Ngoc-Khanh Tran

Pamplin College of Business - Virginia Tech

Assistant Prof. of Finance

Pamplin 2126

880 West Campus Drive

Blacksburg, VA 24061

United States

http://https://www.nktran.com/

SCHOLARLY PAPERS

13

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2,953

SSRN CITATIONS
Rank 25,382

SSRN RANKINGS

Top 25,382

in Total Papers Citations

16

CROSSREF CITATIONS

13

Scholarly Papers (13)

1.

Market Timing and Predictability in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 81 Posted: 20 Jun 2016 Last Revised: 29 Jan 2020
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
The University of Hong Kong, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 1,053 (20,875)
Citation 3

Abstract:

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Market Timing, Predictability, Foreign Exchange, Currency, Carry Trade, Mean-Variance, Estimation Error, Principal Component

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 18 Mar 2010 Last Revised: 02 Sep 2013
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California and Pamplin College of Business - Virginia Tech
Downloads 750 (33,333)
Citation 7

Abstract:

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Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035
Number of pages: 52 Posted: 04 Jun 2010
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California and Pamplin College of Business - Virginia Tech
Downloads 40 (449,125)

Abstract:

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3.

Pricing Risks across Currency Denominations

UNSW Business School Research Paper No. 2015 BFIN 06, FIRN Research Paper No. 2589545
Number of pages: 74 Posted: 05 Apr 2015 Last Revised: 06 Sep 2018
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
The University of Hong Kong, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 361 (85,267)

Abstract:

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Currency risks, carry trades, stochastic discount factor, principal components

4.

The Hirshleifer Effect in a Dynamic Setting

Number of pages: 59 Posted: 20 Apr 2015 Last Revised: 02 Aug 2018
Thomas Andreas Maurer and Ngoc-Khanh Tran
The University of Hong Kong and Pamplin College of Business - Virginia Tech
Downloads 160 (192,043)

Abstract:

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Hirshleifer Effect, Disagreement, Welfare Value of Information, Incomplete Markets

5.

Entangled Risks in Incomplete FX Markets

Number of pages: 51 Posted: 02 Dec 2015 Last Revised: 13 Dec 2016
Thomas Andreas Maurer and Ngoc-Khanh Tran
The University of Hong Kong and Pamplin College of Business - Virginia Tech
Downloads 146 (207,337)
Citation 5

Abstract:

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Incomplete Markets, Exchange Rate, Entangled Risks, Jump Risks, International Correlation Puzzle

6.

Pricing Implications of Covariances and Spreads in Currency Markets

Number of pages: 73 Posted: 26 Apr 2018 Last Revised: 25 Oct 2018
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
The University of Hong Kong, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 117 (246,231)
Citation 1

Abstract:

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Foreign Exchange, Carry, Forward Discount, Spread Adjustment, Covariance Adjustment, Mean-Variance, Factor Pricing Model, Predictability

7.

Incomplete Asset Market View of the Exchange Rate Determination

Number of pages: 60 Posted: 12 Dec 2016 Last Revised: 04 Mar 2018
Thomas Andreas Maurer and Ngoc-Khanh Tran
The University of Hong Kong and Pamplin College of Business - Virginia Tech
Downloads 100 (274,834)
Citation 6

Abstract:

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Exchange Rates, Incomplete Markets, Risk Entanglement, International Correlations, Asset Market View

8.

Loss Sequencing in Banking Networks: Threatened Banks As Strategic Dominoes

HKS Working Paper No. 16-030, Finance Down Under 2017 Building on the Best from the Cellars of Finance
Number of pages: 57 Posted: 26 Aug 2016 Last Revised: 08 May 2018
Ngoc-Khanh Tran, Thao Vuong and Richard J. Zeckhauser
Pamplin College of Business - Virginia Tech, Washington University in St. Louis - John M. Olin Business School and Harvard University - Harvard Kennedy School (HKS)
Downloads 75 (330,839)

Abstract:

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Banking Network, Cascades, Bailouts, Liquidations, Loss Sequence

9.

Public Information and Risk-Sharing in a Pure-Exchange Economy

Number of pages: 68 Posted: 07 Feb 2014 Last Revised: 02 Jun 2016
Thomas Andreas Maurer and Ngoc-Khanh Tran
The University of Hong Kong and Pamplin College of Business - Virginia Tech
Downloads 57 (378,989)
Citation 1

Abstract:

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information, welfare, risk sharing, timing of uncertainty resolution, asset pricing, general equilibrium

10.

Cheap TIPS or Expensive Inflation Swaps? Mispricing in Real Asset Markets

Number of pages: 66 Posted: 09 Feb 2019 Last Revised: 10 Apr 2019
Thuy Duong To and Ngoc-Khanh Tran
University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 37 (452,296)

Abstract:

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Inflation, TIPS, Swap, Liquidity, Mispricing

11.

The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous

NBER Working Paper No. w17199
Number of pages: 67 Posted: 11 Jul 2011
Ngoc-Khanh Tran and Richard J. Zeckhauser
Pamplin College of Business - Virginia Tech and Harvard University - Harvard Kennedy School (HKS)
Downloads 20 (540,661)

Abstract:

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12.

The Functional Stochastic Discount Factor

Number of pages: 50 Posted: 28 May 2019
Ngoc-Khanh Tran
Pamplin College of Business - Virginia Tech
Downloads 19 (546,838)

Abstract:

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Stochastic Discount Factor, Dynamic Term Structure Models, Linear Generating Processes, Forward Premium Puzzle

13.

Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing

Number of pages: 68 Posted: 17 Jun 2019 Last Revised: 11 Dec 2019
Thuy Duong To and Ngoc-Khanh Tran
University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 18 (553,013)

Abstract:

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Nontraded output risk, Exchange rate, Currency carry trade, Interest rate