Funded Projects

1999-2000

• Systemic Risk, Sovereign Risk And The Asian Financial Crisis — EWING, Maurice A
• Do Market-to-Book Ratios Measure Growth Opportunities? Evidence From The Mining Industry — ADAM, Tim R
• Tick Size And Market Quality — HWANG, Chuan Yang
• Asset Valuations, Liquidity And Investment Evidence From Japan — GOYAL, Vidhan K
• Market Integration And Contagion — NG, Angela L P
• Is A Diversified Business Group An Efficient Form Of A Business Organization?: Evidence From International Mergers — BAE, Kee Hong
• Stock Holding Preference And Performance By Different Types Of Investors — YAMADA, Takeshi
• The Capital Investment Puzzle: Investment Opportunities Vs. Agency Costs? — WEI, John K C
• Measuring The Economic Significance Of The Stock-return Predictability - Empirical Evidence From The US Stock Markets — WEI, Steven X
• Equilibrium Term Structure Of Interest Rates: Short Vs. Long Memory — DUAN, Jin-Chuan
• Diversification And Firm Productivity In Asia — FAN, Joseph P H
• Market Integration and Contagion --   NG, Angela L P   
• Return volatility and trading volume: The case of the pacific basin equity markets --   NG, Angela L P   

1998-1999

• Informational effects of option trading on equity markets around public disclosures: A market microstructure analysis --   BAE, Kee Hong
• Do market-to-book ratios measure growth opportunities?: Evidence from the mining industry  --  ADAM, Tim R   
• Alternative GMM tests of asset pricing models under possible misspecification --   ZHANG, Chu   
• Return volatility and trading volume: The case of the pacific basin equity markets --   NG, Angela L P   
• Volatility Spillover Effects from Japan and the U.S. to the Pacific-Basin --   NG, Angela L P   
• Merger and spin-off: Market microstructure approach --   BAE, Kee Hong ,   SHIN, Jhin Young
• Regime shifting and volatility of the Fed's open market operations  --  WEI, Steven X
• Systemic risk, sovereign risk and financial crisis    -- EWING, Maurice A   
• The effect of trading on the form of contracts  --   PARK, Cheol   
• The ex date effect in Hong Kong Stock Market Central Clearing and ex-date effect --   HWANG, Chuan Yang   
• The price impacts of trade size in NYSE, NASDAQ, and the Hong Kong stock market --   CHAN, Ka Lok ,   FONG, Wai-ming
• The performance and goverance of divsified firms  --   FAN, Joseph P H,    GOYAL, Vidhan K
• Investment opportunities, corporate financing, investment and dividend policies in the U.S. defense industry  --  GOYAL, Vidhan K,     LEHN, Kenneth M
  

1997-1998

• Areas of Excellence in financial services  --   CHAN, K C, BIDDLE, Gary C   
• A case study in venture capital finance  --   MANSINGHKA, Surendra K.   
• Do firms use derivatives to reduce their dependence on external capital markets?  --  ADAM, Tim R   
• Pricing and discount pattern of closed-end funds  --   SHIN, Jhin Young   
• Growth opportunities and investment policies in the U. S. defense industry  --  GOYAL, Vidhan K   
• Simulation-based inference for dynamic latent data models --   WEI, Steven X   
• Asian Euro-convertible bond pricing and exchange rate risk effect --   CHAN, Alex, Wing Ho   
• The impact of tick-size changes on market liquidity   --  HWANG, Chuan Yang   
• Studies in dynamic financial structure --    GOYAL, Vidhan K,    ANDERSON, Ronald
• 1. Measures of implicit correlation using quantos 2. Global asset allocation in segmented markets  --  SCHRAMM, Ronald M. ,    CARVERHILL, Andrew P, CHAN, Ka Lok
• Volatility spillover effects from Japan and the U.S. to the Pacific Basin  --   NG, Angela L P   
• Deposit insurance and banking regulation  --   CHAN, Yuk Shee   
• Investigation of the behavior of the Hong Kong Stock Market and Stock Index Futures Market around the 1997 October financial crisis  --   CHAN, K C ,   CHAN, Ka Lok, HWANG, Chuan Yang
• What moves emerging market closed-end fund prices?  --   NG, Lilian K L   
• Poisson jump modeling of financial time series, and associated pricing problems  --  CARVERHILL, Andrew P ,   JING, Bing Yi, TSOI, Allanus H M
• American option pricing under GARCH: numerical method and empirical studies  --  DUAN, Jin-Chuan ,   SIMONATO, Jean-Guy
• Is shelf equity making a come back? The universal experience --   SHERMAN, Ann E,    WEI, Kuo-chiang
• Firm characteristics and past return trading strategies --    WEI, Kuo-chiang ,   DANIEL, Kent, TITMAN, Sheridan D
• An analysis of mutual funds: Performance, incentives, and industry analysis  --  YAMADA, Takeshi    CHAN, K C
• Price uncertainty, ownership structures and contractual arrangements in the petrochemical industry --   FAN, Joseph P H ,    LI, Hao
  

1996-1997

• Testing long-memory equilibrium interest rate models --    DUAN, Jin-Chuan   
  Market discipline of bank risk: Evidence from subordinated debt contracts --    GOYAL, Vidhan K   
• Strategic dissemination of information in financial market   --  SHIN, Jhin Young   
• Stock market and real estate prices: Market sentiments, bidding strategy, and winner's curse in government land auction  --  YAMADA, Takeshi   
• Turn of year effect: an microstructure examination  --   HWANG, Chuan Yang   
• The term structure of interest rates: Full and partial equilibrium analysis --   CARVERHILL, Andrew P ,   CHAN, K C
• On the predicted returns explained by asset pricing models   --  ZHANG, Chu,    KAN, Raymond
• Corporate restructuring, information and market expectations --   PI, Lynn K F   
• The role of futures trading and its impact on the state bond market in China --   CHAN, Ka Lok    CHANG, Eric C, WEI, Kuo-chiang
• Time effect on IPO performance  --  CAI, Jun ,    WEI, Kuo-chiang
• Agency costs and product market competition , --   DASGUPTA, Sudipto,   JAGANNATHAN, Ravi, SRINIVASAN, Shaker
• Blue chips, red chips, and the impact of politics on the Hong Kong stock market --   TONG, Wilson H S ,   BAILEY, Warren B
• Monitoring and the choice between bank loans and public debt  --  PARK, Cheol   
• The performance evaluation of equity mutual funds in Hong Kong  --  NG, Lilian K L   
  

1995-1996

• Agency costs and product market competition --    DASGUPTA, Sudipto  
• Arbitrage, the Term Structure of Volatility, and the Long Foward Rate  --  CARVERHILL, Andrew P   
• Corporate capital structure in Pacific Rim countries   --  BELTZ, Jess C   
• Monitoring and the choice between bank loans and public debt --   PARK, Cheol   
• The role of futures trading and its impact on the state bond market in China --   CHAN, Ka Lok
• Ownership structure and security returns in Japan  --   CHEN, Nai-fu   
• Market sentiments and bidding strategy in real estate auctions  -- TSE, Kwok Sang   
• Informational efficiency of pure-plays: evidence from corporate spinoffs  --  GOYAL, Vidhan K
• Model misspecification and trading in financial markets   --  QUINN, David P   
• Public versus private debt and predation --    DASGUPTA, Sudipto ,   JOSEF, Zechner
• Liquidity implications of stock splits  --   GOYAL, Vidhan K   
• The market for corporate control: The case of Japan   --  YAMADA, Takeshi   
• Storage, forward contracting, and price stabilisation in commodity markets  --  CARVERHILL, Andrew P ,   LU, Xiangqian Lewis
• Price behavior of China-related stocks listed in China, Hong Kong, and the U.S.  --  WEI, Kuo-chiang,    CHANG, Eric C, JAGANNATHAN, Ravi
• Corporate goverance and financial contracting  --   WEI, Kuo-chiang ,   WEI, Kuo-chiang, GOYAL, Vidhan K, HWANG, Chuan Yang, WONG, Tak-jun
  

1994-1995

• Renegotiation and the buyout provision in venture capital contracts  --  WONG, Keith K P,    DASGUPTA, Sudipto
• 1. Empirical examination of stock prices around ex-dividend days in Japan 2. Selection bias in COMPUSTAT and implications for tests of asset pricing models  --   JAGANNATHAN, Ravi
• Hybrid mortgage valuation and option pricing theory  --  TSE, Kwok Sang    
• Investor behavior and Wall Street Week  --  BELTZ, Jess C,     JENNINGS, Robert
• Project financing with limited recourse: Theory and empirical evidence  --    DASGUPTA, Sudipto,    BELTZ, Jess C
• How privatization affects stock value --   QUINN, David P   
• Corporate dividend policies in Hong Kong  --  FRANK, Murray Z   
• How anoymous is trading? Price, spread and volume effects around trades by insiders   --  HWANG, Chuan Yang ,   GEORGE, Tom
• The measurement and prediction of IPO performance  --  GOYAL, Vidhan K    
• Volatility frontiers and integration of international equity and foreign exchange markets   --  CAI, Jun,    BOLLERSLEV, Tim
• Information and correlation structure of stock prices  --  CHAN, K C,     SHIN, Jhin Young
• Market structure and return volatility: Evidence from the Hong Kong stock market  --   TONG, Wilson H S ,   CHAN, K C, TSE, Kwok Sang
• Initial public offerings and Hong Kong regulations  --  SHERMAN, Ann E    
• Restructuring Chinese enterprises  --  WEI, Kuo-chiang,   FARH, Larry J L, HE, Gaochao, LEE, Jevons C W, WU, Changqi, CHAN, K C