Kam Fong Chan

The University of Western Australia

Associate Professor

35 Stirling Highway

Crawley, Western Australia 6009

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

  • The University of Western Australia

  • Financial Research Network (FIRN)

SCHOLARLY PAPERS

20

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Scholarly Papers (20)

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1.

Equity Premiums in the Presidential Cycle: the Midterm Election Resolution of Uncertainty

Number of pages: 79 Posted: 23 Jan 2017 Last Revised: 26 Apr 2018
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 737 (37,691)

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Political uncertainty; Midterm election; Presidential cycle; Lost CAPM; Idiosyncratic volatility

2.

Contagion in the World Equity Markets and the Asian Economic Crisis

Number of pages: 47 Posted: 26 Feb 2007
Robert G. Bowman, Kam Fong Chan and Matthew R. Comer
University of Auckland - Department of Accounting and Finance, The University of Western Australia and First New Zealand Capital
Downloads 299 (113,531)
Citation 1

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Contagion, international market integration, Asian Crisis

3.

Asset Pricing around Earnings Announcement Days

Number of pages: 57 Posted: 18 Feb 2020 Last Revised: 28 Sep 2020
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 133 (239,507)

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Capital asset pricing model; Earnings announcements; Cross-section of returns; Security market line.

4.

Market Response of US Equities to Domestic Natural Disasters: Industry-Based Evidence

Accounting and Finance (Forthcoming)
Number of pages: 34 Posted: 10 Sep 2018 Last Revised: 09 May 2019
Ihtisham Malik, Robert W. Faff and Kam Fong Chan
University of Queensland - Business School, University of Queensland and The University of Western Australia
Downloads 100 (294,222)

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Natural Disasters, Industry Portfolios, Market Reaction

5.

Firm-Level Information Ambiguity and the Earnings Announcement Premium

Number of pages: 35 Posted: 27 Jul 2018
Mengxi (Maggie) Liu, Kam Fong Chan and Robert W. Faff
University of Queensland, Business School, The University of Western Australia and University of Queensland
Downloads 100 (294,222)

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Ambiguity; Variance risk premium; Earnings announcement premium

6.

The Information Content of Option-Implied Tail Risk on Post-Earnings Abnormal Stock Returns

31st Australasian Finance and Banking Conference 2018
Number of pages: 45 Posted: 27 Jul 2018 Last Revised: 18 Oct 2018
Mengxi (Maggie) Liu, Kam Fong Chan and Robert W. Faff
University of Queensland, Business School, The University of Western Australia and University of Queensland
Downloads 88 (319,211)

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Implied tail risk; Abnormal stock returns; Earnings announcements

7.

The Presidential Puzzle: Democrats, Macroeconomic News and Equity and Bond Premiums on Announcement Days

Number of pages: 43 Posted: 13 Oct 2016 Last Revised: 22 Oct 2016
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 88 (319,211)
Citation 1

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Bond Premium; Equity Premium; Macroeconomic News Announcements; Political Regimes; Presidential Puzzle

8.

A Hedging Strategy for New Zealand's Exporters in Transaction Exposure to Currency Risk

Multinational Finance Journal, Vol. 7, No. 1/2, p. 25-54, 2003
Number of pages: 30 Posted: 07 Jul 2015
Kam Fong Chan, Christopher Gan and Patricia A. McGraw
The University of Western Australia, Lincoln University (NZ) and Ryerson University
Downloads 57 (404,976)

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forwards; hedging effectiveness; optimal hedge ratio; options synthetic forwards; utility maximization

9.

Modelling Conditional Heteroscedasticity and Jumps in Australian Short-Term Interest Rates

Accounting and Finance, Vol. 45, No. 4, pp. 537-551, December 2005
Number of pages: 15 Posted: 03 Feb 2006
Kam Fong Chan
The University of Western Australia
Downloads 23 (557,900)
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Short-rate, Jump-diffusion, LEVELS effect, generalized autoregressive conditional heteroscedasticity

10.

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements

FRB St. Louis Working Paper No. 2017-11
Number of pages: 49 Posted: 28 Apr 2017 Last Revised: 06 Mar 2019
Kam Fong Chan, Robert G. Bowman and Christopher J. Neely
The University of Western Australia, University of Auckland - Department of Accounting and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 22 (564,288)

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Systematic cojumps, Scheduled macroeconomic announcements, Market component portfolios, Federal Funds rate.

11.

Dividend Persistence and Dividend Behaviour

Accounting & Finance, Vol. 58, Issue 1, pp. 127-147, 2018
Number of pages: 21 Posted: 28 Mar 2018
Kam Fong Chan, John G. Powell, Shi Jing and Tom Smith
The University of Western Australia, Massey University - Department of Finance Banking and Property, Jiangxi University of Finance and Economics and University of Queensland - Faculty of Business, Economics and Law
Downloads 1 (719,848)
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Dividend behaviour, Dividend persistence, Spurious regression and correlation

12.

Volatility Jumps and Macroeconomic News Announcements

Journal of Futures Markets, Forthcoming
Posted: 11 May 2018
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Implied Volatility; Macroeconomic News Announcements; Price Jumps; Realized Volatility; Volatility Jumps

13.

Cross-Border Scheduled Macroeconomic News Impacts: Evidence from High-Frequency Asia Pacific Currencies

Pacific Basin Finance Journal, Forthcoming
Posted: 29 Apr 2017
Kam Fong Chan, Mahesh Chhagan and Alastair Marsden
The University of Western Australia, Independent and University of Auckland - Business School

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Scheduled macroeconomic announcements; Foreign exchange rates; Speed of news impact; Persistence of news impact

14.

Equity Premiums in the Presidential Cycle: the Midterm Election Resolution of Uncertainty

Posted: 23 Jan 2017
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 0 (737,858)

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Political uncertainty; Midterm election; Lost CAPM; Idiosyncratic volatility

15.

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Journal of Futures Markets, Forthcoming
Posted: 13 Oct 2016
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Energy Markets; Price Jumps; Macroeconomic Announcements

16.

Asset Market Linkages: Evidence from Financial, Commodity and Real Estate Assets

Journal of Banking and Finance, Forthcoming
Posted: 06 Jan 2011
Kam Fong Chan, Sirimon Treepongkaruna, Robert D. Brooks and Stephen Gray
The University of Western Australia, The University of Western Australia, Monash University and University of Queensland - Business School

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Markov switching, Asset linkages, Flight to quality, Flight from quality, Contagion

17.

A Hedging Strategy for New Zealand’S Exporters in Transaction Exposure to Currency Risk

Multinational Finance Journal, Vol. 7, No. 1 & 2, 2003
Posted: 15 Aug 2009
Kam Fong Chan, Christopher Gan and Patricia A. McGraw
The University of Western Australia, Lincoln University (NZ) and Ryerson University

Abstract:

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Forwards, hedging effectiveness, optimal hedge ratio, options synthetic forwards, utility maximization

18.

Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot Prices

International Journal of Forecasting, Vol. 22, No. 2, 2006
Posted: 15 Aug 2009
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

Abstract:

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Extreme value theory, Value-at-risk, Electricity, EGARCH, Conditional interval coverage

19.

Diversification, Rationality and the Asian Economic Crisis

Pacific-Basin Finance Journal, Vol. 18, pp. 1-23, 2010
Posted: 09 Aug 2009 Last Revised: 05 Jan 2011
Robert G. Bowman, Kam Fong Chan and Matthew R. Comer
University of Auckland - Department of Accounting and Finance, The University of Western Australia and First New Zealand Capital

Abstract:

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Asian Crisis, Contagion, Economic fundamentals, International diversification

20.

A New Approach to Characterizing and Forecasting Electricity Price Volatility

International Journal of Forecasting, Vol. 24, No. 4, 2008
Posted: 09 Aug 2009
Kam Fong Chan, Philip Gray and Bart van Campen
The University of Western Australia, Department of Banking and Finance, Monash University and University of Auckland - Department of Economics

Abstract:

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Realized volatility, Bipower variation, Quadratic variation, Jumps, Volatility forecast