Cheng-Few Lee

Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

Professor

111 Washington Avenue

Newark, NJ 07102

United States

  • Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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    • Tel: 732-445-3907
    • Fax: 732-445-5927
SCHOLARLY PAPERS

37

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Scholarly Papers (37)

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1.

Technical, Fundamental, and Combined Information for Separating Winners from Losers

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 52 Posted: 16 Apr 2010 Last Revised: 29 Jul 2016
Hong-Yi Chen, Cheng-Few Lee and Wei-Kang Shih
National Chengchi University - Department of Finance, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 2,527 (7,650)
Citation 2

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BOS ratio; Combined investment strategy; Financial statement analysis; Fundamental analysis; Momentum strategies; Technical analysis; Trading volume

2.

Does Revenue Momentum Drive or Ride Earnings or Price Momentum?

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 22 Mar 2010 Last Revised: 11 Oct 2013
Hong-Yi Chen, Sheng‐Syan Chen, Chin-Wen Hsin and Cheng-Few Lee
National Chengchi University - Department of Finance, National Taiwan University - Department of Finance, Yuan-Ze University - Department of Finance and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 1,384 (19,764)
Citation 7

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Revenue Surprises; Earnings Surprises; Post-Earnings-Announcement Drift; Momentum Strategies

3.

Cash Holdings, Corporate Governance Structure and Firm Valuation

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Cash Holdings, Corporate Governance Structure and Firm Valuation

Number of pages: 41 Posted: 14 Jan 2010
Cheng-Few Lee and Kin‐Wai Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and Nanyang Technological University (NTU)
Downloads 539 (71,530)
Citation 8

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Cash holdings, corporate governance, firm performance.

Cash Holdings, Corporate Governance Structure and Firm Valuation

Review of Pacific Basin Financial Markets and Policies, Vol. 12, No. 3, pp. 475-508, 2009
Posted: 22 Apr 2010
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Cash Holdings, Corporate Governance, Firm Performance

4.

Advances in Quantitative Analysis of Finance and Accounting

Cheng-Few Lee, ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING, Vol. 6, World Scientific, March 2008
Number of pages: 1 Posted: 09 Sep 2009 Last Revised: 16 Sep 2009
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 319 (132,277)

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Hedging Strategies, Expense Mismatching, Stock Split, Trading Volume, Portfolio Optimization, Intraday Patterns, Earnings Management, International Winner-Loser Effect

5.

Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence

Journal of Corporate Finance, Vol. 17, No. 3, 2011
Number of pages: 45 Posted: 05 Apr 2010 Last Revised: 20 Apr 2014
Cheng-Few Lee, Manak Gupta, Hong-Yi Chen and Alice C. Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Temple University - Department of Finance, National Chengchi University - Department of Finance and State Street Corporate
Downloads 295 (143,686)

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Dividend Policy, Optimal Payout Ratio, Financial Flexibility, Uncertainty

6.

A Comparison of Alternative Models for Estimating Firm's Growth Rate

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 36 Posted: 31 Aug 2015
Ivan E. Brick, Hong-Yi Chen, Chia-Hsun Hsieh and Cheng-Few Lee
Rutgers Business School, National Chengchi University - Department of Finance, National Central University and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 199 (210,428)
Citation 2

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Arithmetic average method; Compound-sum method; Continuous regression method; Discount cash flow model; Discrete regression method; Dividend growth model; Geometric average method; Gordon’s growth model; Growth rate; Internal growth model; Sustainable growth model

7.

Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach

Journal of Banking and Finance, Vol. 37, No. 4, 2013
Number of pages: 61 Posted: 22 Mar 2010 Last Revised: 11 Mar 2015
Hong-Yi Chen, Manak Gupta, Alice C. Lee and Cheng-Few Lee
National Chengchi University - Department of Finance, Temple University - Department of Finance, State Street Corporate and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 106 (345,562)
Citation 1

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Dividend Policy; Payout Ratio; Growth Rate; Specification Error; Logistic Equation, Partial Adjustment Model, Mean Reverting Process

8.

Alternative Methods to Derive Statistical Distribution of Sharpe Performance Measure: Review, Comparison, and Extension

Number of pages: 31 Posted: 15 Aug 2013
Lie-Jane Kao and Cheng-Few Lee
Kainan University and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 99 (361,544)

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Sharpe ratio, Stationary, i.i.d., Non-central t distribution, Asymptotic normal distribution, skewed and leptokurtic, strictly-stationary-ergodicity, weakly-stationary–ergodicity

9.

Alternative Errors-in-Variables Models and Their Applications in Finance Research

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 44 Posted: 12 Mar 2015
Hong-Yi Chen, Alice C. Lee and Cheng-Few Lee
National Chengchi University - Department of Finance, State Street Corporate and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 93 (376,059)

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Measurement error; Errors-in-variables; Cost of capital; Capital structure; Investment equation; Capital asset pricing model; Classical method; Grouping method; Instrumental variable method, Mathematical programming method, Maximum likelihood method, LISREL method; Bayesian approach

10.

Exchange Rate Risk in the U.S. Stock Market: A Pooled Panel Data Regression Approach

Number of pages: 40 Posted: 25 Jun 2019
Cheng-Few Lee, Cindy S.H. Wang and Andrew Y.M. Xie
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Catholic University of Louvain (UCL)Peking University, HSBC Business School and affiliation not provided to SSRN
Downloads 60 (482,848)
Citation 1

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Panel data analysis, Error cross-sectional dependency, Exchange rate exposure, Capital flows, Common factors, Risk management

11.

Does CEO Power Affect The Association Between CEO Compensation and Tangible Assets Impairments?

Review of Pacific Basin Financial Markets and Policies, 2021
Posted: 19 Jul 2021
Kin‐Wai Lee, Cheng-Few Lee and Gillian H. H. Yeo
Nanyang Technological University (NTU), Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and Nanyang Technological University (NTU) - Division of Accounting

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CEO compensation, Assets Impairment, Corporate Governance

12.

Application Of Discriminant Analysis, Factor Analysis, Logistic Regression, And KMV-Merton Model In Credit Risk Analysis

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Chapter 126, ed. by Cheng-Few Lee, World Scientific Publishing Co. Ltd. ISBN: 978-981-12-0238-4
Posted: 06 May 2020
Cheng-Few Lee and Hai-Chin Yu
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and Chung Yuan Christian University

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Discriminant Analysis, Factor Analysis, Logistic Regression, KMV-Merton Model, Probit Model, MIDAS Logit Model, Hazard Model, Merton Distance Model

13.

Financial Reforms and The Differential Impact of Foreign versus Domestic Banking Relationships on Firm Value

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Chapter 25, ed. by Cheng-Few Lee, World Scientific Publishing Co. Ltd. ISBN: 978-981-12-0238-4
Posted: 06 May 2020
Hai-Chin Yu, Cheng-Few Lee and Ben J. Sopranzetti
Chung Yuan Christian University, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and Rutgers Business School: Newark and New Brunswick

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foreign bank relationships, foreign bank debt, financial reform

14.

Banking Relationships, Managerial Incentives, Board Monitoring and Corporate Cash Holdings: An Emerging Market Perspective

Review of Quantitative Finance and Accounting, volume 44, pages 353–378. (2015)
Posted: 05 May 2020
Hai-Chin Yu, Ben J. Sopranzetti and Cheng-Few Lee
Chung Yuan Christian University, Rutgers Business School: Newark and New Brunswick and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Bank monitoring, Managerial ownership, Banking relationship, Corporate governance, Cash holdings

15.

Evaluation of Small- and Medium-Sized Display Market Forecasts

International Journal of Information Technology & Decision Making, Vol. 7, No. 3, pp. 517-528, 2008
Posted: 24 Apr 2010
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Forecasting, small and medium display, LCD, Theil's U, nonparametric methods

16.

The Relationship between European Convertible Bond Issues and Corporate Governance: A Study of Electronics Companies in Taiwan

Review of Pacific Basin Financial Markets and Policies, Vol. 12, No. 2, pp. 309-359, 2009
Posted: 24 Apr 2010
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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European convertible bond, corporate governance

17.

Preface to China-Concept Factor and Stock Returns in Taiwan

Pacific Basin Financial Markets and Policies, Vol. 11, No. 1, pp. 99-122, 2008
Posted: 22 Apr 2010
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Stock returns, China-concept, factor models, common variation

18.

Efficient Market Hypothesis (EMH): Past, Present and Future

Review of Pacific Basin Financial Markets and Policies, Vol. 11, No. 2, pp. 305-329, 2008
Posted: 22 Apr 2010
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Efficient market hypothesis (EMH), historical origin of the EMH, empirical evidence bearing on the EMH, overall assessment of the EMH

19.

Exploring the Root-Leaf Relationship Between the Manufacturing and Financial Services Industry in Taiwan

Review of Pacific Basin Financial Markets and Policies
Posted: 22 Apr 2010 Last Revised: 03 May 2010
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Error correction model (ECM), Granger causality, economic growth

20.

Empirical Performance of the Constant Elasticity Variance Option Pricing Model

Review of Pacific Basin Financial Markets and Policies, Forthcoming
Posted: 22 Apr 2010 Last Revised: 04 May 2010
Ren-Raw Chen, Cheng-Few Lee and Han-Hsing Lee
Fordham University - Gabelli School of Business, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and National Chiao-Tung University

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Constant-Elasticity-of-Variance (CEV) Process, Option Pricing Model, Empirical Performance, Numerical Experiment

21.

Variation in Stock Returns Risks: An International Comparison

Review of Pacific Basin Financial Markets and Policies, Vol. 12, No. 2, pp. 245-266, 2009
Posted: 14 Mar 2010
Wan-Jiun Paul Chiou and Cheng-Few Lee
Central Michigan University - Department of Finance and Law and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Conditional volatility, international market systematic risk, GARCH, Mann-Whitney test

22.

Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market

Pacific Basin Financial Markets and Policies
Posted: 20 Oct 2009 Last Revised: 04 May 2010
Weihua Shi and Cheng-Few Lee
University of Southern Mississippi and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Volatility persistence, high-frequency returns, Japanese government bond futures

23.

Are Structural VARs with Long-Run Restrictions Useful for Developing Monetary Policy Strategy in Egypt?

Review of Pacific Basin Financial Markets and Policies, Vol. 12, Issue 3, pp. 509-527, 2009
Posted: 18 Oct 2009
Ahmed Hachicha and Cheng-Few Lee
University of Sfax - Faculty of Economics and Management (FSEGS) and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Monetary policy, bank lending channel, interest rate channel, Egyptian economy, SVAR models, contemporaneous restrictions, long run restrictions

24.

Preface to 'Advances in Quantitative Analysis of Finance and Accounting' (Volume 4)

C. Lee, Advances in Quantitative Analysis of Finance and Accounting, Vol. 4, World Scientific, 2006
Posted: 04 Oct 2009
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Earnings Management, Management Compensation, Option Theory and Application, Debt Management and Interest Rate Theory, Portfolio Diversification, Earnings Surprise

25.

Preface to 'Advances in Quantitative Analysis in Financial and Accounting: Essays in Microstructure' in Honor of David K. Whitcomb (Vol. 3)

Advances in Quantitative Analysis of Finance and Accounting, I. Brick, T.. Ronen, C. Lee, ESSAYS IN MICROSTRUCTURE, Vol. 3, World Scientific, 2006
Posted: 03 Oct 2009
Ivan E. Brick, Tavy Ronen and Cheng-Few Lee
Rutgers Business School, Rutgers Business School -Newark and New Brunswick, Department of Finance & Economics and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Liquidity, Volatility, Limit Orders, Microstructure, Trading Structure

26.

Advances in Quantitative Analysis of Finance and Accounting (Vol. 5)

ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING, Cheng-Few Lee, ed., World Scientific Publishing, 2007
Posted: 25 Sep 2009
Cheng-Few Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Monte Carlo Simulations, REIT, IPO, Fractional Integration, Seasonality, Long Memory, Macroeconomic Shocks, VAR, Interest Rates

27.

Financial Analysis, Planning and Forecasting: Theory and Application (2nd Edition)

THEORY AND APPLICATION, 2nd Edition
Posted: 05 Sep 2009
Alice C. Lee, John C. Lee and Cheng-Few Lee
affiliation not provided to SSRN, affiliation not provided to SSRN and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Financial Management, Discriminant Analysis, Factor Analysis, Credit Risk, Capital Structure, Diversification, Option Pricing Theory, Capital Budgeting, Short-term Financial Decisions, Financial Planning and Forecasting

28.

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

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Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Review of Pacific Basin Financial Markets and Policies (RPBFMP), Vol. 12, No. 1, 2009
Posted: 10 Jun 2009 Last Revised: 16 Jun 2009
Weihua Shi, Larry Eisenberg and Cheng-Few Lee
University of Southern Mississippi, New Jersey Institute of Technology and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Intraday patterns, announcement effects, volatility persistence

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Review of Pacific Basin Financial Markets and Policies, Vol. 12, No. 1, pp. 63-85, 2009
Posted: 22 Apr 2010
Weihua Shi and Cheng-Few Lee
University of Southern Mississippi and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Intraday patterns, announcement effects, volatility persistence

29.

Multiple Banking Relationships, Managerial Ownership Concentration and Firm Value: A Simultaneous Equations Approach

The Quarterly Review of Economics and Finance, 52 (2012), 286-297. , Quarterly Review of Economics and Finance, Vol. 52, 2012
Posted: 27 Jan 2004 Last Revised: 09 Apr 2020
Hai-Chin Yu, Ben J. Sopranzetti and Cheng-Few Lee
Chung Yuan Christian University, Rutgers Business School: Newark and New Brunswick and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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Bank Monitoring, Bank Relationships, Managerial Incentive, Corporate Governance.

30.

How Does Strategic Competition Affect Firm Values? A Study of New Product Announcements

Financial Management, Vol. 31, No. 2, Summer
Posted: 29 May 2002
Sheng-Syan Chen, Wai Ho Kim, Kueh Hwa Ik and Cheng-Few Lee
National Taiwan University - College of Management, Nanyang Technological University (NTU), Unza Group of Companies and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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31.

Are Expected Inflation and Expected Real Return Negatively Correlated? A Long-Run Test of the Mundell-Tobin Hypothesis

Posted: 27 Sep 2001
Keshab Shrestha, Sheng-Syan Chen and Cheng-Few Lee
Nanyang Business School, Nanyang Technological University, National Taiwan University - College of Management and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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32.

Stock Returns and Volatility on China's Stock Markets

Posted: 08 Nov 2000
Cheng-Few Lee, Gong-meng Chen, Oliver M. Rui and Oliver M. Rui
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Hong Kong Polytechnic University - School of Accounting and Finance and China Europe International Business School (CEIBS)affiliation not provided to SSRN

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33.

Linear Conditional Expectation, Return Distributions, and Capital Asset Pricing Theories

Posted: 20 Aug 1999
Cheng-Few Lee, K.C. John Wei and Alice C. Lee
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Hong Kong Polytechnic University and PriceWaterhouseCoopers LLP - Arlington Office

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34.

The Effects of Executive Share Option Plans on Shareholder Wealth and Firm Performance: The Singapore Evidence

Posted: 21 Mar 1999
Cheng-Few Lee, Gillian H. H. Yeo, Sheng-Syan Chen and Wai Ho Kim
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Nanyang Technological University (NTU) - Division of Accounting, National Taiwan University - College of Management and Nanyang Technological University (NTU)

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35.

Indirect Tests of the Haugen-Lakonishok Small-Firm/January Effect Hypotheses: Window Dressing Versus Performance Hedging

Financial Review, Vol. 2, May 1998
Posted: 16 Jun 1998
Cheng-Few Lee, David C. Porter and Daniel G. Weaver
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, University of Wisconsin and Rutgers Business School

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36.

Functional Form of Stock Return Model: Some International Evidence

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol. 37, No. 1, Spring 1997
Posted: 06 Mar 1997
M.M. Chaudhury and Cheng-Few Lee
affiliation not provided to SSRN and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

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37.

Hedging with the Nikkei Index Futures: Conventional Model Versus Error Correction Model

QUARTERLY REVIEW OF ECONOMICS AND FINANCE
Posted: 07 Nov 1996
Cheng-Few Lee, W.L. Chou and K. K. Fan
Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, The Chinese University of Hong Kong (CUHK) - Department of Economics and Chinese University of Hong Kong

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