David T. Ng

Johnson College of Business

Professor of Finance

301G Warren Hall, Cornell University

Ithaca, NY 14850-1967

United States

  • Johnson College of Business

SCHOLARLY PAPERS

26

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17,529

SSRN CITATIONS
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SSRN RANKINGS

Top 1,668

in Total Papers Citations

297

CROSSREF CITATIONS

454

Scholarly Papers (26)

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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 - Miami Herbert Business School and Johnson College of Business
Downloads 2,499 (7,779)
Citation 19

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

2.

Testing International Asset Pricing Models Using Implied Costs of Capital

Downloads 1,294 ( 21,870)
Citation 119

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
Foster School of Business, University of Washington, Johnson College of Business and LSV Asset Management
Downloads 954 (33,493)

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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
Foster School of Business, University of Washington, Johnson College of Business and LSV Asset Management
Downloads 340 (123,038)
Citation 17

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international asset pricing, implied cost of capital, noise

3.

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: 07 Feb 2022
Yan Li, David T. Ng and Bhaskaran Swaminathan
Temple University - Fox School of Business and Management, Johnson College of Business and LSV Asset Management
Downloads 1,271 (22,470)
Citation 19

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Implied Cost of Capital, Market Predictability, Valuation Ratios

4.

Uncovering Country Risk in Emerging Market Bond Prices

Number of pages: 37 Posted: 03 Aug 2000
Erik Durbin and David T. Ng
Covington & Burling LLP and Johnson College of Business
Downloads 1,253 (22,943)
Citation 6

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

5.

How Important are Foreign Ownership Linkages for International Stock Returns?

Downloads 1,232 ( 23,527)
Citation 19

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072., WBS Finance Group Research Paper No. 138
Number of pages: 61 Posted: 16 Mar 2010 Last Revised: 01 Sep 2021
Söhnke M. Bartram, John M. Griffin and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 432 (93,465)
Citation 8

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

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072.
Number of pages: 83 Posted: 20 Dec 2014 Last Revised: 30 Aug 2021
Söhnke M. Bartram, John M. Griffin, Tae-Hoon Lim and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance, Cornell University and Johnson College of Business
Downloads 275 (153,616)
Citation 1

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

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072., WBS Finance Group Research Paper No. 175
Number of pages: 61 Posted: 15 Mar 2012 Last Revised: 30 Aug 2021
Söhnke M. Bartram, John M. Griffin and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 171 (240,208)
Citation 4

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

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072., Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 12/2012, WBS Finance Group Research Paper No. 181
Number of pages: 61 Posted: 31 May 2012 Last Revised: 18 Apr 2022
Söhnke M. Bartram, John M. Griffin and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 133 (294,915)
Citation 12

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

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072., WBS Finance Group Research Paper No. 169
Number of pages: 61 Posted: 11 Jan 2012 Last Revised: 30 Aug 2021
Söhnke M. Bartram, John M. Griffin and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 91 (384,306)
Citation 4

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

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072.
Number of pages: 78 Posted: 06 Apr 2014 Last Revised: 30 Aug 2021
Söhnke M. Bartram, John M. Griffin, Tae-Hoon Lim and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance, Cornell University and Johnson College of Business
Downloads 67 (459,278)

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

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies, Vol. 28 (11), November 2015, 3036–3072., WBS Finance Group Research Paper No. 156
Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 01 Sep 2021
Söhnke M. Bartram, John M. Griffin and David T. Ng
University of Warwick, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 63 (474,166)
Citation 2

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

6.

Temperature Shocks and Industry Earnings News

Number of pages: 71 Posted: 25 Nov 2019 Last Revised: 27 May 2021
Jawad M. Addoum, David T. Ng and Ariel Ortiz-Bobea
Cornell SC Johnson College of Business, Johnson College of Business and Cornell University
Downloads 1,039 (30,135)
Citation 14

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climate shocks, temperature extremes, earnings predictability, sell-side analysts, stock returns

7.

The International CAPM When Expected Returns are Time Varying

Number of pages: 62 Posted: 30 Jan 2001
David T. Ng
Johnson College of Business
Downloads 947 (34,336)
Citation 10

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8.

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

Number of pages: 48 Posted: 15 Jan 2004
Charles M.C. Lee, David T. Ng and Bhaskaran Swaminathan
Foster School of Business, University of Washington, Johnson College of Business and LSV Asset Management
Downloads 838 (40,756)
Citation 8

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9.

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

Johnson School Research Paper Series No. 3-2013
Number of pages: 58 Posted: 29 Oct 2012 Last Revised: 02 Mar 2021
George Gao, George Gao, Qingzhong Ma, David T. Ng and Ying Wu
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, California State University, Chico, Johnson College of Business and Stevens Institute of Technology - School of Business
Downloads 831 (41,195)
Citation 3

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Insider trading, Insider silence, Litigation risk

10.

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Downloads 794 ( 43,875)
Citation 4

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, George Gao, Pamela C. Moulton and David T. Ng
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, Cornell University - SC Johnson College of Business and Johnson College of Business
Downloads 564 (67,533)
Citation 2

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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, George Gao, Pamela C. Moulton and David T. Ng
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, Cornell University - SC Johnson College of Business and Johnson College of Business
Downloads 230 (184,194)
Citation 3

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Return predictability, anomalies, institutional ownership, institutional trading

11.

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

Downloads 763 ( 46,168)
Citation 18

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, Foster School of Business, University of Washington and Johnson College of Business
Downloads 763 (45,549)
Citation 18

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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, Foster School of Business, University of Washington and Johnson College of Business

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

12.

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 Johnson College of Business
Downloads 748 (47,443)
Citation 102

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Fund Flows, Fragility, Bond Funds, Runs

13.

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 - Miami Herbert Business School and Johnson College of Business
Downloads 735 (48,552)
Citation 24

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

14.

Is Unlevered Firm Volatility Asymmetric?

Downloads 542 ( 71,802)
Citation 9

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 Johnson College of Business
Downloads 542 (71,006)
Citation 9

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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 Johnson College of Business

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volatility asymmetry, financial leverage, leverage effect

15.

Temperature Shocks and Establishment Sales

Number of pages: 50 Posted: 28 Jun 2019 Last Revised: 12 Sep 2019
Jawad M. Addoum, David T. Ng and Ariel Ortiz-Bobea
Cornell SC Johnson College of Business, Johnson College of Business and Cornell University
Downloads 533 (73,330)
Citation 18

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Extreme temperature, weather shocks, economic establishments, revenues, earnings

16.

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, Johnson College of Business and LSV Asset Management
Downloads 514 (76,682)
Citation 3

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

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 Johnson College of Business
Downloads 335 (125,696)

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Accounting, Multiples, Warranted Multiples, Future Returns

18.

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 Johnson College of Business
Downloads 301 (140,706)
Citation 1

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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.

19.

Corruption and International Valuation: Does Virtue Pay?

Downloads 288 (147,310)
Citation 13

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
Foster School of Business, University of Washington and Johnson College of Business
Downloads 288 (146,594)
Citation 13

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Corruption and International Valuation: Does Virtue Pay?

https://doi.org/10.3905/JOI.2009.18.4.023
Posted: 22 May 2019
Charles M.C. Lee and David T. Ng
Foster School of Business, University of Washington and Johnson College of Business

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Corruption, International Valuation

20.

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

Downloads 210 (200,233)
Citation 3

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 - SC Johnson College of Business, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 128 (303,818)

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

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

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 04/2016
Number of pages: 64 Posted: 17 Mar 2016
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - SC Johnson College of Business, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 50 (528,917)
Citation 2

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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 - SC Johnson College of Business, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 24 (684,037)

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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 Last Revised: 10 Mar 2022
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - SC Johnson College of Business, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 8 (829,525)

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21.

Does Corruption Increase Emerging Market Bond Spreads?

Downloads 210 (200,233)

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, Covington & Burling LLP and Johnson College of Business
Downloads 210 (200,009)
Citation 7

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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, Covington & Burling LLP and Johnson College of Business

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Corruption, Emerging Market, Country risk

22.

The Informativeness of Short Sellers: An Insider's Perspective

Number of pages: 55 Posted: 23 Sep 2015
George Gao, George Gao, Qingzhong Ma and David T. Ng
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, California State University, Chico and Johnson College of Business
Downloads 157 (257,860)
Citation 2

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23.

The Role of Different Institutional Investors in Asia-Pacific Bond Markets during the Taper Tantrum

BIS Paper No. 102m
Number of pages: 30 Posted: 22 May 2019
David T. Ng, Ilhyock Shim and Jose Maria Vidal Pastor
Johnson College of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 69 (446,369)

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Asia-Pacific, asset managers, fixed income investment, institutional investors, taper tantrum

24.

The Coming Wave

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 08/2013
Number of pages: 15 Posted: 04 Jul 2013
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - SC Johnson College of Business, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 64 (463,844)
Citation 1

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25.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999 Last Revised: 18 Apr 2022
Robert J. Hodrick, David T. Ng and Paul Sengmueller
Columbia University - Columbia Business School, Finance, Johnson College of Business and Tilburg University
Downloads 62 (471,270)

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26.

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 - Miami Herbert Business School and Johnson College of Business

Abstract:

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