San-Lin Chung

National Taiwan University - Department of Finance

Professor

Taipei, 106

Taiwan

http://www.fin.ntu.edu.tw/~slchung/

SCHOLARLY PAPERS

9

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2,505

SSRN CITATIONS
Rank 46,200

SSRN RANKINGS

Top 46,200

in Total Papers Citations

14

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

When Does Investor Sentiment Predict Stock Returns?

Number of pages: 40 Posted: 16 Mar 2010
National Taiwan University - Department of Finance, University of Glasgow - Adam Smith Business School and Tunghai University-Department of Finance
Downloads 659 (50,432)
Citation 12

Abstract:

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

2.

Option Implied Cost of Equity and Its Properties

Journal of Futures Markets, 29(7):599-629 .
Number of pages: 41 Posted: 05 Mar 2008 Last Revised: 23 Feb 2019
Antonio Camara, San-Lin Chung and Yaw-Huei Wang
Oklahoma State University, Stillwater - College of Business Administration, National Taiwan University - Department of Finance and National Taiwan University
Downloads 547 (63,957)

Abstract:

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Cost of capital, Capital bugdeting, Fama/Franch three-factor model, Equilibrium option prices, Black-Scholes

3.

Static Hedging and Pricing American Options

Number of pages: 33 Posted: 11 Mar 2008
San-Lin Chung and Pai-Ta Shih
National Taiwan University - Department of Finance and National Dong Hwa University - Department of Economics
Downloads 428 (86,164)
Citation 2

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American option, static hedge, early exercise boundary, value matching, smooth pasting

4.

Investor Sentiment, Regimes and Stock Returns

Number of pages: 40 Posted: 16 Feb 2009
San-Lin Chung, Chung-Ying Yeh and Chung-Ying Yeh
National Taiwan University - Department of Finance and National Chung Hsing UniversityNational Chung Hsing University - Department of Finance
Downloads 329 (116,157)
Citation 1

Abstract:

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Sentiment, Return Predictability,Mispricing, Markov-Switching Vector Autoregressive Model, Bootstrap

5.

The Impact of Liquidity on Option Prices

Journal of Futures Markets 31(12):1116-1141.
Number of pages: 42 Posted: 17 Mar 2010 Last Revised: 23 Feb 2019
National Chengchi University, National Central University, National Taiwan University and National Taiwan University - Department of Finance
Downloads 192 (198,178)
Citation 2

Abstract:

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Liquidity, Option price, Implied volatility curve, Hedging cost

6.

Generalised Geske Johnson Interpolation of Option Prices

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 32 Posted: 04 Oct 2006
San-Lin Chung and Mark B. Shackleton
National Taiwan University - Department of Finance and Lancaster University - Department of Accounting and Finance
Downloads 180 (209,848)

Abstract:

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Geske-Johnson two-point pricing, real options, American, Bermudan and Arctic options

7.

Volatility-of-Volatility Risk in Asset Pricing

Review of Asset Pricing Studies, Forthcoming
Number of pages: 74 Posted: 27 Feb 2021 Last Revised: 12 Jul 2021
Te-Feng Chen, Tarun Chordia, San-Lin Chung and Ji-Chai Lin
Hong Kong Polytechnic University, Emory University - Department of Finance, National Taiwan University - Department of Finance and Hong Kong PolyU
Downloads 170 (221,510)

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Volatility-of-Volatility, Volatility Risk, Conditional Asset Pricing Model, Market Crashes

8.

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

Financial Analysts Journal, Forthcoming
Posted: 28 Mar 2016 Last Revised: 24 Apr 2021
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

9.

The Impact of Derivatives Hedging on Stock Market: Evidence from Taiwan Covered Warrants Market

24th Australasian Finance and Banking Conference 2011 Paper
Posted: 21 Aug 2011 Last Revised: 01 May 2017
San-Lin Chung, Wen-Ranq Liu and Wei-Che Tsai
National Taiwan University - Department of Finance, National Taiwan University and Oregon State University

Abstract:

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hedging impact, price elasticity, covered warrants, introduction effect, expiration effect