Tongshu Ma

Binghamton University

PO Box 6001

Binghamton, NY 13902-6000

United States

SCHOLARLY PAPERS

14

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CITATIONS
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145

Scholarly Papers (14)

1.

Prospect Theory and the Long-Run Performance of IPO Stocks

14th Annual Conference on Financial Economics and Accounting (FEA)
Number of pages: 28 Posted: 20 Jan 2004
Tongshu Ma and Yiyu Shen
Binghamton University and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 945 (22,846)
Citation 5

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2.

The 52-Week High Momentum Strategy in International Stock Markets

Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204
Number of pages: 64 Posted: 22 Mar 2009 Last Revised: 26 May 2012
Ming Liu, Qianqiu Liu and Tongshu Ma
International University of Japan, University of Hawaii at Manoa - Shidler College of Business and Binghamton University
Downloads 796 (29,217)
Citation 2

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52-week High, Momentum Investing, International Stock Markets

3.

Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints

AFA 2002 Atlanta Meetings
Number of pages: 43 Posted: 10 Dec 2001
Tongshu Ma and Ravi Jagannathan
Downloads 735 (32,575)
Citation 7

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4.

Short Sales and the Weekend Effect - Evidence from a Natural Experiment

Journal of Financial Markets, Forthcoming
Number of pages: 35 Posted: 09 Oct 2006 Last Revised: 11 Jul 2012
University of Notre Dame - Mendoza College of Business, CUHK Business School, The Chinese University of Hong Kong, University of California, Riverside and Binghamton University
Downloads 597 (43,058)

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Short sale; Weekend effect; Hong Kong Stock Exchange

5.

Are Ex-Day Dividend Clientele Effects Dead? Dividend Yield Verses Dividend Size

Number of pages: 32 Posted: 02 May 2004
Tongshu Ma and Keith Jakob
Binghamton University and University of Montana - Department of Accounting and Finance
Downloads 388 (73,596)
Citation 4

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Ex-dividend day price drop, Tax clienteles, NYSE Rule 118

6.
Downloads 329 ( 89,026)
Citation 3

Assessing the Risk in Sample Minimum Risk Portfolios

Number of pages: 52 Posted: 04 May 2004
Gopal Basak, Tongshu Ma and Ravi Jagannathan
University of Bristol - Department of Mathematics, Binghamton University and Northwestern University - Kellogg School of Management
Downloads 271 (109,305)
Citation 3

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Minimum risk portfolios, in-sample optimism

A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1

NBER Working Paper No. w10447
Number of pages: 52 Posted: 10 May 2004 Last Revised: 20 Jul 2010
Gopal Basak, Tongshu Ma and Ravi Jagannathan
University of Bristol - Department of Mathematics, Binghamton University and Northwestern University - Kellogg School of Management
Downloads 58 (359,805)
Citation 3

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7.

Short-Selling, Uptick Rule, and Market Quality: Evidence from High-Frequency Data on Hong Kong Stock Exchange

Number of pages: 43 Posted: 20 Nov 2010 Last Revised: 04 Mar 2011
University of Notre Dame - Mendoza College of Business, CUHK Business School, The Chinese University of Hong Kong, University of California, Riverside and Binghamton University
Downloads 280 (106,030)
Citation 1

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short-selling, uptick rule, market quality, liquidity, volatility

Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

NBER Working Paper No. w8922
Number of pages: 50 Posted: 03 May 2002 Last Revised: 04 May 2002
Tongshu Ma and Ravi Jagannathan
Downloads 206 (144,117)
Citation 117

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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

Journal of Finance, Vol. 58, pp. 1651-1684, August 2003
Posted: 22 Nov 2003
Tongshu Ma and Ravi Jagannathan

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Bid-Ask Spreads, Quoted Depths, and Unexpected Duration between Trades

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 41 Posted: 14 Jan 2013
Tony Ruan and Tongshu Ma
Xiamen University and Binghamton University
Downloads 96 (268,372)

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autoregressive conditional duration model, bid-ask spread, information asymmetry, quoted depth, unexpected duration

Bid-Ask Spreads, Quoted Depths, and Unexpected Duration between Trades

2013 Financial Markets & Corporate Governance Conference
Number of pages: 41 Posted: 14 Jan 2013
Tony Ruan and Tongshu Ma
Xiamen University and Binghamton University
Downloads 42 (415,648)

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autoregressive conditional duration model, bid-ask spread, information asymmetry, quoted depth, unexpected duration

10.

The Information Content of the Surprise in Duration between Trades

Number of pages: 56 Posted: 24 Mar 2008
Tongshu Ma and Tony Ruan
Binghamton University and affiliation not provided to SSRN
Downloads 73 (314,829)

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Duration betwen Trades, Autoregressive Conditional Duration Model, Asymmetric Information, Bid-Ask Spread, Depth

11.

Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior

Financial Management, Vol. 34, No. 3, pp. 89-101, Autumn 2005
Number of pages: 14 Posted: 22 Nov 2005
Tongshu Ma and Keith Jakob
Binghamton University and University of Montana - Department of Accounting and Finance
Downloads 22 (498,583)
Citation 5
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12.

Are Short Sellers Informed? Evidence from the 2007–2008 Subprime Mortgage Crisis

Financial Review, Vol. 47, Issue 1, pp. 199-218, 2012
Posted: 05 Jan 2012
Ming Liu, Tongshu Ma and Yan Zhang
International University of Japan, Binghamton University and State University of New York at Binghamton - School of Management
Downloads 4 (604,649)
Citation 1
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short selling, financial crisis, subprime mortgage, asset write‐downs

13.

Tick Size, NYSE Rule 118, and Ex-Dividend Day Stock Price Behavior

Journal of Financial Economics (JFE), Vol. 72, No. 3, 2004
Posted: 29 Sep 2013
Keith Jakob and Tongshu Ma
University of Montana - Department of Accounting and Finance and Binghamton University

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Ex-dividend day price drop, Tick size, NYSE Rule 118

14.

Order Imbalance on Ex-Dividend Days

Journal of Financial Research Volume 26, Issue 1, Article first published online: 31 JAN 2003
Posted: 28 Apr 2002 Last Revised: 28 Sep 2013
Keith Jakob and Tongshu Ma
University of Montana - Department of Accounting and Finance and Binghamton University

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