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

25

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Top 2,492

in Total Papers Downloads

14,330

SSRN CITATIONS
Rank 1,702

SSRN RANKINGS

Top 1,702

in Total Papers Citations

188

CROSSREF CITATIONS

431

Scholarly Papers (25)

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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 2,299 (5,950)
Citation 4

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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 1,267 ( 15,729)
Citation 109

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, Johnson College of Business and LSV Asset Management
Downloads 936 (24,232)

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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
Stanford University - Graduate School of Business, Johnson College of Business and LSV Asset Management
Downloads 331 (92,884)
Citation 7

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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 Johnson College of Business
Downloads 1,225 (16,533)
Citation 5

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

4.

How Important are Foreign Ownership Linkages for International Stock Returns?

Downloads 1,147 ( 18,294)
Citation 23

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 138
Number of pages: 61 Posted: 16 Mar 2010 Last Revised: 23 Dec 2019
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 Johnson College of Business
Downloads 413 (71,823)
Citation 9

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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 (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 Johnson College of Business
Downloads 249 (126,253)
Citation 13

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

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 175
Number of pages: 61 Posted: 15 Mar 2012 Last Revised: 26 Dec 2019
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 Johnson College of Business
Downloads 157 (194,404)
Citation 5

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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, WBS Finance Group Research Paper No. 181
Number of pages: 61 Posted: 31 May 2012 Last Revised: 26 Dec 2019
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 Johnson College of Business
Downloads 119 (243,019)
Citation 5

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

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 169
Number of pages: 61 Posted: 11 Jan 2012 Last Revised: 26 Dec 2019
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 Johnson College of Business
Downloads 86 (303,699)
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?

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 Johnson College of Business
Downloads 63 (363,707)

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

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 156
Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 26 Dec 2019
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 Johnson College of Business
Downloads 60 (373,010)
Citation 2

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

5.

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, Johnson College of Business and LSV Asset Management
Downloads 1,110 (19,188)
Citation 10

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Implied Cost of Capital, Market Predictability, Valuation Ratios

6.

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 932 (24,809)
Citation 5

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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, Johnson College of Business and LSV Asset Management
Downloads 799 (30,878)
Citation 8

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8.

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

Downloads 738 ( 34,408)
Citation 11

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 Johnson College of Business
Downloads 738 (33,890)
Citation 11

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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, Stanford University - Graduate School of Business and Johnson College of Business

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

9.

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Downloads 716 ( 35,882)
Citation 1

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 - SC Johnson College of Business and Johnson College of Business
Downloads 539 (51,496)
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, Pamela C. Moulton and David T. Ng
T. Rowe Price, Cornell University - SC Johnson College of Business and Johnson College of Business
Downloads 177 (175,137)

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Return predictability, anomalies, institutional ownership, institutional trading

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 - Miami Herbert Business School and Johnson College of Business
Downloads 705 (36,589)
Citation 23

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

11.

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 625 (43,087)
Citation 52

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Fund Flows, Fragility, Bond Funds, Runs

12.

Is Unlevered Firm Volatility Asymmetric?

Downloads 497 ( 57,797)
Citation 6

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 497 (57,156)
Citation 6

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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

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, Johnson College of Business and LSV Asset Management
Downloads 474 (61,279)
Citation 3

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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 Johnson College of Business
Downloads 292 (107,258)
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.

15.

Corruption and International Valuation: Does Virtue Pay?

Downloads 276 (113,912)
Citation 14

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 Johnson College of Business
Downloads 276 (113,330)
Citation 14

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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
Stanford University - Graduate School of Business and Johnson College of Business

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Corruption, International Valuation

16.

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 251 (125,728)

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Accounting, Multiples, Warranted Multiples, Future Returns

17.

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 University, Johnson College of Business and Cornell University
Downloads 196 (159,749)
Citation 9

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

18.

Does Corruption Increase Emerging Market Bond Spreads?

Downloads 196 (159,749)
Citation 5

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 Johnson College of Business
Downloads 196 (159,613)
Citation 5

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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, affiliation not provided to SSRN and Johnson College of Business

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Corruption, Emerging Market, Country risk

19.

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

Downloads 191 (163,542)
Citation 1

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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 122 (238,479)

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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?

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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 43 (434,306)
Citation 1

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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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 19 (563,473)

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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
George Andrew Karolyi, David T. Ng and Eswar S. Prasad
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 7 (647,934)

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20.

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 Johnson College of Business
Downloads 144 (208,639)
Citation 1

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21.

Temperature Shocks and Industry Earnings News

Number of pages: 69 Posted: 25 Nov 2019
Jawad M. Addoum, David T. Ng and Ariel Ortiz-Bobea
Cornell University, Johnson College of Business and Cornell University
Downloads 120 (241,976)
Citation 2

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

22.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999 Last Revised: 12 Oct 2010
Robert J. Hodrick, David T. Ng and Paul Sengmueller
Columbia Business School - Finance and Economics, Johnson College of Business and Tilburg University
Downloads 58 (374,009)

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23.

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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 56 (380,451)
Citation 1

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24.

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 16 (562,322)

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

25.

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

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

Other Papers (1)

Total Downloads: 699
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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 Johnson College of Business
Downloads 699

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Insider trading, Insider silence, Litigation risk