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/index.php/faculty-staff/show-alltest?pid=496&sid=3939:Cheng-Si

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 23 Mar 2015
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,301 (14,166)

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Momentum, Liquidity

2.

Scaling Up Market Anomalies

Journal of Investing, Forthcoming
Number of pages: 31 Posted: 31 Dec 2015 Last Revised: 07 Jun 2016
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and AlphaBeta
Downloads 800 (29,073)

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Momentum, anomaly

3.

Mutual Funds and Mispriced Stocks

Number of pages: 53 Posted: 18 May 2015 Last Revised: 27 Jan 2019
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 655 (38,225)

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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 618 (40,613)

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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 (664,626)
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banks, Distress, ETFs, shadow banking, Subsidization

5.

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 478 (57,266)

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monthly reversals, market efficiency, liquidity

6.

Private Company Valuations by Mutual Funds

Number of pages: 55 Posted: 08 Nov 2017 Last Revised: 14 May 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 274 (108,659)

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

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 182 (161,938)

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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
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Managerial skills, mutual funds, short-sale constraint.

8.

Does Financial Globalization Propagate Managerial Skills? Lessons from the Mutual Fund Industry

Number of pages: 81 Posted: 25 Apr 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 48 (386,335)

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