Te-Feng Chen

Hong Kong Polytechnic University

Hung Hom, Kowloon

Hong Kong

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Illiquidity Shocks and Asymmetric Stock Market Reactions Around the World: Is Underreaction or Illiquidity Spiral the Culprit?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 76 Posted: 20 Oct 2017 Last Revised: 26 Oct 2018
Te-Feng Chen and K.C. John Wei
Hong Kong Polytechnic University and Hong Kong Polytechnic University
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Abstract:

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Illiquidity shocks; Underreaction; Illiquidity spiral; Capital constraints; Cross-section of stock returns

2.

The Profitability Effect: Insights from International Equity Markets

European Financial Management, Vol. 24, Issue 4, pp. 545-580, 2018
Number of pages: 36 Posted: 17 Sep 2018
Te-Feng Chen, Lei Sun, K.C. John Wei and Feixue Xie
Hong Kong Polytechnic University, Boston Consulting Group - Shanghai, Hong Kong Polytechnic University and University of Texas at El Paso - College of Business Administration - Department of Economics and Finance
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profitability effect, Profitability factor, cross‐sectional returns, investment CAPM, behavioral finance, international equity markets

3.

Option-Implied Equity Risk and the Cross-Section of Stock Returns

Financial Analysts Journal, Forthcoming
Posted: 28 Mar 2016 Last Revised: 01 Apr 2016
Te-Feng Chen, San-Lin Chung and Wei-Che Tsai
Hong Kong Polytechnic University, National Taiwan University - Department of Finance and Oregon State University

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Idiosyncratic skewness; option-implied beta; expected stock returns; equity risk; equity options