Chi-Hsiou Daniel Hung

University of Glasgow - Adam Smith Business School

Associate Professor in Finance

Gilbert Scott Building

University of Glasgow

Glasgow, Scotland G12 8QQ

United Kingdom

SCHOLARLY PAPERS

25

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9,922

CITATIONS
Rank 16,783

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Top 16,783

in Total Papers Citations

29

Scholarly Papers (25)

1.

Corporate Financing and Anticipated Credit Rating Changes

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 46 Posted: 12 Nov 2013 Last Revised: 07 Apr 2016
Chi-Hsiou Daniel Hung, Anurag Narayan Banerjee and Qingrui Meng
University of Glasgow - Adam Smith Business School, Durham Business School and Durham University
Downloads 1,150 (17,272)
Citation 1

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Credit rating changes, Information asymmetry, Capital structure

CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

EFMA 2003 Helsinki Meetings
Number of pages: 31 Posted: 23 Jun 2003
Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,000 (20,927)
Citation 6

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Fama French Factors, CAPM, comoment, coskewness, cokurtosis, cross section, UK stock returns.

CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

Blackwell Publishing, Journal of Business Finance & Accounting, Vol. 31, No. 1 & 2, January, 2004
Number of pages: 26 Posted: 23 Mar 2004
Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 19 (538,621)
Citation 23
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3.

The Four-Moment CAPM and Non-Linear Market Models in Momentum and Size Strategies

EFMA
Number of pages: 42 Posted: 09 May 2004
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 845 (27,166)

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Asset pricing, Coskewness, Cokurtosis, Momentum, Size

4.

Active Momentum Trading versus Passive '1/N Naive Diversification'

Number of pages: 22 Posted: 14 Jun 2013
Anurag Narayan Banerjee and Chi-Hsiou Daniel Hung
Durham Business School and University of Glasgow - Adam Smith Business School
Downloads 768 (31,012)
Citation 1

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5.

Investor Sentiment as Conditioning Information in Asset Pricing

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 39 Posted: 21 Aug 2008 Last Revised: 20 Apr 2011
Jerry C. Ho and Chi-Hsiou Daniel Hung
Queensland University of Technology - School of Economics and Finance and University of Glasgow - Adam Smith Business School
Downloads 694 (35,610)
Citation 7

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Anomalies, Asset pricing, Conditioning information, Sentiment

Return Predictability of Higher-Moment CAPM Market Models

Number of pages: 38 Posted: 05 Jun 2007 Last Revised: 12 Mar 2008
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 674 (36,501)

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Asset Pricing, Higher-Moment CAPM, Return Predictability

Return Predictability of Higher-Moment CAPM Market Models

Journal of Business Finance & Accounting, Vol. 35, Issue 7-8, pp. 998-1022, September/October 2008
Number of pages: 25 Posted: 02 Oct 2008
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 5 (632,554)
Citation 3
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7.

When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper
Number of pages: 33 Posted: 08 Mar 2006
Devraj Basu, Chi-Hsiou Daniel Hung, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 640 (39,652)
Citation 3

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Investor Sentiment, Dynamic Asset Allocation

8.

Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns

Number of pages: 30 Posted: 27 Feb 2007 Last Revised: 17 Jan 2014
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 613 (41,999)
Citation 6

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Asset Pricing, Systematic Co-Moment, Momentum, Size, Value

9.

When Does Investor Sentiment Predict Stock Returns?

Number of pages: 40 Posted: 16 Mar 2010
San-Lin Chung, Chi-Hsiou Daniel Hung and Chung-Ying Yeh
National Taiwan University - Department of Finance, University of Glasgow - Adam Smith Business School and Tunghai University-Department of Finance
Downloads 607 (42,558)
Citation 16

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Investor Sentiment; Stock Returns; Return Predictability; Markov-Switching Vector Autoregressive Model; Bootstrap

10.

Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies

Number of pages: 47 Posted: 10 Jan 2010 Last Revised: 22 Apr 2011
Anurag Narayan Banerjee and Chi-Hsiou Daniel Hung
Durham Business School and University of Glasgow - Adam Smith Business School
Downloads 469 (59,185)
Citation 6

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Past Stock Return Information, Momentum Strategies

11.

International Asset Pricing and Time-Varying Risk Premia

EFA 2007 Ljubljana Meetings Paper
Number of pages: 36 Posted: 27 Feb 2007
Devraj Basu, Chi-Hsiou Daniel Hung and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 467 (59,492)

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International asset pricing, Time-varying Risk Premia

12.

How Do Momentum Strategies 'Score' Against Individual Investors in Taiwan, Hong Kong and Korea?

Number of pages: 32 Posted: 12 Aug 2014
Anurag Narayan Banerjee and Chi-Hsiou Daniel Hung
Durham Business School and University of Glasgow - Adam Smith Business School
Downloads 392 (73,466)

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Emerging stock markets; Momentum; Naive strategies; Return percentiles; Price information; Score function

13.

Exploiting Predictability in International Anomalies

Number of pages: 27 Posted: 05 Mar 2007
Devraj Basu, Chi-Hsiou Daniel Hung and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 309 (96,327)

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Asset Pricing, Return Predictability, International Diversification

14.

Predicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries

Number of pages: 27 Posted: 15 Jun 2013
Jerry C. Ho and Chi-Hsiou Daniel Hung
Queensland University of Technology - School of Economics and Finance and University of Glasgow - Adam Smith Business School
Downloads 276 (108,766)

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15.

The Global Price of Market Risk and Country Inflation

Number of pages: 41 Posted: 03 Mar 2008 Last Revised: 06 May 2009
Devraj Basu and Chi-Hsiou Daniel Hung
SKEMA Business School - Lille Campus and University of Glasgow - Adam Smith Business School
Downloads 245 (123,106)

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Country-specific asset pricing, Nonlinear SDF, Time-varying risk premiums

16.

Determinants of Stock Returns: Factors or Systematic Co-Moments? Crisis versus Non-Crisis Periods

Number of pages: 33 Posted: 18 Jan 2014 Last Revised: 14 Mar 2014
Chi-Hsiou Daniel Hung, Victor Fang and A.S.M. Sohel Azad
University of Glasgow - Adam Smith Business School, Monash University - Department of Accounting and Deakin University
Downloads 165 (178,058)

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Asset Pricing; Systematic Co-Moment; Size; Value; Momentum; Liquidity

17.

Competition or Manipulation? An Empirical Evidence of Determinants of the Earnings Persistence of the U.S. Banks

Journal of Banking and Finance, Vol. 88, No. 442-454, 2018
Number of pages: 38 Posted: 28 Feb 2017 Last Revised: 07 Feb 2018
Chi-Hsiou Daniel Hung, Yuxiang Jiang, Hong Liu and Hong Tu
University of Glasgow - Adam Smith Business School, GalaxyAsset management, University of Aberdeen and School of Finance,Nankai University
Downloads 161 (181,730)

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Competition; Branching Restrictions Index; Earnings persistence; Earnings adjustment speed, Earnings management

18.

Return Explanatory Ability and Predictability of Non-Linear Market Models

Durham Business School Working Paper No. 108
Number of pages: 43 Posted: 13 Aug 2007
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 99 (263,411)

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Asset Pricing, Non-Linearity, Return Predictability

19.

Corporate Bond Prices and Idiosyncratic Risk: Evidence from Australia

Number of pages: 39 Posted: 18 Feb 2009 Last Revised: 20 Jul 2014
Victor Fang and Chi-Hsiou Daniel Hung
Monash University - Department of Accounting and University of Glasgow - Adam Smith Business School
Downloads 76 (310,308)

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Idiosyncratic Risk; Idiosyncratic Dispersion; Idiosyncratic Volatility; Corporate Bond Price; Australian Bond Markets

20.

Non-Tradable Share Reform, Liquidity and Stock Returns in China

Number of pages: 50 Posted: 18 Dec 2014
Chi-Hsiou Daniel Hung, Qiuliang Chen and Victor Fang
University of Glasgow - Adam Smith Business School, Independent and Monash University - Department of Accounting
Downloads 72 (319,955)
Citation 1

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Non-tradable share reform, Liquidity, Stock returns, Chinese stock markets

21.

The Fed and the Stock Market: A Tale of Sentiment States

Number of pages: 75 Posted: 23 Jun 2018 Last Revised: 16 Jun 2019
Haifeng Guo, Chi-Hsiou Daniel Hung and Alexandros Kontonikas
Durham University Business School, University of Glasgow - Adam Smith Business School and Essex Business School
Downloads 68 (332,717)

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Investor Sentiment, Monetary Policy Surprises, Event Study

22.

Capital Structure Adjustments of Bank Holding Companies and Subsidiary Failure

Number of pages: 47 Posted: 15 Aug 2017
Chi-Hsiou Daniel Hung, Hong Liu and Senyu Wang
University of Glasgow - Adam Smith Business School, University of Aberdeen and University of Essex - Essex Business School
Downloads 47 (393,314)

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Subsidiary Failure, Capital Structure, Information Asymmetry

23.

An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis

Journal of International Financial Markets, Institutions & Money, Forthcoming
Number of pages: 41 Posted: 23 Dec 2015
Anurag Narayan Banerjee, Chi-Hsiou Daniel Hung and Kai Lisa Lo
Durham Business School, University of Glasgow - Adam Smith Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 33 (447,255)
Citation 6

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Credit Default Risk, CDS Spreads, Sovereign Debt, Financial Institutions, European Financial Stability Facility (EFSF)

24.

Bank Political Connections and Performance in China

Number of pages: 45 Posted: 31 Dec 2017 Last Revised: 18 Jan 2018
Chi-Hsiou Daniel Hung, Yuxiang Jiang, Hong Liu, Hong Tu and Senyu Wang
University of Glasgow - Adam Smith Business School, GalaxyAsset management, University of Aberdeen, School of Finance,Nankai University and University of Essex - Essex Business School
Downloads 28 (470,695)

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25.

Linking the Interest Rate Swap Markets to the Macroeconomic Risk: The UK and US Evidence

International Review of Financial Analysis, Vol. 22, 38-47, 2012
Posted: 07 Feb 2015
A. S. M. Sohel Azad, Victor Fang and Chi-Hsiou Daniel Hung
Deakin University, Deakin University and University of Glasgow - Adam Smith Business School

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Interest Rate Swaps; Low-frequency Volatility; Macroeconomic Risk