Tse-Chun Lin

The University of Hong Kong - Faculty of Business and Economics

Pokfulam Road

Hong Kong

China

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SCHOLARLY PAPERS

30

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12,633

CITATIONS

30

Scholarly Papers (30)

A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Number of pages: 50 Posted: 27 Feb 2007 Last Revised: 13 Jan 2015
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 3,280 (2,217)
Citation 20

Abstract:

Risk exposure, Abnormal return, Private equity

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds

Netspar Discussion Paper No. 02/2011-121
Number of pages: 51 Posted: 25 May 2012
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 178 (137,791)
Citation 19

Abstract:

Risk exposure, abnormal return, private equity

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds

NBER Working Paper No. w14144
Number of pages: 53 Posted: 30 Jun 2008
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 56 (309,803)
Citation 20

Abstract:

2.

How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments

Review of Finance, Forthcoming
Number of pages: 47 Posted: 22 Mar 2010 Last Revised: 09 Jul 2011
Joost Driessen, Tse-Chun Lin and Otto Van Hemert
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and Man AHL
Downloads 904 (16,820)
Citation 1

Abstract:

52-week high, 52-week low, implied volatility, beta, volatility, anchoring, prospect theory, investor attention, barrier, support level, resistance level

3.

Why Do Options Prices Predict Stock Returns?

Netspar Discussion Paper No. 07/2013-079
Number of pages: 49 Posted: 25 Feb 2014
Tse-Chun Lin, Xiaolong Lu and Joost Driessen
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and Tilburg University - Department of Finance
Downloads 708 (21,947)
Citation 1

Abstract:

Informed traders, corporate events, implied volatility spread, implied volatility skew, short-sale constraint

4.

Why Do Options Prices Predict Stock Returns? Evidence from Analyst Tipping

Journal of Banking and Finance, Forthcoming, EFA 2013 Cambridge Meetings Paper, WFA 2013 Lake Tahoe Meetings Paper, CICF 2012 Chongqing Meetings Paper
Number of pages: 42 Posted: 31 Oct 2012 Last Revised: 23 Nov 2014
Tse-Chun Lin and Xiaolong Lu
The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 688 (23,356)

Abstract:

Informed traders, analyst tipping, implied volatility spread, implied volatility skew, market liquidity

5.

Do Superstitious Traders Lose Money?

Forthcoming: Management Science
Number of pages: 80 Posted: 10 Aug 2014 Last Revised: 14 Oct 2016
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, National Chengchi University (NCCU) - Department of International Business, The University of Hong Kong - Faculty of Business and Economics and The Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 545 (23,862)

Abstract:

superstition, limit order clustering, investment performance, individual investors

6.

Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments

Forthcoming, Review of Financial Studies
Number of pages: 59 Posted: 09 Jun 2010 Last Revised: 23 Sep 2014
Xiaohui Gao Bakshi and Tse-Chun Lin
University of Maryland - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 444 (35,811)
Citation 5

Abstract:

Natural experiments, lottery, stock trading, substitution effect, fun and excitement

7.

Why Does the Option to Stock Volume Ratio Predict Stock Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 22 Jul 2014 Last Revised: 17 Aug 2015
Li Ge, Tse-Chun Lin and Neil D. Pearson
Monash University - Monash Business School, The University of Hong Kong - Faculty of Business and Economics and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 417 (17,769)

Abstract:

Option trading volume, stock return predictability, information, leverage

8.

Informational Content of Options Trading on Acquirer Announcement Return

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 64 Posted: 15 Jul 2013 Last Revised: 02 Sep 2013
Konan Chan, Li Ge and Tse-Chun Lin
National Chengchi University (NCCU), Monash University - Monash Business School and The University of Hong Kong - Faculty of Business and Economics
Downloads 329 (47,260)
Citation 4

Abstract:

Merger and Acquisition, Acquirer, Informed Trading, Implied Volatility Spread, Implied Volatility Skew

9.

Does Short-selling Threat Discipline Managers in Mergers and Acquisitions Decisions?

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 48 Posted: 04 Nov 2013 Last Revised: 09 Dec 2016
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 229 (43,837)

Abstract:

short selling threat, mergers and acquisitions, Tobin’s Q, ROA, Regulation SHO-PILOT Program, FAS 123R

10.

Cognitive Limitation and Investment Performance: Evidence from Limit Order Clustering

Review of Financial Studies, Forthcoming
Number of pages: 87 Posted: 19 Jan 2012 Last Revised: 17 Feb 2014
Weiyu Kuo, Tse-Chun Lin and Jing Zhao
National Chengchi University (NCCU) - Department of International Business, The University of Hong Kong - Faculty of Business and Economics and The Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 212 (94,654)

Abstract:

cognitive limitation, cognitive abilities, limit order clustering, investment performance, individual investors, investor learning

11.

What do stock price levels tell us about the firms?

Number of pages: 62 Posted: 16 Mar 2012 Last Revised: 25 Apr 2017
Konan Chan, Fengfei Li, Tse-Chun Lin and Ji-Chai Lin
National Chengchi University (NCCU), The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and Hong Kong PolyU
Downloads 164 (132,390)

Abstract:

Stock price level; O/S; stock splits; price informativeness

12.

Overconfident Individual Day Traders: Evidence from the Taiwan Futures Market

Journal of Banking and Finance, Forthcoming, Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 14 Oct 2011 Last Revised: 22 Apr 2013
Weiyu Kuo and Tse-Chun Lin
National Chengchi University (NCCU) - Department of International Business and The University of Hong Kong - Faculty of Business and Economics
Downloads 151 (127,355)

Abstract:

overconfidence, index futures, day traders, individual investors, learning

13.

Governance Through Trading on Acquisitions of Public Firms

WFA 2013 Lake Tahoe Meetings Paper
Number of pages: 46 Posted: 12 May 2013 Last Revised: 31 Jan 2016
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 135 (140,766)

Abstract:

governance through trading, mergers and acquisitions, public targets, wealth performance sensitivity, Decimalization

14.

Informed Options Trading Prior to Bankruptcy Filings

28th Australasian Finance and Banking Conference, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 47 Posted: 01 Aug 2013 Last Revised: 28 Jul 2016
Monash University - Monash Business School, Singapore Management University - Lee Kong Chian School of Business, UNSW Business School and The University of Hong Kong - Faculty of Business and Economics
Downloads 130 (95,862)

Abstract:

Bankruptcy, O/S, Informed Options Trading, Insider Trading

15.

Contracting with Feedback

FRB International Finance Discussion Paper No. 1143
Number of pages: 65 Posted: 28 Aug 2015
Tse-Chun Lin, Qi Liu and Bo Sun
The University of Hong Kong - Faculty of Business and Economics, Peking University - Department of Finance and Board of Governors of the Federal Reserve System - Division of International Finance
Downloads 129 (181,008)

Abstract:

Feedback effect, CEO compensation, Transaction costs, Reg-SHO Pilot program, Decimalization

16.

Post-Split Drift and Post-Earnings Announcement Drift: One Anomaly or Two?

Number of pages: 43 Posted: 24 Sep 2013 Last Revised: 01 Oct 2016
Konan Chan, Fengfei Li and Tse-Chun Lin
National Chengchi University (NCCU), The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 125 (135,162)

Abstract:

Stock split, post-earnings announcement drift, trading strategy

17.

How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands

Review of Finance, Forthcoming
Number of pages: 59 Posted: 22 Jul 2014 Last Revised: 10 Sep 2015
Tse-Chun Lin and Xiaolong Lu
The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 99 (130,495)

Abstract:

Put options, short-sale costs, lending fee, short selling, 2008 Short-Sale Ban

18.

The 52-Week High Stock Price and Analyst Recommendation Revisions

Number of pages: 57 Posted: 01 Nov 2014 Last Revised: 31 Aug 2016
Fengfei Li, Chen Lin and Tse-Chun Lin
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 80 (97,049)

Abstract:

52-week high; reference point; anchoring heuristic, analyst recommendation revisions; information environment

19.

The Correlated Trading and Investment Performance of Individual Investors

Number of pages: 42 Posted: 30 Aug 2014 Last Revised: 21 Jun 2016
Weiyu Kuo, Tse-Chun Lin and Jing Zhao
National Chengchi University (NCCU) - Department of International Business, The University of Hong Kong - Faculty of Business and Economics and The Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 66 (232,528)

Abstract:

herding, trading correlation, investment performance, individual investors

20.

Ex-Day Returns of Stock Distributions: An Anchoring Explanation

Management Science, Forthcoming.
Number of pages: 47 Posted: 11 Oct 2014 Last Revised: 09 Apr 2017
Eric C. Chang, Tse-Chun Lin, Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics, Fudan University and University of Macau
Downloads 60 (191,399)

Abstract:

anchoring; ex-day return; splits; stock dividends

21.

Dynamic Short-Sales Constraints, Price Limits and Price Delays

Number of pages: 47 Posted: 13 Jan 2009 Last Revised: 12 Sep 2010
Tse-Chun Lin
The University of Hong Kong - Faculty of Business and Economics
Downloads 60 (270,186)

Abstract:

Short-sales constraints, price limits, price delay

22.

Why Do Innovative Firms Hold More Cash? The International Evidence

Number of pages: 70 Posted: 15 Aug 2015 Last Revised: 04 Oct 2016
Po-Hsuan Hsu, Fengfei Li and Tse-Chun Lin
University of Hong Kong, The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 52 (129,176)

Abstract:

innovation efficiency; cash holdings; patent reforms; corporate governance

23.

The Tradeoff between Risk Sharing and Information Production in Financial Markets: Evidence from Stock Splits

Number of pages: 44 Posted: 17 Sep 2015
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 16 (295,290)

Abstract:

risk sharing, stock price informativeness, stock split, long run stock returns, post-split return drifts

24.

Overconfident Banks and Firm Innovations

Number of pages: 52 Posted: 25 Jan 2017 Last Revised: 05 Mar 2017
National Taiwan University - Department of Finance, National Taiwan University, Yuan Ze University and The University of Hong Kong - Faculty of Business and Economics
Downloads 0 (363,135)

Abstract:

CEO overconfidence, bank lending, R&D, patents and citations, Tobin’s q

25.

Attention Allocation and Return Co-Movement: Evidence from Repeated Natural Experiments

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016
Number of pages: 70 Posted: 20 Nov 2016
Shiyang Huang, Yulin Huang and Tse-Chun Lin
The University of Hong Kong - School of Economics and Finance, The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 0 (248,252)

Abstract:

limited attention, attention allocation, return co-movement, earnings surprises

26.

Yesterday Once More: Short Selling and Two Banking Crises

Number of pages: 54 Posted: 20 May 2016 Last Revised: 05 Mar 2017
Dien Giau Bui, Chih-Yung Lin and Tse-Chun Lin
National Taiwan University - Department of Finance, Yuan Ze University and The University of Hong Kong - Faculty of Business and Economics
Downloads 0 (239,251)

Abstract:

Short selling; financial crisis; predictability; risk culture

27.

Stock Price Crashes and Equity Lending Market Condition: Evidence from Lending Fees and Fee Risk

Number of pages: 59 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Eric C. Chang, Tse-Chun Lin and Xiaorong Ma
University of Hong Kong - School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - School of Business
Downloads 0 (149,146)

Abstract:

stock price crash risk, short selling risk, lending fee, fee risk, information uncertainty, short interest

28.

Skewness, Individual investor preference, and the Cross-Section of Stock Returns

Review of Finance, Forthcoming
Number of pages: 63 Posted: 21 Oct 2015 Last Revised: 13 Mar 2017
Tse-Chun Lin and Xin Liu
The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 0 (93,923)

Abstract:

MAX, lottery-like features, skewness, individual investor preference index, cross-sectional return predictability

29.

Equity Short Selling and the Bank Loan Market

Number of pages: 68 Posted: 24 Sep 2015 Last Revised: 28 Sep 2016
Po-Hsin Ho, Chih-Yung Lin and Tse-Chun Lin
National Taipei University, Yuan Ze University and The University of Hong Kong - Faculty of Business and Economics
Downloads 0 (144,464)

Abstract:

Pilot program, short selling, bank loan spread, information asymmetry, agency problem

30.

What do stock price levels tell us about the firms?

Number of pages: 62 Posted: 16 Mar 2012
Konan Chan, Fengfei Li, Tse-Chun Lin and Ji-Chai Lin
National Chengchi University (NCCU), The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and Hong Kong PolyU
Downloads 0 (516,400)

Abstract:

Stock price level; O/S; stock splits; price informativeness