Timothy K. Chue

Hong Kong Polytechnic University

Associate Professor of Finance

School of Accounting & Finance

Hung Hom

Kowloon

Hong Kong

  • Hong Kong Polytechnic University

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    • Tel: (852) 2766-4995
SCHOLARLY PAPERS

10

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Scholarly Papers (10)

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1.

Non-Equity Risks and Equity Home Bias

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper
Number of pages: 36 Posted: 02 Mar 2006 Last Revised: 18 Nov 2013
Timothy K. Chue
Hong Kong Polytechnic University
Downloads 355 (96,734)
Citation 3

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Equity home bias; International risk sharing; Non-equity risks; Euler equations; Consumption-based models

2.

Emerging Market Exchange-Rate Exposure

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Emerging Market Exchange-Rate Exposure

Number of pages: 28 Posted: 15 Nov 2007
Timothy K. Chue and David E. Cook
Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Economics
Downloads 209 (166,809)

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Exchange-rate exposure, Emerging market, International debt

Emerging Market Exchange Rate Exposure

Journal of Banking and Finance, Forthcoming
Posted: 08 Apr 2008
Timothy K. Chue and David E. Cook
Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Economics

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Exchange rate exposure, Emerging market, International debt

3.

Understanding Cross-Country Differences in Valuation Ratios: A Variance Decomposition Approach

Contemporary Accounting Research, Forthcoming
Number of pages: 41 Posted: 16 Sep 2011 Last Revised: 26 Jun 2014
Timothy K. Chue
Hong Kong Polytechnic University
Downloads 150 (223,476)

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International valuation ratios; Cross-sectional variance decomposition; Price-to-book ratio; Price-to-dividend ratio

4.

Conditional Market Co-Movements, Welfare, and Contagions: The Role of Time-Varying Risk Aversion

Downloads 145 (229,674)

Conditional Market Co-Movements, Welfare, and Contagions: The Role of Time-Varying Risk Aversion

Number of pages: 27 Posted: 27 Sep 2003
Timothy K. Chue
Hong Kong Polytechnic University
Downloads 145 (230,203)
Citation 3

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Conditional Market Co-Movements, Welfare, and Contagions: The Role of Time-Varying Risk Aversion

Journal of Business, Vol. 78, No. 3, pp. 949-967, May 2005
Posted: 14 Apr 2003
Timothy K. Chue
Hong Kong Polytechnic University

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Comovement, Contagions, Welfare, Time-varying Risk Aversion, Habit Persistence

5.

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Downloads 144 (230,912)
Citation 6

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Number of pages: 46 Posted: 03 Oct 2005
In Choi and Timothy K. Chue
Hong Kong University of Science & Technology (HKUST) - Department of Economics and Hong Kong Polytechnic University
Downloads 144 (231,459)
Citation 6

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Subsampling, nonstationary panel data, panel unit root, panel cointegration, cross-sectional correlation, cross-sectional cointegration, purchasing power parity, mean reversion

Subsampling Hypothesis Tests for Nonstationary Panels With Applications to Exchange Rates and Stock Prices

Journal of Applied Econometrics, Vol. 22, pp. 233-264, 2007
Posted: 20 Aug 2007
In Choi and Timothy K. Chue
Hong Kong University of Science & Technology (HKUST) - Department of Economics and Hong Kong Polytechnic University

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6.

The Crash Risks of Style Investing: Can They Be Internationally Diversified?

Financial Analysts Journal, 2015, Volume 71, Number 3, p. 34-46.
Number of pages: 27 Posted: 10 Dec 2014 Last Revised: 13 Aug 2015
Timothy K. Chue, Yong Wang and Jin (Karen) Xu
Hong Kong Polytechnic University, Capital Market Statistics & Monitoring Center and Shanghai International Studies University
Downloads 112 (279,349)

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Style investing, Crash risks, International diversification

7.

Sudden Stops and Liability Dollarization: Evidence from Asia's Financial Intermediaries

Downloads 92 (318,533)

Sudden Stops and Liability Dollarization: Evidence from Asia's Financial Intermediaries

Number of pages: 25 Posted: 20 Aug 2007
Timothy K. Chue and David E. Cook
Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Economics
Downloads 92 (321,006)

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International Debt, Financial Intermediaries, Liability Dollarization, Sudden Stops, Asian Financial Crisis

Sudden Stops and Liability Dollarization: Evidence from Asia's Financial Intermediaries

Pacific-Basin Finance Journal, Forthcoming
Posted: 08 Apr 2008
Timothy K. Chue and David E. Cook
Hong Kong Polytechnic University and Hong Kong University of Science & Technology (HKUST) - Department of Economics

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International Debt, Financial Intermediaries, Liability Dollarization, Sudden Stops, Asian Financial Crisis

8.

Aggregate Investor Sentiment and Stock Return Synchronicity

Journal of Banking and Finance, Forthcoming
Number of pages: 69 Posted: 20 Sep 2019
Timothy K. Chue, Ferdinand A Gul and G. Mujtaba Mian
Hong Kong Polytechnic University, Deakin University and Zayed University
Downloads 85 (334,722)

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Aggregate Investor Sentiment; Stock Return Synchronicity; Time-Series Variation; Cross-Sectional Difference

9.

Time-Varying Risk Preferences and Emerging Market Co-Movements

Posted: 02 Mar 2003
Timothy K. Chue
Hong Kong Polytechnic University

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Time-varying risk preferences, habit-formation, emerging market stock returns, correlations and co-movements, financial market integration

10.

Local Envy and Global Stock Market Participation

Posted: 24 Feb 2002
Timothy K. Chue
Hong Kong Polytechnic University

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Home bias, Local envy, Global stock market participation