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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158

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44

Scholarly Papers (29)

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1.

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

Downloads 2,611 ( 6,516)

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 2,611 (6,401)
Citation 22

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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

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2.

Cross-Hedging with Currency Options and Futures

Downloads 1,433 ( 17,053)

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 University of Hong Kong
Downloads 1,433 (16,738)

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Cross-Hedging with Currency Options and Futures

Posted: 28 Feb 2003
Eric C. Chang and Kit Pong Wong
University of Hong Kong - School of Business and University of Hong Kong

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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 1,131 (24,237)
Citation 3

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insider trading, transparency, corporate governance

4.

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

Journal of Accounting & Economics (JAE), Vol. 67, No. 1, 2019, Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 42 Posted: 04 Nov 2013 Last Revised: 08 Dec 2018
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 Macau, Faculty of Business Administration
Downloads 931 (32,064)
Citation 6

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mergers and acquisitions, short-selling threat, external corporate governance, lending supply, announcement returns

5.

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

Number of pages: 48 Posted: 19 Jul 2004
Eric C. Chang and Yinghui Yu
University of Hong Kong - School of Business and Singapore University of Social Sciences
Downloads 599 (57,931)
Citation 87

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Short-sales constraints, Price discovery, Hong Kong

6.

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 575 (60,991)
Citation 2

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7.

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 526 (68,274)
Citation 5

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

8.

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 521 (69,097)
Citation 2

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Overconfidence, Idiosyncratic Risk

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 462 (79,980)
Citation 5

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10.

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 452 (82,096)
Citation 24

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Short selling, margin trading, stabilization

11.

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 435 (85,893)
Citation 1

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Idiosyncratic volatility, Herding, Firm Earnings

12.

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 279 (140,440)
Citation 3

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anchoring; ex-day return; splits; stock dividends

13.

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 Macau, Faculty of Business Administration
Downloads 274 (143,150)

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

14.

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 264 (148,595)
Citation 4

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CEO turnovers, enterprise performance, state and private ownership

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 - Faculty of Business and Economics and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 244 (160,669)
Citation 2

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structured products, suitability check, household investments

16.

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 237 (165,257)

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Retail investor recognition, Ownership breadth, Net equity issuance

17.

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 236 (165,903)

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Warrants, the Chinese warrant market, Option pricing model

18.

Governance Through Trading on Acquisitions of Public Firms

WFA 2013 Lake Tahoe Meetings Paper, Journal of Corporate Finance, Forthcoming
Number of pages: 53 Posted: 12 May 2013 Last Revised: 17 Oct 2020
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 Macau, Faculty of Business Administration
Downloads 214 (182,072)
Citation 1

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governance through trading, corporate investments, mergers and acquisitions, wealth performance sensitivity, Decimalization

19.

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 180 (212,954)
Citation 5

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

20.

The Relation Between Physical and Risk-Neutral Cumulants

Downloads 177 (216,037)
Citation 5

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 176 (217,187)

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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 (838,783)
Citation 1
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21.

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 171 (222,512)
Citation 4

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cross-listing, segmented market, anchoring, IPO underpricing

22.

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 169 (224,670)

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Misvaluation Comovement, Investor Overreaction

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 Macau, Faculty of Business Administration
Downloads 116 (301,890)

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

24.

Market Excess Returns, Variance and the Third Cumulant

Downloads 97 (340,681)

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 Sun Yat-sen University (SYSU)
Downloads 97 (343,243)

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

Market Excess Returns, Variance and the Third Cumulant

International Review of Finance, Vol. 20, Issue 3, pp. 605-637, 2020
Number of pages: 33 Posted: 06 Oct 2020
Jin E. Zhang, Eric C. Chang and Huimin ZHAO
University of Otago, Otago Business School, Department of Accountancy and Finance, University of Hong Kong - School of Business and Sun Yat-sen University (SYSU)
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25.

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 (741,873)
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26.

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 (802,064)
Citation 1
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asset pricing, option pricing, jump diffusion, equity risk premium, variance risk premium

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

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Analyst selective reporting, Analyst conflicts,Agency theory, Silence

28.

Political Control and Performance in China's Listed Firms

Posted: 10 Jun 2005
Eric C. Chang and Sonia M. L. Wong
University of Hong Kong - School of Business and University of Hong Kong

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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 and Texas Christian University

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Other Papers (2)

Total Downloads: 391
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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 241

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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 150

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cross-listing, segmented market, anchoring, IPO underpricing