Dennis Y. Chung

Simon Fraser University

8888 University Drive

Burnaby, British Columbia V5A 1S6

Canada

  • Simon Fraser University

SCHOLARLY PAPERS

21

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1,551

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24

Scholarly Papers (21)

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1.

Commonality in Liquidity: A Global Perspective

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 27 Feb 2007 Last Revised: 29 Sep 2008
Paul Brockman, Dennis Y. Chung and Christophe Pérignon
Lehigh University - College of Business, Simon Fraser University and HEC Paris - Finance Department
Downloads 626 (86,386)
Citation 13

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Liquidity, Commonality, Bid-Ask Spreads, Depths

2.

Repurchasing Shares on a Second Trading Line

FAME Working Paper No. 162
Number of pages: 42 Posted: 04 Jan 2006 Last Revised: 14 Mar 2013
Christophe Pérignon, Dennis Y. Chung and Dušan Isakov
HEC Paris - Finance Department, Simon Fraser University and University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences
Downloads 478 (120,721)
Citation 3

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Share Repurchases, Disclosure Environment, Information Asymmetry, Liquidity

3.

Block Ownership, Trading Activity, and Market Liquidity

Number of pages: 40 Posted: 08 Apr 2008
Paul Brockman, Dennis Y. Chung and Xuemin Sterling Yan
Lehigh University - College of Business, Simon Fraser University and Lehigh University - College of Business
Downloads 368 (163,292)
Citation 6

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Block ownership, liquidity; bid-ask spreads, depths, adverse selection

4.

Search-Based Peer Groups and Commonality in Liquidity

Paul Brockman, Dennis Y Chung, Neal M Snow, Search-Based Peer Groups and Commonality in Liquidity, Review of Finance, Volume 27, Issue 1, February 2023, Pages 33–77, https://doi.org/10.1093/rof/rfab033
Number of pages: 60 Posted: 15 Dec 2021 Last Revised: 17 Jan 2023
Paul Brockman, Dennis Y. Chung and Neal M. Snow
Lehigh University - College of Business, Simon Fraser University and Independent Researcher
Downloads 79 (613,909)
Citation 1

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Peer firm, EDGAR, liquidity

5.

Disclosure Quantity and the Efficiency of Price Discovery: Evidence from the Toronto Stock Exchange

Review of Accounting and Finance, Vol. 15, No. 2, pp. 122-143, 2016
Posted: 09 Nov 2016
Dennis Y. Chung, Karel Hrazdil, Nattavut Suwanyangyuan and Nattavut Suwanyangyuan
Simon Fraser University, Simon Fraser University and Simon Fraser University (SFU)Brock University

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Market Efficiency, Disclosure Quantity, TSX

6.

On the Efficiency of Intra-Industry Information Transfers: The Dilution of the Overreaction Anomaly

Journal of Banking and Finance, Vol. 60, pp. 153-167, November 2015
Posted: 09 Nov 2016
Dennis Y. Chung, Karel Hrazdil and Kim Trottier
Simon Fraser University, Simon Fraser University and Simon Fraser University

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Information Transfers, Market Efficiency, Overreaction Anomaly

7.

Industry Classification and the Efficiency of Intra-Industry Information Transfers

American Journal of Business, Vol. 29, No. 1, pp. 95-111, 2014
Posted: 09 Nov 2016
Dennis Y. Chung, Karel Hrazdil and Kim Trottier
Simon Fraser University, Simon Fraser University and Simon Fraser University

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GICS, Industry Classification, Information Transfers, Market Efficiency

8.

The Impact of Trading Floor Closure on Market Efficiency: Evidence from the Toronto Stock Exchange

Applied Economics, Vol. 47, No. 56, 6102-6119, 2015
Posted: 20 Jul 2013 Last Revised: 02 Oct 2020
Karel Hrazdil and Dennis Y. Chung
Simon Fraser University and Simon Fraser University

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Electronic trading, floor closure, Market efficiency, TSX

9.

Ownership Structure and Trading Volume Reaction to Earnings Announcements: Evidence from Japan

Pacific-Basin Finance Journal, Volume 6, Issues 1–2, May 1998, Pages 45–60, University of Alberta School of Business Research Paper No. 2013-1057
Posted: 02 Jul 2013
Dennis Y. Chung and Jason Lee
Simon Fraser University and University of Alberta

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Earnings announcements, Keiretsu, Foreign investors, Trading volume

10.

Speed of Convergence to Market Efficiency in the ETFs Market

Managerial Finance, Vol. 39, No. 5, pp. 457-475, 2013
Posted: 30 Mar 2012 Last Revised: 21 Apr 2013
Karel Hrazdil and Dennis Y. Chung
Simon Fraser University and Simon Fraser University

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ETFs, Price formation, Speed, Market efficiency, Liquidity, NYSE Arca

11.

Speed of Convergence to Market Efficiency: The Role of ECNs

Journal of Empirical Finance, Vol. 19, No. 5, pp. 702-720, 2012
Posted: 11 Feb 2011 Last Revised: 29 Sep 2012
Karel Hrazdil and Dennis Y. Chung
Simon Fraser University and Simon Fraser University

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ECN, Speed, Market efficiency, NYSE, Arca

12.

Liquidity and Market Efficiency: Analysis of NASDAQ Firms

Global Finance Journal, Vol. 21, No. 3, pp. 262-274, 2010
Posted: 16 Jan 2009 Last Revised: 14 Dec 2010
Dennis Y. Chung and Karel Hrazdil
Simon Fraser University and Simon Fraser University

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Liquidity, return predictability, market efficiency, NASDAQ

13.

Liquidity and Market Efficiency: A Large Sample Study

Journal of Banking and Finance, Vol. 34, No. 10, pp. 2346-2357, 2010
Posted: 30 Sep 2008 Last Revised: 27 Oct 2010
Dennis Y. Chung and Karel Hrazdil
Simon Fraser University and Simon Fraser University

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Liquidity, return predictability, market efficiency, NYSE

14.

Market Efficiency and the Post-Earnings Announcement Drift

Contemporary Accounting Research, Vol. 28, No. 3, pp. 926-956, 2011
Posted: 03 Sep 2008 Last Revised: 28 Sep 2011
Dennis Y. Chung and Karel Hrazdil
Simon Fraser University and Simon Fraser University

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Market efficiency, Post-earnings announcement drift, Return predictability, Anomaly

15.

Investor Protection and Firm Liquidity

Posted: 10 Apr 2002
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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16.

Commonality in Liquidity: Evidence from an Order-Driven Market Structure

Posted: 14 Nov 2001
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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17.

Managerial Timing and Corporate Liquidity: Evidence from Actual Share Repurchases

Posted: 02 Dec 2000
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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18.

An Empirical Investigation of Trading on Asymmetric Information and Heterogeneous Prior Beliefs

Journal of Empirical Finance
Posted: 19 Oct 2000
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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19.

Informed and Uninformed Trading in an Electronic, Order-Driven Environment

Posted: 19 Oct 2000
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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20.

An Analysis of Depth Behavior in an Electronic, Order-Driven Environment

Journal of Banking and Finance
Posted: 21 Jun 1999
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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21.

Bid-Ask Spread Components in an Order-Driven Environment

Posted: 09 Feb 1999
Paul Brockman and Dennis Y. Chung
Lehigh University - College of Business and Simon Fraser University

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