David S. Sun

Kainan University

Professor

No. 1, Kāinán Rd

Taoyuan, Taiwan

Taiwan

  • Kainan University

SCHOLARLY PAPERS

13

DOWNLOADS

444

TOTAL CITATIONS

0

Scholarly Papers (13)

Actions:
Email selected abstracts
1.

Searching Out of Trading Noise: A Study of Intraday Transactions Cost

Number of pages: 26 Posted: 27 Mar 2011
William T. LIn, David S. Sun and Shih-Chuan Tsai
Tamkang University - Banking & Finance, Kainan University and National Taiwan Normal University
Downloads 101 (542,736)

Abstract:

Loading...

Noise, transaction cost, herding, search model, order book

2.

Does Trading Remove or Bring Frictions?

Emerging Markets Finance and Trade, Volume 48, Supplement 4, 33 - 53
Number of pages: 26 Posted: 12 Mar 2012 Last Revised: 03 Dec 2013
William T. LIn, David S. Sun and Shih-Chuan Tsai
Tamkang University - Banking & Finance, Kainan University and National Taiwan Normal University
Downloads 100 (546,502)

Abstract:

Loading...

noise, transaction cost, herding, search model, order book

3.

Price Informativeness and Predictability: How Liquidity Can Help

Applied Economics, Vol. 43(17), 2199-2217.
Number of pages: 33 Posted: 23 Jan 2010 Last Revised: 01 Jun 2012
William T. LIn, Shih-Chuan Tsai and David S. Sun
Tamkang University - Banking & Finance, National Taiwan Normal University and Kainan University
Downloads 95 (565,171)

Abstract:

Loading...

Liquidity; Trading Concentration, Information Asymmetry, Information Transmission, Yield Curve Fitting

4.

Diversification with Idiosyncratic Credit Spreads: A Pooled Estimation on Heterogeneous Panels

Taiwan Banking and Finance Quarterly, Vol. 8, No. 2, 2007
Number of pages: 26 Posted: 23 Jan 2010
William T. LIn and David S. Sun
Tamkang University - Banking & Finance and Kainan University
Downloads 79 (630,959)

Abstract:

Loading...

bond pricing, credit spread, diversifiable risk, cointegration, heterogeneous panels, pooled

5.

Search Costs and Investor Trading Activity: Evidences from Limit Order Book

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 23 Posted: 12 Mar 2012 Last Revised: 26 Apr 2013
William T. LIn, Shih-Chuan Tsai and David S. Sun
Tamkang University - Banking & Finance, National Taiwan Normal University and Kainan University
Downloads 69 (678,059)

Abstract:

Loading...

Liquidity, search model, limit order book, market depth, execution cost

6.

Forgive, or Award Your Debtor? A Barrier Option Approach

Journal of Derivatives, Vol. 26, No. 1, 67-95
Posted: 25 Oct 2018
David S. Sun and Chun-Da Chen
Kainan University and Lamar University

Abstract:

Loading...

Debt Forgiveness, Default Threshold, Default Risks, Sovereign Debt, Government Bonds, Fixed Income, Barrier Option, Kalman Filter

7.

Indebted We Stand - Examining Debt Restructuring in a Currency Union

Sun Yat-Sen Management Review, Vol. 24, No. 2, 323-356
Posted: 03 Mar 2017 Last Revised: 07 Oct 2018
David S. Sun
Kainan University

Abstract:

Loading...

Markov Chain Monte Carlo, Bayesian Model, European Monetary Union, Sovereign Debt Crisis, Debt Restructuring

8.

Diversifying Risks in Bond Portfolios: A Cross-Border Approach

Journal of Fixed Income, Vol. 26, No. 1, 2016
Posted: 05 Mar 2013 Last Revised: 03 Mar 2017
David S. Sun and Shih-Chuan Tsai
Kainan University and National Taiwan Normal University

Abstract:

Loading...

bond pricing, credit spread, diversifiable risk, cointegration, heterogeneous panels, pooled mean group estimation

9.

Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach

Emerging Markets Finance and Trade, Vol. 49, No. Supp. 3, 2013
Posted: 12 Mar 2012 Last Revised: 03 Dec 2013
David S. Sun, Shih-Chuan Tsai and Wei Wang
Kainan University, National Taiwan Normal University and Jhe Jiang University - School of Economics

Abstract:

Loading...

Momentum Strategy, Statistical Arbitrage, Market State, Disposition Effect

10.

Are Credit Spreads Too Low or Too High - A Hybrid Barrier Option Approach for Financial Distress

Journal of Futures Markets, Vol. 29, No. 12, pp. 1161-1189, 2009
Posted: 25 Jan 2010
William T. LIn and David S. Sun
Tamkang University - Banking & Finance and Kainan University

Abstract:

Loading...

Asymmetric threshold cointegration, barrier option, credit risk, diversifiable risk

11.

Long Run Credit Risk Diversification: Empirical Decomposition of Corporate Bond

Review of Securities and Futures Markets, Vol. 20, No. 2, 2008
Posted: 23 Jan 2010 Last Revised: 27 Jan 2010
David S. Sun, William T. LIn and Chien Chung Nieh
Kainan University, Tamkang University - Banking & Finance and Tamkang University

Abstract:

Loading...

bond pricing, cointegration, credit risk, credit spread, diversifiable risk

12.

What Causes Herding: Information Cascade or Search Cost?

Posted: 23 Jan 2010 Last Revised: 03 Dec 2013
William T. LIn, Shih-Chuan Tsai and David S. Sun
Tamkang University - Banking & Finance, National Taiwan Normal University and Kainan University

Abstract:

Loading...

Herding, information cascade, search model, order book

13.

Liquidity-Adjusted Benchmark Yield Curve: A Look at Trading Concentration and Information

Review of Pacific Basin Financial Markets and Policies (RPBFMP), Vol. 10, No. 4, 2007
Posted: 23 Jan 2010
William T. LIn and David S. Sun
Tamkang University - Banking & Finance and Kainan University

Abstract:

Loading...

Liquidity; trading concentration; information discovery; term structure;yield curve.