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Eric C. Chang

University of Hong Kong - School of Business

Chair of Finance, Wang Seng Liang Professor

Meng Wah Complex

Pokfulam Road

Hong Kong

China

  • University of Hong Kong - School of Business

SCHOLARLY PAPERS

29

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CITATIONS
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Top 4,521

in Total Papers Citations

117

Scholarly Papers (29)

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1.

An Examination of Herd Behavior in Equity Markets: An International Perspective

Downloads 2,226 ( 4,639)

An Examination of Herd Behavior in Equity Markets: An International Perspective

Number of pages: 39 Posted: 29 Sep 1999
Ajay Khorana, Eric C. Chang and Joseph W. Cheng
Georgia Institute of Technology - Finance Area, University of Hong Kong - School of Business and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 2,226 (4,534)
Citation 35

Abstract:

An Examination of Herd Behavior in Equity Markets: An International Perspective

Journal of Banking and Finance
Posted: 29 Sep 1999
Ajay Khorana, Eric C. Chang and Joseph W. Cheng
Georgia Institute of Technology - Finance Area, University of Hong Kong - School of Business and The Chinese University of Hong Kong (CUHK) - Department of Finance

Abstract:

2.

Cross-hedging with Currency Options and Futures

Downloads 1,354 ( 10,727)
Citation 12

Cross-hedging with Currency Options and Futures

Number of pages: 30 Posted: 28 Feb 2003
Eric C. Chang and Kit Pong Wong
University of Hong Kong - School of Business and The University of Hong Kong - School of Economics and Finance
Downloads 1,354 (10,515)
Citation 12

Abstract:

Cross-hedging with Currency Options and Futures

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 28 Feb 2003
Eric C. Chang and Kit Pong Wong
University of Hong Kong - School of Business and The University of Hong Kong - School of Economics and Finance

Abstract:

3.

Insider Trading in Hong Kong: Concentrated Ownership versus the Legal Environment

Brigham Young University Working Paper
Number of pages: 41 Posted: 10 Jan 2003
Eric C. Chang, Jun Zhu and J. Michael Pinegar
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and Brigham Young University - Marriott School of Management
Downloads 1,032 (15,300)
Citation 4

Abstract:

insider trading, transparency, corporate governance

4.

Cross-Autocorrelation in Asian Stock Markets

Number of pages: 37 Posted: 02 Jun 1998
Grant Richard McQueen, Eric C. Chang and J. Michael Pinegar
Brigham Young University - Department of Business Management, University of Hong Kong - School of Business and Brigham Young University - Marriott School of Management
Downloads 556 (39,114)
Citation 8

Abstract:

5.

Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

EFA 2004 Maastricht Meetings Paper No. 3641
Number of pages: 48 Posted: 19 Jul 2004
Eric C. Chang and Yinghui Yu
University of Hong Kong - School of Business and The University of Hong Kong - Faculty of Business and Economics
Downloads 510 (41,080)
Citation 44

Abstract:

Short-sales constraints, Price discovery, Hong Kong

6.

An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility

Journal of Banking and Finance, Vol. 32, No. 10, pp. 2111-2123, 2008
Number of pages: 40 Posted: 10 Nov 2008
Charles Cao, Eric C. Chang and Ying Wang
Pennsylvania State University, University of Hong Kong - School of Business and State University of New York at Albany - School of Business
Downloads 418 (53,880)
Citation 6

Abstract:

Mutual fund flow, Market volatility, Volatility timing, Fund inflow and fund outflow

7.

Investor Overconfidence and the Increase in Idiosyncratic Risk

Number of pages: 41 Posted: 28 Feb 2008 Last Revised: 01 Nov 2012
Eric C. Chang, Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business, Fudan University and University of Macau
Downloads 403 (51,704)
Citation 1

Abstract:

Overconfidence, Idiosyncratic Risk

8.

Idiosyncratic Volatility, Fundamentals, and Institutional Herding: Evidence From the Japanese Stock Market

Number of pages: 29 Posted: 15 Feb 2005
Eric C. Chang and Sen Dong
University of Hong Kong - School of Business and Columbia Business School - Economics Department
Downloads 368 (61,604)

Abstract:

Idiosyncratic volatility, Herding, Firm Earnings

9.

R-Squared, Noise, and Stock Returns

Number of pages: 47 Posted: 17 Mar 2010
Eric C. Chang and Yan Luo
University of Hong Kong - School of Business and Fudan University
Downloads 319 (67,223)

Abstract:

10.

Does Short-selling Threat Discipline Managers in Mergers and Acquisitions Decisions?

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 48 Posted: 04 Nov 2013 Last Revised: 09 Dec 2016
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 229 (41,786)

Abstract:

short selling threat, mergers and acquisitions, Tobin’s Q, ROA, Regulation SHO-PILOT Program, FAS 123R

11.

Chief Executive Officer Turnovers and the Performance of China's Listed Enterprises

Hong Kong Institute of Economics and Business Strategy Working Paper No. 1113
Number of pages: 49 Posted: 09 Jan 2005
Eric C. Chang and Sonia M. L. Wong
University of Hong Kong - School of Business and University of Hong Kong
Downloads 222 (108,459)
Citation 4

Abstract:

CEO turnovers, enterprise performance, state and private ownership

12.

Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market

Number of pages: 43 Posted: 15 Mar 2010
Eric C. Chang, Lei Shi and Jin E. Zhang
University of Hong Kong - School of Business, The University of Hong Kong, School of Economics and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 198 (117,362)

Abstract:

Warrants, the Chinese warrant market, Option pricing model

13.

Short-Selling, Margin-Trading, and Price Efficiency: Evidence from the Chinese Market

25th Australasian Finance and Banking Conference 2012
Number of pages: 48 Posted: 25 Aug 2012 Last Revised: 24 Aug 2013
Eric C. Chang, Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business, Fudan University and University of Macau
Downloads 187 (86,571)

Abstract:

Short selling, margin trading, stabilization

14.

Retail Investor Recognition and the Cross Section of Stock Returns

Number of pages: 53 Posted: 16 Feb 2012 Last Revised: 08 May 2013
Eric C. Chang, Chaoli Guo and Jinjuan Ren
University of Hong Kong - School of Business, The University of Hong Kong - School of Business and University of Macau
Downloads 173 (124,099)

Abstract:

Retail investor recognition, Ownership breadth, Net equity issuance

15.

Suitability Check and Household Investments in Structured Products

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 02 Mar 2012 Last Revised: 28 Aug 2016
Eric C. Chang, Dragon Yongjun Tang and Miao Ben Zhang
University of Hong Kong - School of Business, The University of Hong Kong - School of Economics and Finance and University of Southern California - Marshall School of Business
Downloads 162 (125,832)

Abstract:

structured products, suitability check, household investments

16.

The Relation Between Physical and Risk-Neutral Cumulants

Downloads 154 (159,831)

The Relation Between Physical and Risk-Neutral Cumulants

Number of pages: 44 Posted: 10 Mar 2010 Last Revised: 16 Mar 2010
Eric C. Chang, Jin E. Zhang and Huimin Zhao
University of Hong Kong - School of Business, University of Otago, Otago Business School, Department of Accountancy and Finance and The University of Hong Kong
Downloads 153 (160,974)

Abstract:

Skewness swap, Kurtosis swap, Equity risk premium, Variance risk premium, Skewness risk premium, Kurtosis risk premium

The Relation between Physical and Risk‐Neutral Cumulants

International Review of Finance, Vol. 13, Issue 3, pp. 345-381, 2013
Number of pages: 37 Posted: 03 Sep 2013
Huimin Zhao, Jin E. Zhang and Eric C. Chang
The University of Hong Kong, University of Otago, Otago Business School, Department of Accountancy and Finance and University of Hong Kong - School of Business
Downloads 1 (575,863)
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Abstract:

17.

Pricing Deviation, Misvaluation Comovement, and Macroeconomic Conditions

25th Australasian Finance and Banking Conference 2012
Number of pages: 55 Posted: 25 Aug 2012
Eric C. Chang, Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business, Fudan University and University of Macau
Downloads 143 (155,585)
Citation 1

Abstract:

Misvaluation, comovement, factor models, market efficiency, macroeconomic conditions

18.

Investor Psychology and Misvaluation Comovement

Number of pages: 53 Posted: 26 Mar 2009
Eric C. Chang and Yan Luo
University of Hong Kong - School of Business and Fudan University
Downloads 142 (158,110)

Abstract:

Misvaluation Comovement, Investor Overreaction

19.

Governance Through Trading on Acquisitions of Public Firms

WFA 2013 Lake Tahoe Meetings Paper
Number of pages: 46 Posted: 12 May 2013 Last Revised: 31 Jan 2016
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 135 (141,578)

Abstract:

governance through trading, mergers and acquisitions, public targets, wealth performance sensitivity, Decimalization

20.

Cross-Listing and Pricing Efficiency: The Informational and Anchoring Role Played by the Reference Price

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 46 Posted: 25 Aug 2011 Last Revised: 18 Feb 2013
Eric C. Chang, Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business, Fudan University and University of Macau
Downloads 132 (166,432)

Abstract:

cross-listing, segmented market, anchoring, IPO underpricing

21.

Ex-Day Returns of Stock Distributions: An Anchoring Explanation

Management Science, Forthcoming.
Number of pages: 47 Posted: 11 Oct 2014 Last Revised: 09 Apr 2017
Eric C. Chang, Tse-Chun Lin, Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics, Fudan University and University of Macau
Downloads 60 (176,158)
Citation 1

Abstract:

anchoring; ex-day return; splits; stock dividends

22.

Market Excess Returns, Variance and the Third Cumulant

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 40 Posted: 13 Feb 2015
Eric C. Chang, Jin E. Zhang and Huimin ZHAO
University of Hong Kong - School of Business, University of Otago, Otago Business School, Department of Accountancy and Finance and Zhongshan University
Downloads 33 (284,780)

Abstract:

Equilibrium asset pricing model; Market excess return; Variance; The third cumulant; Variance risk premium

23.

The Tradeoff between Risk Sharing and Information Production in Financial Markets: Evidence from Stock Splits

Number of pages: 44 Posted: 17 Sep 2015
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 16 (294,083)

Abstract:

risk sharing, stock price informativeness, stock split, long run stock returns, post-split return drifts

24.

Pricing and Hedging of Discrete Dynamic Guaranteed Funds

Journal of Risk & Insurance, Vol. 75, Issue 1, pp. 167-192, March 2008
Number of pages: 26 Posted: 10 Mar 2008
Wai-Man Tse, Eric C. Chang, Leong Kwan Li and Henry M. K. Mok
affiliation not provided to SSRN, University of Hong Kong - School of Business, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 8 (507,974)
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Abstract:

25.

Equilibrium Asset and Option Pricing Under Jump Diffusion

Mathematical Finance, Vol. 22, Issue 3, pp. 538-568, 2012
Number of pages: 31 Posted: 08 Jun 2012
Jin E. Zhang, Huimin Zhao and Eric C. Chang
University of Otago, Otago Business School, Department of Accountancy and Finance, The University of Hong Kong and University of Hong Kong - School of Business
Downloads 1 (547,435)
Citation 1
  • Add to Cart

Abstract:

asset pricing, option pricing, jump diffusion, equity risk premium, variance risk premium

26.

Stock Price Crashes and Equity Lending Market Condition: Evidence from Lending Fees and Fee Risk

Number of pages: 59 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 0 (146,777)

Abstract:

stock price crash risk, short selling risk, lending fee, fee risk, information uncertainty, short interest

27.

Silence is Golden: Discretionary Analyst Reporting and Stock Returns

Posted: 10 Dec 2011
Eric C. Chang and Zhelei Li
University of Hong Kong - School of Business and University of Hong Kong - School of Business

Abstract:

Analyst selective reporting, Analyst conflicts,Agency theory, Silence

28.

Political Control and Performance in China's Listed Firms

Journal of Comparative Economics, Vol. 32, No. 4, December 2004
Posted: 10 Jun 2005
Eric C. Chang and Sonia M. L. Wong
University of Hong Kong - School of Business and University of Hong Kong

Abstract:

Political control, agency problems, corporate governance, China's listed firms, transitional economies

29.

S&P 500 Index Futures Volatility and Price around the NYSE Close

JOURNAL OF BUSINESS Vol 68 No 1, January 1995
Posted: 22 Oct 2000
Eric C. Chang, Prem C. Jain and Peter Locke
University of Hong Kong - School of Business, Georgetown University - Department of Accounting and Business Law and Texas Christian University

Abstract:

Other Papers (2)

Total Downloads: 369    Citations: 0
Actions:
Email selected abstracts
1.

The Anchoring Effect in the Primary Market: Evidence from Dual-Listed Firms in Segmented Markets

Number of pages: 48 Posted: 26 Feb 2008
Eric C. Chang and Jinjuan Ren
University of Hong Kong - School of Business and University of Macau
Downloads 217 (61,608)

Abstract:

anchoring, IPO underpricing, cost of capital, segmented market

2.

Cross-Listing and the Pricing Efficiency: The Informational and Anchoring Role Played by the Reference Price

Number of pages: 49 Posted: 13 Feb 2009
Eric C. Chang and Jinjuan Ren
University of Hong Kong - School of Business and University of Macau
Downloads 140 (97,509)

Abstract:

cross-listing, segmented market, anchoring, IPO underpricing

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