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David T. Ng

Cornell University

Associate Professor

Ithaca, NY 14853

United States

  • Cornell University

SCHOLARLY PAPERS

22

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Top 2,114

in Total Papers Downloads

13,159

CITATIONS
Rank 2,498

SSRN RANKINGS

Top 2,498

in Total Papers Citations

224

Scholarly Papers (22)

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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 (5,263)
Citation 19

Abstract:

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

2.

Testing International Asset Pricing Models Using Implied Costs of Capital

Downloads 1,232 ( 12,470)
Citation 40

Testing International Asset Pricing Models Using Implied Costs of Capital

Number of pages: 44 Posted: 17 Mar 2004
Charles M.C. Lee, David T. Ng and Bhaskaran Swaminathan
Stanford University - Graduate School of Business, Cornell University and LSV Asset Management
Downloads 915 (19,312)
Citation 40

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
Charles M.C. Lee, David T. Ng and Bhaskaran Swaminathan
Stanford University - Graduate School of Business, Cornell University and LSV Asset Management
Downloads 317 (77,411)
Citation 24

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 (13,445)
Citation 7

Abstract:

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

4.

How Important are Foreign Ownership Linkages for International Stock Returns?

Downloads 1,021 ( 16,645)
Citation 3

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 61 Posted: 16 Mar 2010 Last Revised: 10 Mar 2014
Söhnke M. Bartram, John M. Griffin and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 390 (60,750)
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
Söhnke M. Bartram, John M. Griffin, Tae-Hoon Lim and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance, Cornell University and Cornell University
Downloads 185 (135,726)
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
Söhnke M. Bartram, John M. Griffin and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 146 (167,486)
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
Söhnke M. Bartram, John M. Griffin and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 104 (217,944)
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
Söhnke M. Bartram, John M. Griffin and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 81 (257,359)
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
Söhnke M. Bartram, John M. Griffin, Tae-Hoon Lim and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance, Cornell University and Cornell University
Downloads 58 (310,428)
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
Söhnke M. Bartram, John M. Griffin and David T. Ng
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Cornell University
Downloads 57 (313,172)
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 (19,741)
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 - Fox School of Business and Management, Cornell University and LSV Asset Management
Downloads 801 (17,616)
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
Charles M.C. Lee, David T. Ng and Bhaskaran Swaminathan
Stanford University - Graduate School of Business, Cornell University and LSV Asset Management
Downloads 734 (25,112)
Citation 31

Abstract:

8.

Corruption and International Valuation: Does Virtue Pay?

Downloads 720 ( 27,861)
Citation 16

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 492 (45,471)
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 228 (110,667)
Citation 16

Abstract:

9.

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

Downloads 692 ( 29,397)
Citation 29

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 692 (28,929)
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 (29,871)
Citation 20

Abstract:

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

11.

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Downloads 602 ( 35,461)

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 489 (45,827)

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 113 (205,071)

Abstract:

Return predictability, anomalies, institutional ownership, institutional trading

12.

Is Unlevered Firm Volatility Asymmetric?

Downloads 478 ( 47,758)
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 478 (47,203)
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 - Fox School of Business and Management, Cornell University and LSV Asset Management
Downloads 284 (58,942)
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 (89,922)
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 (49,286)
Citation 2

Abstract:

Fund Flows, Fragility, Bond Funds, Runs

16.

Does Corruption Increase Emerging Market Bond Spreads?

Downloads 172 (145,063)

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 172 (145,048)
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 (151,292)

Abstract:

Accounting, Multiples, Warranted Multiples, Future Returns

18.

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

Downloads 115 (201,564)

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

Number of pages: 71 Posted: 16 Oct 2015
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 68 (285,392)

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
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 26 (427,353)

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
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 16 (484,462)

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
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 5 (545,588)
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Abstract:

19.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999
Robert J. Hodrick, David T. Ng and Paul Sengmueller
Columbia Business School - Finance and Economics, Cornell University and Tilburg University
Downloads 52 (322,654)
Citation 20

Abstract:

20.

The Coming Wave

HKIMR Working Paper No.08/2013
Number of pages: 15 Posted: 04 Jul 2013
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - Johnson Graduate School of Management, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 27 (331,504)

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 (201,564)

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: 554    Citations: 1
Actions:
Email selected abstracts
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

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