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

6

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Scholarly Papers (6)

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,141 (14,400)

Abstract:

Momentum, Liquidity

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

INSEAD Working Paper No. 2013/39/FIN
Number of pages: 63 Posted: 26 Feb 2013 Last Revised: 06 Apr 2016
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 527 (42,445)

Abstract:

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 (583,418)
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Abstract:

banks, Distress, ETFs, shadow banking, Subsidization

3.

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 206 (61,699)

Abstract:

monthly reversals, market efficiency, liquidity

4.

Mutual Funds and Mispriced Stocks

Number of pages: 66 Posted: 18 May 2015 Last Revised: 19 Aug 2016
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 166 (47,605)

Abstract:

Overpricing, mutual funds, managerial skill, sentiment, fund flows

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 166 (152,153)

Abstract:

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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Abstract:

Managerial skills, mutual funds, short-sale constraint.

6.

Scaling Up Market Anomalies

Journal of Investing, Forthcoming
Number of pages: 31 Posted: 31 Dec 2015 Last Revised: 07 Jun 2016
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and AlphaBeta
Downloads 0 (33,163)

Abstract:

Momentum, anomaly