Huu Nhan Duong

Monash University - Department of Banking and Finance

Melbourne

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

37

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Scholarly Papers (37)

1.

Powerful CEOs and Stock Price Crash Risk

FIRN Research Paper No. 2791707
Number of pages: 70 Posted: 20 Jun 2016 Last Revised: 10 Jan 2019
La Trobe University - Department of Economics and Finance, La Trobe University - School of Economics and Finance and Monash University - Department of Banking and Finance
Downloads 735 (32,770)

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CEO power, CEO option delta, CEO overconfidence, CEO general skills, stock price crash risk, corporate governance.

2.

Navigating through Economic Policy Uncertainty: The Role of Corporate Cash Holdings

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 73 Posted: 30 Jan 2017 Last Revised: 08 Aug 2018
Monash University - Department of Banking and Finance, Victoria University of Wellington - Victoria Business School, RMIT- School of Economics, Finance and Marketing and University of Hawaii - Shidler College of Business
Downloads 216 (138,791)

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Policy uncertainty; cash holdings; financial constraints; corporate innovation; value of cash holdings

3.

Measuring Immediate Price Impact Using Nonparametric Models

Number of pages: 61 Posted: 25 Jan 2015
Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 140 (203,203)

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Market Impact, Indexing, High Frequency Trading, Nonparametric, Generalized Additive Models

4.

Trading Volume, Realized Volatility and Jumps on the Australian Stock Market

Journal of International Financial Markets Institutions and Money, Forthcoming
Number of pages: 33 Posted: 10 May 2014
Monash University, Monash University - Department of Banking and Finance, La Trobe Business School and Deakin University - School of Accounting, Economics and Finance
Downloads 105 (252,166)

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Volatility, Information flow, Jump

5.

A Comparison of the Forecasting Ability of Immediate Price Impact Models

Number of pages: 37 Posted: 28 Oct 2014 Last Revised: 22 Sep 2015
Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 97 (265,903)

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Market Impact, Trading Costs, Out-of-sample forecasting

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 23 Jun 2016
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 41 (421,550)

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Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 44 Posted: 19 Jan 2017
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 31 (465,902)

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Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 22 Jan 2016 Last Revised: 01 May 2016
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 24 (504,770)

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Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

7.

Dividend Initiations, Information Content and Informed Trading in the Options Market

2016 Financial Markets and Corporate Governance
Number of pages: 48 Posted: 12 Oct 2015 Last Revised: 18 Jan 2016
La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance, University of Birmingham - Department of Accounting and Finance and Dept. of Economics and Finance, La Trobe University
Downloads 96 (267,715)

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Dividend initiations, options trading, O/S, call/put options, volatility surface, abnormal earnings, stock liquidity

8.

Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size: An Analysis of Australian Market

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 36 Posted: 01 Dec 2010 Last Revised: 05 Sep 2014
Yang Sun, Huu Nhan Duong and Harminder Singh
School of Accounting, Economics and Finance, Deakin University, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 93 (273,262)

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size, Information Asymmetry, Volume, Return

9.

Does Exposure to Foreign Competition Affect Stock Liquidity? Evidence from Industry-Level Import Data

Journal of Financial Markets, Forthcoming
Number of pages: 70 Posted: 12 Jan 2017 Last Revised: 14 Dec 2017
Department of Economics and Finance, La Trobe University, La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance and Deakin University
Downloads 92 (275,123)

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Stock Liquidity, Foreign Competition, Import Tariff

10.

Economic Policy Uncertainty and Firm Tax Avoidance

Number of pages: 48 Posted: 13 Dec 2017 Last Revised: 16 Jan 2018
Monash University - Department of Banking and Finance, Deakin University - Department of Accounting, Victoria University of Wellington - Victoria Business School and RMIT- School of Economics, Finance and Marketing
Downloads 91 (277,060)

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Policy uncertainty, tax avoidance, financial constraints

The Information Content of Special Orders

Pacific-Basin Finance Journal, Forthcoming, FIRN Research Paper No. 2786185
Number of pages: 37 Posted: 05 Jun 2016
Huu Nhan Duong, Paul Lajbcygier and Van Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance and Department of Economics and Finance, La Trobe University
Downloads 88 (285,292)

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Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading

The Information Content of Special Orders

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 34 Posted: 01 Feb 2016
Huu Nhan Duong, Paul Lajbcygier and Van Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance and Department of Economics and Finance, La Trobe University
Downloads 3 (645,195)

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Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading

12.

Volume Reaction to Firm Specific News Announcements

Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 02 Oct 2012
Huu Nhan Duong, Petko S. Kalev and Priyantha Mudalige
Monash University - Department of Banking and Finance, La Trobe Business School and Curtin University- School of Economics, Finance and property
Downloads 86 (287,051)

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Institutional investors, Individual investors, Abnormal volume, Standard volume, Firm specific news, Scheduled news, Unscheduled news

13.

Pension Deficits and the Design of Private Debt Contracts

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 59 Posted: 29 Mar 2018
Balasingham Balachandran, Huu Nhan Duong and Van Vu
La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance and Department of Economics and Finance, La Trobe University
Downloads 84 (291,279)

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14.

Trading Volume Around Firm-Specific Announcements

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 26 Aug 2013 Last Revised: 21 Oct 2013
Priyantha Mudalige, Petko S. Kalev and Huu Nhan Duong
Curtin University- School of Economics, Finance and property, La Trobe Business School and Monash University - Department of Banking and Finance
Downloads 66 (334,016)

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Institutional investors, Individual investors, Standard volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

15.

Informed Trading in Option Markets around Accelerated Share Repurchase Announcements

27th Australasian Finance and Banking Conference 2014 Paper, 8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 46 Posted: 22 Aug 2014 Last Revised: 31 Jan 2017
La Trobe University - Faculty of Business, Economics and Law, La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance and University of Birmingham - Department of Accounting and Finance
Downloads 64 (339,370)

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Accelerated share repurchase, options trading, option to shares ratio, option volume, option liquidity, pseudo analysis, implied volatility skew and spread, volatility surface.

16.

Individual and Institutional Trading Volume Around Firm-Specific Announcements

Number of pages: 36 Posted: 22 Jan 2016
Priyantha Mudalige, Petko S. Kalev and Huu Nhan Duong
Curtin University- School of Economics, Finance and property, La Trobe Business School and Monash University - Department of Banking and Finance
Downloads 59 (353,429)

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Institutional investors, Individual investors, Trading volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

17.

Short Selling, Trading Activity and Volatility in Corporate Bond Market

31st Australasian Finance and Banking Conference 2018
Number of pages: 52 Posted: 18 Aug 2018
Huu Nhan Duong, Petko S. Kalev and Xiao Tian
Monash University - Department of Banking and Finance, La Trobe Business School and La Trobe University
Downloads 53 (371,838)

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Short Selling; Corporate Bond Market; Difference of Opinion; Volatility

18.

Information Asymmetry, Trade Size, and the Dynamic Volume-Return Relation: Evidence from the Australian Securities Exchange

Financial Review, Forthcoming
Number of pages: 38 Posted: 29 May 2014
Yang Sun, Huu Nhan Duong and Harminder Singh
School of Accounting, Economics and Finance, Deakin University, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 51 (378,183)

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Trade-size, Information Asymmetry, Volume-Return Relation

19.

Are Corporate General Counsels Effective Monitors - Evidence from Stock Price Crash Risk?

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 50 Posted: 31 Oct 2018
La Trobe University - Department of Economics and Finance, La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance and Deakin University
Downloads 49 (384,794)

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Corporate general counsel. Discretionary accruals. Opaque financial reports. Stock price crash risk

20.

Do Banks Learn from Other Financial Markets? Evidence from Loan Contract Design

Number of pages: 43 Posted: 23 May 2018
Huu Nhan Duong, S. Ghon Rhee and Van Vu
Monash University - Department of Banking and Finance, University of Hawaii - Shidler College of Business and Department of Economics and Finance, La Trobe University
Downloads 46 (395,109)

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Option implied volatility skewness, Short selling interest, Bank loan contracts

21.

Does Threat of Takeover Affect Default Risk?

Number of pages: 58 Posted: 12 Mar 2019 Last Revised: 13 Jun 2019
La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance, Victoria University of Wellington - Faculty of Commerce and Administration and Victoria University of Wellington
Downloads 44 (402,216)

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Takeover Market, Default Risk, Information Asymmetry, Corporate Governance, Earnings Quality

22.

Does Option Trading Affect Audit Pricing?

Number of pages: 51 Posted: 31 Oct 2018 Last Revised: 02 Dec 2018
La Trobe University - Department of Accounting and Management, La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance, Roehampton University and University of Birmingham - Department of Accounting and Finance
Downloads 44 (402,216)

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Audit Fees; Option Trading; Information Asymmetry; Agency Costs, Governance; Earnings Quality.

23.

Anonymity and the Information Content of the Limit Order Book

Journal of International Financial Markets, Institutions and Money, Vol. 30, 2014
Number of pages: 36 Posted: 29 May 2014
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 41 (413,171)

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24.

Information Content of Directors’ Trading Around Acquisition

Pacific Basin Finance Journal, Forthcoming, 2015 Financial Markets & Corporate Governance Conference
Number of pages: 45 Posted: 31 Jan 2015 Last Revised: 22 Apr 2016
Syed Shams, Huu Nhan Duong and Harminder Singh
University of Southern Queensland, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 34 (441,209)

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Directors’ trading, abnormal returns, information content, operating performance

25.

Pre-trade Transparency and the Information Content of the Limit Order Book

Market Microstructure and Nonlinear Dynamics - Keeping Financial Crisis in Context, edited by Gilles Dufrénot, Fredj Jawadi and Wael Louhichi (Eds), Springer-Verlag, 2014, 2012 Financial Markets & Corporate Governance Conference, 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 31 Posted: 26 Aug 2011 Last Revised: 08 Feb 2015
Huu Nhan Duong, Petko S. Kalev and Yang Sun
Monash University - Department of Banking and Finance, La Trobe Business School and University of South Australia
Downloads 34 (441,209)

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Limit Order Book, Pre-trade Transparency, Information Content, Interest Rate Futures

26.

Liquidity Provision and Informed Trading by Individual Investors

Pacific-Basin Finance Journal, Forthcoming, 2014 Financial Markets & Corporate Governance Conference
Number of pages: 45 Posted: 31 Jan 2014 Last Revised: 07 Feb 2015
Xiao Tian, Binh Huu Do, Huu Nhan Duong and Petko S. Kalev
La Trobe University, Monash University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 32 (449,753)

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Individual investors, Future stock returns, Algorithmic trading, Liquidity provision, Informed trading

27.

The Effect of Anonymity on Price Efficiency: Evidence from the Removal of Broker Identities

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 33 Posted: 13 Jul 2018
Huu Nhan Duong, Paul Lajbcygier, Jerry Lu and Van Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance, Monash University and Department of Economics and Finance, La Trobe University
Downloads 27 (473,727)

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Broker Identities, Price Discovery, Anonymity

28.

Anonymity and Order Submissions

Pacific-Basin Finance Journal, Vol. 25, 2013
Number of pages: 37 Posted: 07 Aug 2009 Last Revised: 07 Feb 2015
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 25 (484,374)

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Anonymity; Institutional investors; Individual investors; Order submissions

29.

High-frequency Trading around Reserve Bank of Australia (RBA) Announcements

2019 Financial Markets & Corporate Governance Conference
Number of pages: 33 Posted: 23 Jan 2019 Last Revised: 18 Apr 2019
Vinh Duc Anh Hua, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Banking & Finance, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 20 (512,260)

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High Frequency Trading, RBA, ASX, Price Impact, Limit Order Book

30.

The Impact of Timing of the Release of Firm-Specific Announcements on Trade Initiation

30th Australasian Finance and Banking Conference 2017
Number of pages: 43 Posted: 18 Aug 2017
Curtin University- School of Economics, Finance and property, La Trobe Business School, University of South Australia and Monash University - Department of Banking and Finance
Downloads 14 (547,033)

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31.

Information Content of the Limit Order Book for Crude Oil Futures Price Volatility

Energy Economics, Forthcoming, 29th Australasian Finance and Banking Conference 2016
Number of pages: 49 Posted: 19 Aug 2016 Last Revised: 30 Apr 2019
Xiao Tian, Huu Nhan Duong and Petko S. Kalev
La Trobe University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 6 (595,678)

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Crude oil futures; Energy market information releases; Futures price volatility; Time-weighted limit order book slope

32.

Information Asymmetry, Trade Size, and the Dynamic Volume‐Return Relation: Evidence from the Australian Securities Exchange

Financial Review, Vol. 49, Issue 3, pp. 539-564, 2014
Number of pages: 26 Posted: 26 Jul 2014
Yang Sun, Huu Nhan Duong and Harminder Singh
University of South Australia, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 2 (626,299)
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trade size, information asymmetry, volume‐return relation

33.

Dividend Initiations, Information Content and Free Cash Flow - The Impact of the 2003 Dividend Tax Cut

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 65 Posted: 19 Mar 2018 Last Revised: 16 Jun 2019
La Trobe University - School of Economics and Finance, Monash University - Department of Banking and Finance, University of Birmingham - Department of Accounting and Finance and Dept. of Economics and Finance, La Trobe University
Downloads 1 (638,846)

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Dividend initiations, abnormal operating performance, Information content, long term stock returns

34.

Stock Market Liquidity and Firm Value: An Empirical Examination of the Australian Market

International Review of Finance, Vol. 16, Issue 4, pp. 639-646, 2016
Number of pages: 8 Posted: 07 Dec 2016
Trang Nguyen, Huu Nhan Duong and Harminder Singh
University of Queensland, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 0 (657,000)
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35.

Order Aggressiveness of Institutional and Individual Investors

Pacific-Basin Finance Journal, Vol. 17, No. 5, 2009
Posted: 07 Feb 2015
Monash University - Department of Banking and Finance, La Trobe Business School and Monash University

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Limit order book, Institutional and individual investors, Order aggressiveness

36.

A Test of the Samuelson Hypothesis Using Realized Range

Journal of Futures Markets, Vol 28, issue 7, 2008
Posted: 29 May 2014
Petko S. Kalev and Huu Nhan Duong
La Trobe Business School and Monash University - Department of Banking and Finance

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37.

The Samuelson Hypothesis in Futures Markets: An Analysis Using Intraday Data

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Posted: 29 May 2014
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and La Trobe Business School

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Other Papers (1)

Total Downloads: 2    Citations: 0
1.

Asset Redeployability and Corporate Tax Avoidance

Number of pages: 36 Posted: 19 Feb 2019
Huu Nhan Duong and My Nguyen
Monash University - Department of Banking and Finance and RMIT- School of Economics, Finance and Marketing
Downloads 2

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Asset redeployability; tax avoidance; financial constraints