading...

Mutual funds, Venture capital, Entrepreneurial firm, Private valuation, Stale prices

6.

Short-Term Reversals: The Effects of Institutional Exits and Past Returns

Journal of Financial and Quantitative Analysis (JFQA), 2016
Number of pages: 56 Posted: 03 Feb 2014 Last Revised: 02 Jun 2015
Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 499 (62,015)
Citation 8

Abstract:

Loading...

monthly reversals, market efficiency, liquidity

Short-Sale Constraints and the Pricing of Managerial Skills

INSEAD Working Paper No. 2012/92/FIN
Number of pages: 65 Posted: 07 Aug 2012 Last Revised: 14 Aug 2015
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 189 (176,608)
Citation 1

Abstract:

Loading...

Managerial skills, mutual funds, short-sale constraint

Short-Sale Constraints and the Pricing of Managerial Skills

CEPR Discussion Paper No. DP10447
Number of pages: 51 Posted: 02 Mar 2015
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 0
  • Add to Cart

Abstract:

Loading...

Managerial skills, mutual funds, short-sale constraint.

8.

Catering Through Globalization: Cross-border Expansion and Misallocation in the Global Mutual Fund Industry

Number of pages: 97 Posted: 25 Apr 2018 Last Revised: 22 Aug 2019
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 74 (350,901)

Abstract:

Loading...

Globalization, Cross-Border Capital Flows, Mutual Funds, Skills, Market Efficiency

9.

Investor Heterogeneity and Liquidity

Number of pages: 64 Posted: 10 Feb 2017 Last Revised: 04 May 2020
CUHK Business School, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 33 (497,725)

Abstract:

Loading...

Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

10.

Tax Evasion and Market Efficiency: Evidence from the FATCA and Offshore Mutual Funds

Number of pages: 42 Posted: 31 Aug 2020
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 16 (598,740)

Abstract:

Loading...

tax evasion, FATCA, mutual funds, skills, market efficiency

11.

Financial Globalization vs. Income Inequality: The Surprising Role of Delegated Portfolio Flows in Taming the Top 1%

Number of pages: 62 Posted: 31 Aug 2020
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 7 (662,136)

Abstract:

Loading...

Financial Globalization, Income Inequality, Delegated Portfolio Management, Mutual Funds

12.

Scaling Up Market Anomalies

Journal of Investing, Forthcoming, https://doi.org/10.3905/joi.2017.26.3.089
Posted: 21 May 2019
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and AlphaBeta

Abstract:

Loading...

Momentum, anomaly