Pin-Huang Chou

National Central University

Professor of Finance

Department of Finance

Taoyuan, 32001

Taiwan

http://mgt.ncu.edu.tw/~choup

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SCHOLARLY PAPERS

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Scholarly Papers (12)

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1.

Persistency of the Momentum Effect

European Financial Management (2016)
Number of pages: 48 Posted: 28 Aug 2015 Last Revised: 24 Jun 2018
Hong-Yi Chen, Pin-Huang Chou and Chia-Hsun Hsieh
National Chengchi University - Department of Finance, National Central University and National Central University
Downloads 1,243 (29,108)
Citation 2

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Delayed reaction hypothesis; Duration; Persistent losers; Persistent momentum strategy; Persistent winners; Heterogeneous beliefs; Information asymmetry

2.

Bootstrap Tests for Multivariate Event Studies

Number of pages: 23 Posted: 11 Feb 1999
Pin-Huang Chou
National Central University
Downloads 480 (103,298)
Citation 1

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3.

Do Macroeconomic Factors Subsume Market Anomalies in Long Investment Horizons?

Number of pages: 40 Posted: 09 Jun 2004
Pin-Huang Chou, Wen-Shen Li, S. Ghon Rhee and Jane-Sue Wang
National Central University, National Central University - Department of Finance, University of Hawaii at Manoa - Shidler College of Business and Ming Chuan University - Department of Economics
Downloads 240 (218,622)

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investment horizon, beta, size, book-to-market equity, CAPM, macroeconomic factors

4.

What Drives the Liquidity Premium: Factors or Characteristics?

Number of pages: 40 Posted: 20 Feb 2011
Pin-Huang Chou, Kuan-Cheng Ko and K.C. John Wei
National Central University, National Chi Nan University - College of Management and Hong Kong Polytechnic University
Downloads 183 (280,817)

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Liquidity Premium, Factor Model, Characteristic-Based Model

5.

What Explains the Orange Juice Puzzle: Sentiment, Smart Money, or Fundamentals?

Journal of Financial Markets, Forthcoming
Number of pages: 41 Posted: 16 Nov 2015
Pin-Huang Chou, Chia-Hsun Hsieh and Carl Hsin-han Shen
National Central University, National Central University and Macquarie University, Macquarie Business School
Downloads 136 (359,542)
Citation 1

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orange juice; temperature; investor sentiment; smart money

6.

Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 38 Posted: 27 Dec 2009
Pin-Huang Chou, Kuan-Cheng Ko, Szu-Tsen Kuo and Shinn-Juh Lin
National Central University, National Chi Nan University - College of Management, National Central University and National Chengchi University
Downloads 128 (376,478)

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factors, characteristics, asset-pricing anomalies, Fama-MacBeth cross-sectional regression, least-trimmed squares

7.

Factors, Characteristics and Endogenous Structural Breaks: Evidence from Japan

Number of pages: 36 Posted: 18 Aug 2011
Pin-Huang Chou, Kuan-Cheng Ko and Shinn-Juh Lin
National Central University, National Chi Nan University - College of Management and National Chengchi University
Downloads 79 (521,669)
Citation 2

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factor model, characteristic model, structural break, Japanese market

8.

Assessing the Size of Asset Pricing Tests Under Perfect Ex Ante Efficiency

Number of pages: 28 Posted: 02 Feb 2004
Pin-Huang Chou and Mei-Chen Lin
National Central University and National Lien-Ho Institute of Technology
Downloads 68 (567,257)

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asset pricing tests, market portfolio, buy-and-hold, rebalanced portfolio

9.

Determining the Number of Factors in the Factor Zoo

Number of pages: 15 Posted: 19 Aug 2023
Pin-Huang Chou
National Central University
Downloads 34 (763,057)

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anomalies, factor zoo, asymptotic principal components.

10.

The Pitfall of Using Sharpe Ratio

Posted: 21 Nov 2003
Mei Chen and Pin-Huang Chou
National Central University - Department of Finance and National Central University

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Sharpe Ratio, Block Resampling, Investment Horizon

11.

Alternative Tests of the Zero-Beta CAPM

Posted: 29 Feb 2000
Pin-Huang Chou
National Central University

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12.

Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio

Posted: 19 Nov 1996
Pin-Huang Chou
National Central University

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