Simon M. S. So

University of Macau

Assistant Professor

Macau

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

On the Validity of the Augmented Fama-French Four-Factor Model

Number of pages: 27 Posted: 17 Feb 2009
Keith Lam, Frank K. Li and Simon M. S. So
University of Macau, Independent and University of Macau
Downloads 1,243 (11,163)

Abstract:

Fama-French, four-factor model, momentum, up and down markets, seasonality

2.

Investor Sentiment - Relationship between VIX and Trading Volume

Number of pages: 23 Posted: 29 Aug 2012
Violet U. T. Lei, Simon M. S. So and Maggie Zou
affiliation not provided to SSRN, University of Macau and affiliation not provided to SSRN
Downloads 218 (89,949)

Abstract:

sentiment, trading volume, volatility

3.

The Conditional Risk-Return Relations in Two Asian Emerging Stock Markets

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 33 Last Revised: 27 Aug 2012
Simon M. S. So and Gordon Y. N. Tang
University of Macau and Hong Kong Baptist University
Downloads 3 (516,910)

Abstract:

Beta, firm size; book-to-market equity ratio; earnings-to-price ratio; up and down markets; Malaysia, Thailand