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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2,868

SSRN CITATIONS
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SSRN RANKINGS

Top 32,102

in Total Papers Citations

6

CROSSREF CITATIONS

13

Scholarly Papers (13)

1.

Optimal Factor Strategy in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 77 Posted: 20 Jun 2016 Last Revised: 24 Sep 2018
Thomas Andreas Maurer, Thuy Duong To and Ngoc-Khanh Tran
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 1,022 (21,142)
Citation 2

Abstract:

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Foreign Exchange, Currency, Carry Trade, Mean-Variance, Estimation Error, Market Timing, 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 743 (32,677)
Citation 2

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 39 (441,046)

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
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 356 (83,971)

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
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 154 (192,728)

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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
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 142 (205,927)
Citation 5

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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
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 111 (248,450)
Citation 2

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
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 97 (272,471)
Citation 5

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 72 (326,663)

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
Washington University in St. Louis - John M. Olin Business School and Pamplin College of Business - Virginia Tech
Downloads 56 (371,778)

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 32 (461,469)

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 (526,029)

Abstract:

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12.

Growth Risk of Nontraded Industries and Asset Pricing

Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 06 Sep 2019
Thuy Duong To and Ngoc-Khanh Tran
University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 12 (574,208)

Abstract:

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

13.

The Functional Stochastic Discount Factor

Number of pages: 50 Posted: 28 May 2019
Ngoc-Khanh Tran
Pamplin College of Business - Virginia Tech
Downloads 12 (574,208)

Abstract:

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