I-Hsuan Ethan Chiang

University of North Carolina (UNC) at Charlotte

9201 University City Boulevard

Charlotte, NC 28223

United States

http://go.uncc.edu/chiang

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 24,610

in Total Papers Downloads

2,566

SSRN CITATIONS
Rank 33,454

SSRN RANKINGS

Top 33,454

in Total Papers Citations

19

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 14 May 2012 Last Revised: 13 Dec 2013
I-Hsuan Ethan Chiang, W. Keener Hughen and Jacob S. Sagi
University of North Carolina (UNC) at Charlotte, Sacred Heart University and University of North Carolina Kenan-Flagler Business School
Downloads 670 (49,371)
Citation 11

Abstract:

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Oil, futures, asset pricing, APT, real options, CAPM, Fama-French factors, Markov chain Monte Carlo

2.

Modern Portfolio Management with Conditioning Information

Journal of Empirical Finance, Vol. 33, 114-134, September 2015
Number of pages: 66 Posted: 22 Mar 2006 Last Revised: 10 Mar 2016
I-Hsuan Ethan Chiang
University of North Carolina (UNC) at Charlotte
Downloads 517 (68,606)
Citation 4

Abstract:

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Portfolio management; Conditioning information; Benchmark; Tracking error; Foreign exchange

3.

Real Exchange Rates and Currency Risk Premia

Number of pages: 125 Posted: 26 May 2014 Last Revised: 15 Dec 2017
Pierluigi Balduzzi and I-Hsuan Ethan Chiang
Boston College - Carroll School of Management and University of North Carolina (UNC) at Charlotte
Downloads 416 (88,993)
Citation 9

Abstract:

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foreign currency returns, predictability, real exchange rates, variance decomposition, bootstrap

4.

A 'Bad Beta, Good Beta' Anatomy of Currency Risk Premiums and Trading Strategies

Number of pages: 101 Posted: 15 Jun 2019 Last Revised: 18 Dec 2020
I-Hsuan Ethan Chiang and Xi Nancy Mo
University of North Carolina (UNC) at Charlotte and University of North Carolina (UNC) at Charlotte, The Belk College of Business Administration, Finance
Downloads 297 (129,593)
Citation 1

Abstract:

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currency risk premium, real exchange rate, variance decomposition, present value decomposition, multifactor model, carry trade

5.

Do Oil Futures Prices Predict Stock Returns?

Journal of Banking and Finance, Vol. 79, 2017
Number of pages: 48 Posted: 25 Oct 2016 Last Revised: 02 Nov 2017
I-Hsuan Ethan Chiang and W. Keener Hughen
University of North Carolina (UNC) at Charlotte and Sacred Heart University
Downloads 286 (134,806)
Citation 1

Abstract:

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Oil, Futures, Predictability, Curvature, Futures Curve

6.

Skewness and Co-Skewness in Bond Returns

Journal of Financial Research, Vol. 39, No. 2, 2016
Number of pages: 41 Posted: 07 Jul 2015 Last Revised: 12 Jun 2016
I-Hsuan Ethan Chiang
University of North Carolina (UNC) at Charlotte
Downloads 143 (254,266)
Citation 2

Abstract:

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alpha; bond returns; co-skewness; higher moments; market timing; multifactor models; risk premium; skewness

7.

Short-Term Reversals, Short-Term Momentum, and News-Driven Trading Activity

Number of pages: 62 Posted: 08 May 2019 Last Revised: 09 Nov 2020
I-Hsuan Ethan Chiang, Chris Kirby and Ziye Zoe Nie
University of North Carolina (UNC) at Charlotte, UNC Charlotte - Belk College of Business and Tulane University
Downloads 141 (257,068)

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turnover, information diffusion, liquidity, return continuations, post earnings announcement drift, cross-section of expected returns

8.

Modeling the Cross Section of Stock Returns Using Sensible Models in a Model Pool

Journal of Empirical Finance, Forthcoming
Number of pages: 39 Posted: 04 Nov 2017 Last Revised: 25 Nov 2020
I-Hsuan Ethan Chiang, Yin Liao, Yin Liao and Qing Zhou
University of North Carolina (UNC) at Charlotte, Australian National University - The Centre for Applied Macroeconomic Analysis (CAMA)Macquarie University - Department of Applied Finance and Actuarial Studies and Department of Applied Finance and Actuarial Studies, Macquarie University
Downloads 96 (338,076)

Abstract:

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asset pricing model; model uncertainty; model confidence set; model pooling; model selection; joint density forecast