Finance PhD Publications
Selected Publications by students from UC Phd Program
Chichernea, Doina C., Anthony D. Holder, and Alex Petkevich. "Does return dispersion explain the accrual and investment anomalies?." Journal of Accounting and Economics forthcoming.
Doina C. Chichernea, Michael F. Ferguson, and Haimanot Kassa, “Idiosyncratic Risk, Investor Base and Returns,” Financial Management, forthcoming.
Guo, Hui, and Buhui Qiu, “A Better Measure of Institutional Informed Trading,” Contemporary Accounting Research, forthcoming.
Kee H. Chung and Sean Yang. “Reverse Stock Splits, Institutional Holdings, and Share Value.” Financial Management, forthcoming.
2010 - 2014
Kee H. Chung and Chairat Chuwonganant. “Uncertainty, Market Structure, and Liquidity.” Journal of Financial Economics 113 (September 2014), 476-499.
Guo, Hui, Michael F. Ferguson, and Haimanot (Haim) Kassa, “On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns,” Journal of Financial and Quantitative Analysis 49(1) (2014), 271-296.
Guo, Hui, and Buhui Qiu. "Options-implied variance and future stock returns." Journal of Banking & Finance 44 (2014): 93-113.
Glascock, John, and Ran Lu-Andrews. "An examination of macroeconomic effects on the liquidity of REITs." The Journal of Real Estate Finance and Economics 49.1 (2014): 23-46.
Qiu, Buhui, Svetoslav Trapkov, and Fadi Yakoub. "Do target CEOs trade premiums for personal benefits?." Journal of Banking & Finance 42 (2014): 23-41.
Kee H. Chung and Hao Zhang. “A Simple Approximation of Intraday Spreads with Daily Data.” Journal of Financial Markets 17 (January 2014), 94-120.
Brooks, Raymond M., Prem G. Mathew, and J. Jimmy Yang. "When-issued trading in the Indian IPO market." Journal of Financial Markets (2013).
Song, Weihong, Jie (Diana) Wei, Lei Zhou, “The Value of ‘ Boutique’ Financial Advisors in Mergers and Acquisitions”, Journal of Corporate Finance 20, (December 2013), 94-114
Kee H. Chung, John Elder, and Jang-Chul Kim. “Liquidity and Information Flow around Monetary Policy Announcements.” Journal of Money, Credit, and Banking 45 (August 2013), 781-820.
Nicolosi, Gina. "Demographics of dividends." Journal of Corporate Finance 23 (April 2013), 54-70.
Kee H. Chung and Chairat Chuwonganant. “Regulation NMS and Market Quality.” Financial Management 41 (Summer 2012), 285-317.
Bond, Shaun, and Qingqing Chang. “Liquidity Dynamics across Public and Private Markets.” Journal of International Money and Finance 31 (2012), 1890-1910.
Kee H. Chung, Carol Ann Frost, and Myungsun Kim. “Characteristics and Information Value of Credit Watches.” Financial Management 41(Spring 2012), 119-158.
Berger, Dave, Kuntara Pukthuanthong, and J. Jimmy Yang. "International diversification with frontier markets." Journal of Financial Economics 101.1 (2011): 227-242.
Kee H. Chung and Hao Zhang. “Corporate Governance and Institutional Ownership.” Journal of Financial and Quantitative Analysis 46 (February 2011), 247-273.
Miles Livingston, Jie (Diana) Wei, and Lei Zhou, “Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields,” Journal of Money Credit and Banking 42, (October 2010), 1267-1293.
Kee H. Chung, John Elder, and Jang-Chul Kim. “Corporate Governance and Liquidity.” Journal of Financial and Quantitative Analysis 45 (April 2010), 265-291.
2005 - 2009
Hsieh, Ping-Hung, Yong H. Kim, and J. Jimmy Yang, 2009 "The magnet effect of price limits: A logit approach" Journal of Empirical Finance, V. 16, No. 5, 830-837.
Gina Nicolosi, Liang Peng, and Ning Zhu, “Do Individual Investors Learn from their Trading Experience?” Journal of Financial Markets 12 (May 2009), 317-336.
Kee H. Chung, William Smith, and Tao Wu. “Time Diversification: Definitions and Some Closed-form Solutions.” Journal of Banking and Finance 33 (June 2009), 1101-1111.
Hsieh, Ping-Hung and J. Jimmy Yang "A censored stochastic volatility approach to the estimation of price limit moves" Journal of Empirical Finance 16(2) (2009), 337-351.
Gina Nicolosi, “The Telling Trades of Mutual Funds,” Financial Management 38 (Winter 2009), 915-936.
Kee H. Chung and Chairat Chuwonganant. “Transparency and Market Quality: Evidence from SuperMontage.” Journal of Financial Intermediation 18 (January 2009), 93-111.
Kee H. Chung, Chairat Chuwonganant, and Jing Jiang. “The Dynamics of Quote Adjustments.” Journal of Banking and Finance 32 (November 2008), 2390-2400.
Xin Zhao and Kee H. Chung. “Information Disclosure and Market Quality: The Effect of SEC Rule 605 on Trading Costs.” Journal of Financial and Quantitative Analysis 42 (September 2007), 657-682.
Kee H. Chung and Chairat Chuwonganant. “Quote-Based Competition, Market Share, and Execution Quality in NASDAQ-Listed Securities.” Journal of Banking and Finance 31 (September 2007), 2770-2795.
M. Sahid Ebrahim and Ike Mathur, “Pricing Home Mortgages and Bank Collateral: A Rational Expectations Approach,” Journal of Economic Dynamics & Control 31 (April 2007), 1217-1244.
James K. Self and Ike Mathur, “Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis,” Journal of Business 79 (Nov 2006), 3153-3174.
Y.S. Kim, Ike Mathur, and J. Nam, “Is Operational Hedging a Substitute for or a Complement to Financial Hedging?” Journal of Corporate Finance 12 (Sept 2006), 834-853.
Kee H. Chung, Chairat Chuwonganant, and D. Timothy McCormick. “Does Internalization Diminish the Impact of Quote Aggressiveness on Dealer Market Share?” Journal of Financial Intermediation 15 (January 2006), 108-131.
Kee H. Chung, Mingsheng Li, and Linda Yu. “Assets in Place, Growth Opportunities, and IPO Returns.” Financial Management 34 (Autumn 2005), 65-88.
Kee H. Chung and Seongyeon Cho. “Security Analysis and Market Making.” Journal of Financial Intermediation 14 (January 2005), 114-141.
Kee H. Chung and Youngsoo Kim. “The Dynamics of Dealer Markets and Trading Costs.” Journal of Banking and Finance 29 (December 2005), 3041-3059.
Kee H. Chung, Mingsheng Li, and Thomas H. McInish. “Information-Based Trading, Price Impact of Trades, and Trade Autocorrelation.” Journal of Banking and Finance 29 (July 2005), 1645-1669.
2000 - 2004
Zhou, Xu-shen (Jason) and Ming Dong, 2004, “Can Fuzzy Logic Make Technical Analysis 20/20?” Financial Analysts Journal, Vol. 60, no. 4, 54-75.
Kee H. Chung, Chairat Chuwonganant, and D. Timothy McCormick. “Order Preferencing and Market Quality on NASDAQ Before and After Decimalization.” Journal of Financial Economics 71 (March 2004), 581-612.
Kee H. Chung, Charlie Charoenwong, and David K. Ding. “Penny Pricing and the Components of Spread and Depth Changes.” Journal of Banking and Finance 28 (December 2004), 2981-3007.
Kee H. Chung and Chairat Chuwonganant. “Tick Size, Order Handling Rules, and Trading Costs.” Financial Management 33 (Spring 2004), 47-62.
Kee H. Chung and Chairat Chuwonganant. “Tick Size and Quote Revisions on the NYSE.” Journal of Financial Markets 5 (October 2002), 391-410.
M. S. Ebrahim, and Ike Mathur, “Investor Heterogeneity, Market Segmentation, Leverage, and the Equity Premium Puzzle,” Journal of Banking and Finance 25 (Oct 2001), 1897-1919.
Kee H. Chung, Raymond A. K. Cox and John Mitchell. “Citation Patterns in the Finance Literature.” Financial Management 30 (Autumn 2001), 99-118.
Kee H. Chung, Bonnie Van Ness, and Robert Van Ness. "Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs Between NYSE and NASDAQ Issues?" Journal of Financial and Quantitative Analysis 36 (June 2001), 267-286.
Kee H. Chung and Robert Van Ness. "Order Handling Rules, Tick Size, and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Stocks." Journal of Financial Markets 4 (April 2001), 143-161.
M. Kim, A.C. Szakmary, and Ike Mathur, “Price Transmission Dynamics between ADRs and their Underlying Foreign Securities,” Journal of Banking and Finance 24 (Aug 2000), 1359-1382.
Kee H. Chung. "Marketing of Stocks by Brokerage Firms: The Role of Financial Analysts." Financial Management 29 (Summer 2000), 35-54.
C.I. Lee, K.C. Gleason, and Ike Mathur, “Efficiency Tests in the French Derivatives Market,” Journal of Banking and Finance 24 (May 2000), 787-807.
1995 - 1999
Manjeet S. Dhatt, Yong H. Kim, and Sandip Mukherji, “The Value Premium for Small-Capitalization Stocks,” Financial Analysts Journal 55, (Sept-Oct 1999), 60-68.
Kee H. Chung, Bonnie Van Ness, and Robert Van Ness. "Limit Orders and the Bid-Ask Spread." Journal of Financial Economics 53 (August 1999), 255-287.
C.I. Lee, K.C. Gleason, and Ike Mathur, “Shareholders’ Gains from Corporate Expansion to the Republics of the former Soviet Union,” Financial Management 28 (Spr 1999), 61-70.
Kee H. Chung and Jeong-Kuk Kim. "Corporate Ownership and the Value of a Vote in an Emerging Market." Journal of Corporate Finance 5 (March 1999), 35-54.
Kee H. Chung, Peter Wright, and Charlie Charoenwong. "Investment Opportunities and Market Reaction to Capital Expenditure Decisions." Journal of Banking and Finance 22 (1998), 41-60.
Ike Mathur and A.C. Szakmary, “Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets,” Journal of International Money and Finance 16 (Aug 1997), 513-535.
Sandip Mukherji, Manjeet S. Dhatt, and Yong H. Kim, “A Fundamental Analysis of Korean Stock Returns,” Financial Analysts Journal 53, (May-June 1997), 75-80.
Sandip Mukherji, Yong H. Kim, and Michael C. Walker, “The Effect of Stock Splits on the Ownership Structure of Firms,” Journal of Corporate Finance 3 (April 1997), 167-188.
Kee H. Chung and Hoje Jo. “The Impact of Security Analysts' Monitoring and Marketing Functions on the Market Value of Firms.” Journal of Financial and Quantitative Analysis 31 (December 1996), 493-512.
C.I. Lee and Ike Mathur, “Trading Rule Profits in European Currency Spot Cross-Rates,” Journal of Banking and Finance 20 (June 1996), 949-962.
William C. Barbee, Jr., Sandip Mukherji, and Gary A. Raines, “Do Sales/Price and Debt/Equity Explain Stock Returns Better than Book/Market and Firm Size?” Financial Analysts Journal 52 (Mar-Apr 1996), 56-60.
Kee H. Chung and Stephen Pruitt. “Executive Ownership, Corporate Value, and Executive Compensation: A Unifying Framework.” Journal of Banking and Finance 20 (Aug 1996), 1135-1159.
P.J. Cooley, Lawrence J. Gitman, Jean L. Heck, Rodney L. Roenfeldt, and James C. VanHorne, “A Panel Discussion on the Topical Coverage in Principles of Finance: Depth vs. Breadth?” Journal of Finance 51 (July 1996), 1033-34.
A. Waheed and Ike Mathur, “Wealth Effects of Foreign Expansion by US Banks,” Journal of Banking and Finance 19 (Aug 1995), 823-842.
Manjeet S. Dhatt, Yong H. Kim, and Sandip Mukherji, “Adverse Selection, Investment Opportunities, and Uninsured Rights Offerings: Evidence from Korea,” Journal of Finance 50 (July 1995), 967-967.
Kenneth A. Borokhovich, Robert J. Bricker, Terry L. Zivney and Srinivasan Sundaram, “Financial Management (1972-1994): A Retrospective,” Financial Management 24 (Summer 1995), 42-53.
Kee H. Chung, Thomas McInish, Robert Wood, and Donald Wyhowsky. “Production of Information, Information Asymmetry, and the Bid-Ask Spread: Empirical Evidence from Analysts' Forecasts.” Journal of Banking and Finance 19 (1995), 1025-1046.
Glenn N. Pettengill, Sridhar Sundaram, and Ike Mathur, “The Conditional Relation between Beta and Returns,” Journal of Financial and Quantitative Analysis 30 (March 1995), 101-116.