David T. Ng

Johnson College of Business

Professor of Finance

301G Warren Hall, Cornell University

Ithaca, NY 14850-1967

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 2,483

SSRN RANKINGS

Top 2,483

in Total Papers Downloads

13,897

CITATIONS
Rank 2,580

SSRN RANKINGS

Top 2,580

in Total Papers Citations

304

Scholarly Papers (24)

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 Johnson College of Business
Downloads 2,275 (5,746)
Citation 1

Abstract:

Loading...

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, Johnson College of Business and LSV Asset Management
Downloads 935 (23,301)

Abstract:

Loading...

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, Johnson College of Business and LSV Asset Management
Downloads 331 (89,411)
Citation 3

Abstract:

Loading...

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 1,219 (15,959)
Citation 5

Abstract:

Loading...

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 Johnson College of Business
Downloads 406 (70,505)
Citation 7

Abstract:

Loading...

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 Johnson College of Business
Downloads 241 (125,680)
Citation 8

Abstract:

Loading...

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 Johnson College of Business
Downloads 156 (188,483)
Citation 2

Abstract:

Loading...

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 Johnson College of Business
Downloads 115 (240,403)
Citation 2

Abstract:

Loading...

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 Johnson College of Business
Downloads 86 (293,085)
Citation 3

Abstract:

Loading...

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 Johnson College of Business
Downloads 63 (350,924)

Abstract:

Loading...

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 Johnson College of Business
Downloads 59 (362,882)
Citation 1

Abstract:

Loading...

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 1,089 (18,952)
Citation 6

Abstract:

Loading...

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 929 (23,928)
Citation 4

Abstract:

Loading...

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, Johnson College of Business and LSV Asset Management
Downloads 796 (29,772)
Citation 8

Abstract:

Loading...

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 736 (32,639)
Citation 9

Abstract:

Loading...

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

Abstract:

Loading...

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

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 533 (50,162)
Citation 1

Abstract:

Loading...

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 169 (175,936)

Abstract:

Loading...

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 - School of Business Administration and Johnson College of Business
Downloads 700 (35,493)
Citation 23

Abstract:

Loading...

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 613 (42,388)
Citation 26

Abstract:

Loading...

Fund Flows, Fragility, Bond Funds, Runs

12.
Downloads 495 ( 55,746)
Citation 5

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 495 (55,107)
Citation 5

Abstract:

Loading...

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

Abstract:

Loading...

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 465 (60,315)
Citation 3

Abstract:

Loading...

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 287 (105,198)

Abstract:

Loading...

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.

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 274 (109,987)
Citation 9

Abstract:

Loading...

Corruption and International Valuation: Does Virtue Pay?

Posted: 22 May 2019
Charles M.C. Lee and David T. Ng
Stanford University - Graduate School of Business and Johnson College of Business

Abstract:

Loading...

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 235 (129,390)

Abstract:

Loading...

Accounting, Multiples, Warranted Multiples, Future Returns

17.
Downloads 191 (157,574)
Citation 2

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 191 (157,484)
Citation 2

Abstract:

Loading...

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

Abstract:

Loading...

Corruption, Emerging Market, Country risk

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

Number of pages: 71 Posted: 16 Oct 2015
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 106 (254,876)

Abstract:

Loading...

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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 43 (419,097)

Abstract:

Loading...

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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 19 (543,765)

Abstract:

Loading...

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 - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 7 (624,681)

Abstract:

Loading...

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 Johnson College of Business
Downloads 140 (205,656)
Citation 1

Abstract:

Loading...

20.

Temperature Shocks and Establishment Sales

Number of pages: 50 Posted: 28 Jun 2019
Cornell University, Johnson College of Business and affiliation not provided to SSRN
Downloads 58 (360,826)
Citation 3

Abstract:

Loading...

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

21.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999 Last Revised: 12 Oct 2010
Columbia Business School - Finance and Economics, Johnson College of Business and Tilburg University
Downloads 58 (360,826)

Abstract:

Loading...

22.

The Coming Wave

HKIMR Working Paper No.08/2013
Number of pages: 15 Posted: 04 Jul 2013
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 (367,054)
Citation 1

Abstract:

Loading...

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
Johnson College of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 12 (566,872)

Abstract:

Loading...

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

24.

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 Johnson College of Business

Abstract:

Loading...

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

Other Papers (1)

Total Downloads: 687
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 687

Abstract:

Loading...

Insider trading, Insider silence, Litigation risk