David T. Ng

Cornell University

Associate Professor

Ithaca, NY 14853

United States

  • Cornell University

SCHOLARLY PAPERS

23

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CITATIONS
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222

Scholarly Papers (23)

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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 2,252 (5,695)
Citation 18

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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 1,263 ( 14,727)
Citation 41

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 934 (22,814)
Citation 41

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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, Cornell University and LSV Asset Management
Downloads 329 (88,374)
Citation 25

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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 Cornell University
Downloads 1,211 (15,762)
Citation 7

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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 1,118 ( 17,779)
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 405 (69,338)
Citation 3

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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 Cornell University
Downloads 236 (126,065)
Citation 3

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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: 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 155 (186,193)
Citation 3

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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
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 114 (237,868)
Citation 3

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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: 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 86 (287,970)
Citation 3

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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 Cornell University
Downloads 63 (344,837)
Citation 3

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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: 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 59 (356,501)
Citation 3

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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, Cornell University and LSV Asset Management
Downloads 1,082 (18,696)
Citation 2

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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
Cornell University
Downloads 928 (23,444)
Citation 15

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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, Cornell University and LSV Asset Management
Downloads 796 (29,197)
Citation 30

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8.

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

Downloads 734 ( 32,614)
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 734 (32,120)
Citation 29

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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 Cornell University

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

9.

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 696 (35,022)
Citation 19

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

10.

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Downloads 692 ( 35,336)

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 Cornell University
Downloads 528 (49,808)

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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 Cornell University
Downloads 164 (177,431)

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Return predictability, anomalies, institutional ownership, institutional trading

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 Cornell University
Downloads 601 (42,658)
Citation 2

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Fund Flows, Fragility, Bond Funds, Runs

12.

Is Unlevered Firm Volatility Asymmetric?

Downloads 491 ( 55,233)

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 491 (54,617)
Citation 1

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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 Cornell University

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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, Cornell University and LSV Asset Management
Downloads 462 (59,649)
Citation 1

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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 Cornell University
Downloads 284 (104,408)
Citation 8

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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 272 (109,397)
Citation 16

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 272 (108,858)
Citation 16

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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 Cornell University

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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 Cornell University
Downloads 229 (130,393)

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Accounting, Multiples, Warranted Multiples, Future Returns

17.

Does Corruption Increase Emerging Market Bond Spreads?

Downloads 191 (154,816)

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 191 (154,738)
Citation 8

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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 Cornell University

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Corruption, Emerging Market, Country risk

18.

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

Downloads 157 (183,922)

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, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 95 (270,085)

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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, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 40 (423,462)

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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, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 17 (545,952)

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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, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 5 (624,668)

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19.

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 137 (205,616)

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20.

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, Cornell University and Tilburg University
Downloads 57 (357,590)
Citation 20

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21.

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, Cornell University and Cornell University - Dyson School of Applied Economics and Management
Downloads 54 (366,890)

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22.

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
Cornell University, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 1

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

23.

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

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

Other Papers (1)

Total Downloads: 676    Citations: 1
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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 Cornell University
Downloads 676
Citation 1

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Insider trading, Insider silence, Litigation risk