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

14

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Top 23,480

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17

CROSSREF CITATIONS

25

Scholarly Papers (14)

1.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Number of pages: 87 Posted: 18 Sep 2019 Last Revised: 22 Apr 2021
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 1,702 (12,375)
Citation 11

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

2.

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 1,481 (15,441)
Citation 14

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Momentum, Liquidity

3.

Mutual Funds and Mispriced Stocks

Management Science, Vol. 66, No. 6, 2020
Number of pages: 53 Posted: 18 May 2015 Last Revised: 09 Feb 2021
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 851 (34,801)
Citation 2

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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, Vol. 9, No. 2, 2019
Number of pages: 90 Posted: 26 Feb 2013 Last Revised: 23 Feb 2021
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 726 (42,621)
Citation 2

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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 (814,557)
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banks, Distress, ETFs, shadow banking, Subsidization

5.

Private Company Valuations by Mutual Funds

Number of pages: 51 Posted: 08 Nov 2017 Last Revised: 20 Feb 2021
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 702 (45,194)
Citation 1

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Mutual funds, Venture capital, Private valuation, Stale prices, Financial fragility

6.

Sustainable Investing with ESG Rating Uncertainty

Number of pages: 65 Posted: 14 Oct 2020 Last Revised: 28 Jul 2021
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, EDHEC Business School and Scientific Beta Research Chair and Catholic University of Milan
Downloads 565 (59,863)
Citation 1

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ESG, Rating Uncertainty, Portfolio Choice, Capital Asset Pricing Model

7.

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 520 (66,377)
Citation 9

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monthly reversals, market efficiency, liquidity

8.

What Should Investors Care About? Mutual Fund Ratings by Analysts vs. Machine Learning Technique

ADB-IGF Special Working Paper Series “Fintech to Enable Development, Investment, Financial Inclusion, and Sustainability”
Number of pages: 72 Posted: 01 Oct 2020 Last Revised: 28 Jul 2021
Si Cheng, Ruichang Lu and Xiaojun Zhang
Chinese University of Hong Kong - Department of Finance, Department of Finance, Guanghua School of Management, Peking University and Peking University
Downloads 284 (132,710)
Citation 1

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Analyst Rating, Quantitative Rating, Mutual Funds, Information Provision, Fund Flows, Machine Learning

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 200 (186,630)
Citation 2

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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.

10.

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

PBCSF-NIFR Research Paper
Number of pages: 97 Posted: 25 Apr 2018 Last Revised: 29 Oct 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 93 (337,715)

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

11.

Investor Heterogeneity and Liquidity

Number of pages: 65 Posted: 10 Feb 2017 Last Revised: 13 Feb 2021
CUHK Business School, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 71 (395,962)

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

Tax Evasion and Managerial Incentives: Evidence from the FATCA and Offshore Mutual Funds

PBCSF-NIFR Research Paper
Number of pages: 67 Posted: 31 Aug 2020 Last Revised: 28 Jun 2021
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 65 (420,348)

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tax evasion; FATCA; mutual funds; managerial incentives; market efficiency

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

CEPR Discussion Paper No. DP15747
Number of pages: 46 Posted: 11 Feb 2021
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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Financial Globalization vs. Income Inequality: The Surprising Role of Delegated Portfolio Flows in Taming the Top 1%

PBCSF-NIFR Research Paper
Number of pages: 61 Posted: 31 Aug 2020 Last Revised: 02 Aug 2021
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 47 (490,409)

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

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

CEPR Discussion Paper No. DP15745
Number of pages: 54 Posted: 11 Feb 2021
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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14.

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

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Momentum, anomaly