David T. Ng

Cornell University

Associate Professor

Ithaca, NY 14853

United States

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 2,040

SSRN RANKINGS

Top 2,040

in Total Papers Downloads

12,833

CITATIONS
Rank 2,513

SSRN RANKINGS

Top 2,513

in Total Papers Citations

222

Scholarly Papers (22)

1.

Behavioral Biases of Mutual Fund Investors

Journal of Financial Economics (JFE), Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 69 Posted: 20 Mar 2008 Last Revised: 19 Jul 2010
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - School of Business Administration and Cornell University
Downloads 1,841 (5,119)
Citation 19

Abstract:

Individual investors, behavioral biases, disposition effect, narrow framing, mutual fund investments

Testing International Asset Pricing Models Using Implied Costs of Capital

Number of pages: 44 Posted: 17 Mar 2004
Stanford University - Graduate School of Business, Cornell University and LSV Asset Management
Downloads 911 (18,324)
Citation 39

Abstract:

Testing International Asset Pricing Models Using Implied Costs of Capital

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 43 Posted: 16 Jan 2008
Stanford University - Graduate School of Business, Cornell University and LSV Asset Management
Downloads 309 (75,631)
Citation 23

Abstract:

international asset pricing, implied cost of capital, noise

3.

Uncovering Country Risk in Emerging Market Bond Prices

International Finance Working Paper No. 639
Number of pages: 37 Posted: 03 Aug 2000
Erik Durbin and David T. Ng
affiliation not provided to SSRN and Cornell University
Downloads 1,151 (12,741)
Citation 7

Abstract:

Credit Rating, Sovereign Ceiling, Default Risk, Emerging Market, Corporate Bond

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 61 Posted: 16 Mar 2010 Last Revised: 10 Mar 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 384 (58,654)
Citation 3

Abstract:

Institutional ownership, asset management, portfolio diversification, international finance, co-movement

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies (Forthcoming)
Number of pages: 83 Posted: 20 Dec 2014 Last Revised: 22 Jan 2015
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance, Cornell University and Cornell University
Downloads 170 (139,484)
Citation 3

Abstract:

Institutional ownership, asset management, portfolio diversification, international finance, comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 61 Posted: 15 Mar 2012 Last Revised: 10 Mar 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 144 (161,277)
Citation 3

Abstract:

Institutional ownership, asset management, portfolio diversification, international finance, co movement

How Important are Foreign Ownership Linkages for International Stock Returns?

HKIMR Working Paper No.12/2012
Number of pages: 61 Posted: 31 May 2012 Last Revised: 10 Mar 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 99 (214,639)
Citation 3

Abstract:

Institutional Ownership, Asset Management, Portfolio Diversification, International Finance, Comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 61 Posted: 11 Jan 2012 Last Revised: 10 Mar 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 81 (244,844)
Citation 3

Abstract:

Institutional ownership, asset management, portfolio diversification, international finance, comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 57 (298,054)
Citation 3

Abstract:

institutional ownership, asset management, portfolio diversification, international finance, comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 78 Posted: 06 Apr 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance, Cornell University and Cornell University
Downloads 55 (303,324)
Citation 3

Abstract:

Institutional ownership, asset management, portfolio diversification, international finance, comovement

5.

The International CAPM when Expected Returns are Time Varying

Number of pages: 62 Posted: 30 Jan 2001
David T. Ng
Cornell University
Downloads 902 (18,773)
Citation 15

Abstract:

6.

Predicting Market Returns Using Aggregate Implied Cost of Capital

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 21 Apr 2014
Yan Li, David T. Ng and Bhaskaran Swaminathan
Temple University - Department of Finance, Cornell University and LSV Asset Management
Downloads 801 (17,005)
Citation 2

Abstract:

Implied Cost of Capital, Market Predictability, Valuation Ratios

7.

International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital

14th Annual Conference on Financial Economics and Accounting (FEA)
Number of pages: 48 Posted: 15 Jan 2004
Stanford University - Graduate School of Business, Cornell University and LSV Asset Management
Downloads 734 (23,998)
Citation 31

Abstract:

Corruption and International Valuation: Does Virtue Pay?

Number of pages: 33 Posted: 03 Oct 2006
Charles M.C. Lee and David T. Ng
Stanford University - Graduate School of Business and Cornell University
Downloads 475 (45,232)
Citation 16

Abstract:

Corruption, International Valuation

Corruption and International Valuation: Does Virtue Pay?

Johnson School Research Paper No. 41-06
Number of pages: 34 Posted: 20 Nov 2006
Charles M.C. Lee and David T. Ng
Stanford University - Graduate School of Business and Cornell University
Downloads 225 (106,564)
Citation 16

Abstract:

Capital Market Governance: How Do Security Laws Affect Market Performance?

Number of pages: 53 Posted: 21 Apr 2005
Hazem Daouk, Charles M.C. Lee and David T. Ng
Cornell University - School of Applied Economics and Management, Stanford University - Graduate School of Business and Cornell University
Downloads 686 (27,644)
Citation 29

Abstract:

capital market governance, insider trading, earnings opacity, market performance

Capital Market Governance: How do Security Laws Affect Market Performance?

Journal of Corporate Finance, Vol. 12, No. 12, pp. 560-593, June 2006
Posted: 04 Aug 2006
Hazem Daouk, Charles M.C. Lee and David T. Ng
Cornell University - School of Applied Economics and Management, Stanford University - Graduate School of Business and Cornell University

Abstract:

capital market governance, insider trading, earnings opacity, short-selling constraints, market performance

10.

Foreign Investments of U'S' Individual Investors: Causes and Consequences

AFA 2007 Chicago Meetings Paper
Number of pages: 33 Posted: 03 Jan 2005
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - School of Business Administration and Cornell University
Downloads 669 (28,253)
Citation 20

Abstract:

Individual investors, diversification, home bias, local bias, over-confidence

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Johnson School Research Paper Series No. 15-2013
Number of pages: 58 Posted: 12 Feb 2013 Last Revised: 04 May 2016
George Gao, Pamela C. Moulton and David T. Ng
T. Rowe Price, Cornell University and Cornell University
Downloads 481 (44,352)

Abstract:

Return predictability, anomalies, institutional ownership, institutional trading

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Journal of Financial Intermediation, Forthcoming
Number of pages: 55 Posted: 03 Aug 2016
George Gao, Pamela C. Moulton and David T. Ng
T. Rowe Price, Cornell University and Cornell University
Downloads 92 (225,734)

Abstract:

Return predictability, anomalies, institutional ownership, institutional trading

12.
Downloads 471 ( 46,138)
Citation 1

Is Unlevered Firm Volatility Asymmetric?

AFA 2007 Chicago Meetings
Number of pages: 49 Posted: 17 Mar 2006
Hazem Daouk and David T. Ng
Cornell University - School of Applied Economics and Management and Cornell University
Downloads 471 (45,600)
Citation 1

Abstract:

Volatility asymmetry, Financial leverage, Operating leverage, Covariance asymmetry, Merton model, Stock returns

Is Unlevered Firm Volatility Asymmetric?

Journal of Empirical Finance, Vol. 18, No. 4, 2011
Posted: 08 Jan 2012
Hazem Daouk and David T. Ng
Cornell University - School of Applied Economics and Management and Cornell University

Abstract:

volatility asymmetry, financial leverage, leverage effect

13.

Predicting Time-Varying Value Premium Using the Implied Cost of Capital

Number of pages: 49 Posted: 30 Oct 2012 Last Revised: 03 Jul 2014
Yan Li, David T. Ng and Bhaskaran Swaminathan
Temple University - Department of Finance, Cornell University and LSV Asset Management
Downloads 284 (59,767)
Citation 1

Abstract:

Implied Value Premium, Implied Cost of Capital, Predictability, Value Spread, Term Spread, Default Spread, Risk and Mispricing

14.

A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates

Journal of Econometrics, Forthcoming
Number of pages: 39 Posted: 23 Mar 2008
Alexei V. Egorov, Haitao Li and David T. Ng
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Cornell University
Downloads 261 (87,777)
Citation 8

Abstract:

Affine term structure models, International term structure models, Approximate Maximum Likelihood, LIBOR, Euribor, Specification analysis of term structure of interest rates, Out-of-sample model evaluation.

15.

Investor Flows and Fragility in Corporate Bond Funds

Number of pages: 50 Posted: 21 Apr 2015 Last Revised: 18 Jul 2015
Itay Goldstein, Hao Jiang and David T. Ng
University of Pennsylvania - The Wharton School - Finance Department, Michigan State University and Cornell University
Downloads 176 (57,086)
Citation 1

Abstract:

Fund Flows, Fragility, Bond Funds, Runs

Does Corruption Increase Emerging Market Bond Spreads?

Number of pages: 36 Posted: 16 Oct 2006
Francisco Ciocchini, Erik Durbin and David T. Ng
Universidad Catolica Argentina, affiliation not provided to SSRN and Cornell University
Downloads 168 (140,977)
Citation 8

Abstract:

corruption, bond yield, emerging market,

Does Corruption Increase Emerging Market Bond Spreads?

Journal of Economics and Business, Forthcoming
Posted: 03 Jan 2004
Francisco Ciocchini, Erik Durbin and David T. Ng
Universidad Catolica Argentina, affiliation not provided to SSRN and Cornell University

Abstract:

Corruption, Emerging Market, Country risk

17.

Warranted Multiples and Future Returns

Journal of Accounting, Auditing and Finance, Vol. 25, No. 2, 2010
Number of pages: 34 Posted: 26 Mar 2013
Jiyoun An, Sanjeev Bhojraj and David T. Ng
Kyung Hee University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University
Downloads 119 (153,688)

Abstract:

Accounting, Multiples, Warranted Multiples, Future Returns

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

Number of pages: 71 Posted: 16 Oct 2015
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 63 (283,152)

Abstract:

Global portfolio allocation, portfolio equity investment, institutional investors, emerging market economies

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

HKIMR Working Paper No.04/2016
Number of pages: 64 Posted: 17 Mar 2016
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 24 (417,629)

Abstract:

Global portfolio allocation, portfolio equity investment, institutional investors, emerging market economies

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

IZA Discussion Paper No. 9405
Number of pages: 73 Posted: 19 Oct 2015
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 16 (462,655)

Abstract:

global portfolio allocation, portfolio equity investment, institutional investors, emerging market economies

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

NBER Working Paper No. w21661
Number of pages: 72 Posted: 26 Oct 2015
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 5 (523,332)

Abstract:

19.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999
Columbia Business School - Finance and Economics, Cornell University and Tilburg University
Downloads 51 (309,677)
Citation 20

Abstract:

20.

The Coming Wave

HKIMR Working Paper No.08/2013
Number of pages: 15 Posted: 04 Jul 2013
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 27 (339,250)

Abstract:

21.

The Informativeness of Short Sellers: An Insider's Perspective

Number of pages: 55 Posted: 23 Sep 2015
George Gao, Qingzhong Ma and David T. Ng
T. Rowe Price, California State University, Chico - Department of Finance and Marketing and Cornell University
Downloads 9 (204,879)

Abstract:

22.

Foreign Investments of U.S. Individual Investors: Causes and Consequences

Management Science, Forthcoming
Posted: 07 Sep 2007
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - School of Business Administration and Cornell University

Abstract:

Individual investors, diversification, home bias, local bias, over-confidence

Other Papers (1)

Total Downloads: 505    Citations: 1
1.

The Sound of Silence: What Do We Know When Insiders Do Not Trade?

Johnson School Research Paper Series No. 3-2013
Number of pages: 47 Posted: 29 Oct 2012 Last Revised: 22 May 2015
George Gao, Qingzhong Ma and David T. Ng
T. Rowe Price, California State University, Chico - Department of Finance and Marketing and Cornell University
Downloads 344 (61,829)
Citation 1

Abstract:

Insider trading, Insider silence, Litigation risk