David T. Ng

Johnson College of Business

Professor of Finance

301G Warren Hall, Cornell University

Ithaca, NY 14850-1967

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 2,625

SSRN RANKINGS

Top 2,625

in Total Papers Downloads

16,465

SSRN CITATIONS
Rank 1,620

SSRN RANKINGS

Top 1,620

in Total Papers Citations

350

CROSSREF CITATIONS

438

Scholarly Papers (26)

1.

Behavioral Biases of Mutual Fund Investors

Journal of Financial Economics (JFE), Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 69 Posted: 20 Mar 2008 Last Revised: 19 Jul 2010
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - Miami Herbert Business School and Johnson College of Business
Downloads 2,393 (7,090)
Citation 19

Abstract:

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Individual investors, behavioral biases, disposition effect, narrow framing, mutual fund investments

Testing International Asset Pricing Models Using Implied Costs of Capital

Number of pages: 44 Posted: 17 Mar 2004
Stanford University - Graduate School of Business, Johnson College of Business and LSV Asset Management
Downloads 951 (29,255)

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Testing International Asset Pricing Models Using Implied Costs of Capital

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 43 Posted: 16 Jan 2008
Stanford University - Graduate School of Business, Johnson College of Business and LSV Asset Management
Downloads 336 (109,964)
Citation 17

Abstract:

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international asset pricing, implied cost of capital, noise

3.

Uncovering Country Risk in Emerging Market Bond Prices

Number of pages: 37 Posted: 03 Aug 2000
Erik Durbin and David T. Ng
affiliation not provided to SSRN and Johnson College of Business
Downloads 1,243 (20,073)
Citation 6

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Credit Rating, Sovereign Ceiling, Default Risk, Emerging Market, Corporate Bond

4.

Predicting Market Returns Using Aggregate Implied Cost of Capital

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 21 Apr 2014
Yan Li, David T. Ng and Bhaskaran Swaminathan
Temple University - Fox School of Business and Management, Johnson College of Business and LSV Asset Management
Downloads 1,206 (21,013)
Citation 19

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Implied Cost of Capital, Market Predictability, Valuation Ratios

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 138
Number of pages: 61 Posted: 16 Mar 2010 Last Revised: 23 Dec 2019
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 425 (83,869)
Citation 8

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Institutional ownership, asset management, portfolio diversification, international finance, co-movement

How Important are Foreign Ownership Linkages for International Stock Returns?

Review of Financial Studies (Forthcoming)
Number of pages: 83 Posted: 20 Dec 2014 Last Revised: 22 Jan 2015
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance, Cornell University and Johnson College of Business
Downloads 264 (142,166)
Citation 10

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Institutional ownership, asset management, portfolio diversification, international finance, comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 175
Number of pages: 61 Posted: 15 Mar 2012 Last Revised: 26 Dec 2019
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 169 (216,349)
Citation 4

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Institutional ownership, asset management, portfolio diversification, international finance, co movement

How Important are Foreign Ownership Linkages for International Stock Returns?

HKIMR Working Paper No.12/2012, WBS Finance Group Research Paper No. 181
Number of pages: 61 Posted: 31 May 2012 Last Revised: 26 Dec 2019
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 126 (274,912)
Citation 12

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Institutional Ownership, Asset Management, Portfolio Diversification, International Finance, Comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 169
Number of pages: 61 Posted: 11 Jan 2012 Last Revised: 26 Dec 2019
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 88 (351,968)
Citation 4

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Institutional ownership, asset management, portfolio diversification, international finance, comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

Number of pages: 78 Posted: 06 Apr 2014
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance, Cornell University and Johnson College of Business
Downloads 66 (416,162)

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Institutional ownership, asset management, portfolio diversification, international finance, comovement

How Important are Foreign Ownership Linkages for International Stock Returns?

WBS Finance Group Research Paper No. 156
Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 26 Dec 2019
Warwick Business School - Department of Finance, University of Texas at Austin - Department of Finance and Johnson College of Business
Downloads 62 (429,961)
Citation 2

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institutional ownership, asset management, portfolio diversification, international finance, comovement

6.

The International CAPM When Expected Returns are Time Varying

Number of pages: 62 Posted: 30 Jan 2001
David T. Ng
Johnson College of Business
Downloads 944 (30,012)
Citation 5

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7.

International Asset Pricing: Evidence from the Cross Section of Implied Cost of Capital

Number of pages: 48 Posted: 15 Jan 2004
Stanford University - Graduate School of Business, Johnson College of Business and LSV Asset Management
Downloads 825 (36,205)
Citation 8

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8.

The Sound of Silence: What Do We Know When Insiders Do Not Trade?

Johnson School Research Paper Series No. 3-2013
Number of pages: 58 Posted: 29 Oct 2012 Last Revised: 02 Mar 2021
George Gao, Qingzhong Ma, David T. Ng and Ying Wu
T. Rowe Price, California State University, Chico, Johnson College of Business and Stevens Institute of Technology - School of Business
Downloads 777 (39,303)
Citation 3

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Insider trading, Insider silence, Litigation risk

Capital Market Governance: How Do Security Laws Affect Market Performance?

Number of pages: 53 Posted: 21 Apr 2005
Hazem Daouk, Charles M.C. Lee and David T. Ng
Cornell University - School of Applied Economics and Management, Stanford University - Graduate School of Business and Johnson College of Business
Downloads 757 (40,183)
Citation 18

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capital market governance, insider trading, earnings opacity, market performance

Capital Market Governance: How Do Security Laws Affect Market Performance?

Journal of Corporate Finance, Vol. 12, No. 12, pp. 560-593, June 2006
Posted: 04 Aug 2006
Hazem Daouk, Charles M.C. Lee and David T. Ng
Cornell University - School of Applied Economics and Management, Stanford University - Graduate School of Business and Johnson College of Business

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capital market governance, insider trading, earnings opacity, short-selling constraints, market performance

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Johnson School Research Paper Series No. 15-2013
Number of pages: 58 Posted: 12 Feb 2013 Last Revised: 04 May 2016
George Gao, Pamela C. Moulton and David T. Ng
T. Rowe Price, Cornell University - SC Johnson College of Business and Johnson College of Business
Downloads 558 (60,016)
Citation 2

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Return predictability, anomalies, institutional ownership, institutional trading

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks

Journal of Financial Intermediation, Forthcoming
Number of pages: 55 Posted: 03 Aug 2016
George Gao, Pamela C. Moulton and David T. Ng
T. Rowe Price, Cornell University - SC Johnson College of Business and Johnson College of Business
Downloads 193 (192,387)
Citation 3

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Return predictability, anomalies, institutional ownership, institutional trading

11.

Foreign Investments of U'S' Individual Investors: Causes and Consequences

AFA 2007 Chicago Meetings Paper
Number of pages: 33 Posted: 03 Jan 2005
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - Miami Herbert Business School and Johnson College of Business
Downloads 721 (43,522)
Citation 23

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Individual investors, diversification, home bias, local bias, over-confidence

12.

Investor Flows and Fragility in Corporate Bond Funds

Number of pages: 50 Posted: 21 Apr 2015 Last Revised: 18 Jul 2015
Itay Goldstein, Hao Jiang and David T. Ng
University of Pennsylvania - The Wharton School - Finance Department, Michigan State University and Johnson College of Business
Downloads 697 (45,540)
Citation 102

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Fund Flows, Fragility, Bond Funds, Runs

13.

Temperature Shocks and Industry Earnings News

Number of pages: 71 Posted: 25 Nov 2019 Last Revised: 27 May 2021
Cornell University, Johnson College of Business and Cornell University
Downloads 631 (51,939)
Citation 14

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climate shocks, temperature extremes, earnings predictability, sell-side analysts, stock returns

14.
Downloads 519 ( 66,393)
Citation 9

Is Unlevered Firm Volatility Asymmetric?

AFA 2007 Chicago Meetings
Number of pages: 49 Posted: 17 Mar 2006
Hazem Daouk and David T. Ng
Cornell University - School of Applied Economics and Management and Johnson College of Business
Downloads 519 (65,674)
Citation 9

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Volatility asymmetry, Financial leverage, Operating leverage, Covariance asymmetry, Merton model, Stock returns

Is Unlevered Firm Volatility Asymmetric?

Journal of Empirical Finance, Vol. 18, No. 4, 2011
Posted: 08 Jan 2012
Hazem Daouk and David T. Ng
Cornell University - School of Applied Economics and Management and Johnson College of Business

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volatility asymmetry, financial leverage, leverage effect

15.

Predicting Time-Varying Value Premium Using the Implied Cost of Capital

Number of pages: 49 Posted: 30 Oct 2012 Last Revised: 03 Jul 2014
Yan Li, David T. Ng and Bhaskaran Swaminathan
Temple University - Fox School of Business and Management, Johnson College of Business and LSV Asset Management
Downloads 492 (70,970)
Citation 3

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Implied Value Premium, Implied Cost of Capital, Predictability, Value Spread, Term Spread, Default Spread, Risk and Mispricing

16.

Temperature Shocks and Establishment Sales

Number of pages: 50 Posted: 28 Jun 2019 Last Revised: 12 Sep 2019
Cornell University, Johnson College of Business and Cornell University
Downloads 413 (87,436)
Citation 18

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Extreme temperature, weather shocks, economic establishments, revenues, earnings

17.

Warranted Multiples and Future Returns

Journal of Accounting, Auditing and Finance, Vol. 25, No. 2, 2010
Number of pages: 34 Posted: 26 Mar 2013
Jiyoun An, Sanjeev Bhojraj and David T. Ng
Kyung Hee University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Johnson College of Business
Downloads 297 (126,330)

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Accounting, Multiples, Warranted Multiples, Future Returns

18.

A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates

Journal of Econometrics, Forthcoming
Number of pages: 39 Posted: 23 Mar 2008
Alexei V. Egorov, Haitao Li and David T. Ng
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Johnson College of Business
Downloads 296 (126,724)
Citation 1

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Affine term structure models, International term structure models, Approximate Maximum Likelihood, LIBOR, Euribor, Specification analysis of term structure of interest rates, Out-of-sample model evaluation.

Corruption and International Valuation: Does Virtue Pay?

Johnson School Research Paper No. 41-06
Number of pages: 34 Posted: 20 Nov 2006
Charles M.C. Lee and David T. Ng
Stanford University - Graduate School of Business and Johnson College of Business
Downloads 282 (132,707)
Citation 16

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Corruption and International Valuation: Does Virtue Pay?

Posted: 22 May 2019
Charles M.C. Lee and David T. Ng
Stanford University - Graduate School of Business and Johnson College of Business

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Corruption, International Valuation

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

Number of pages: 71 Posted: 16 Oct 2015
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 128 (271,552)

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Global portfolio allocation, portfolio equity investment, institutional investors, emerging market economies

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

HKIMR Working Paper No.04/2016
Number of pages: 64 Posted: 17 Mar 2016
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 50 (476,615)
Citation 2

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Global portfolio allocation, portfolio equity investment, institutional investors, emerging market economies

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

IZA Discussion Paper No. 9405
Number of pages: 73 Posted: 19 Oct 2015
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 23 (626,037)

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global portfolio allocation, portfolio equity investment, institutional investors, emerging market economies

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

NBER Working Paper No. w21661
Number of pages: 72 Posted: 26 Oct 2015 Last Revised: 10 Mar 2021
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 7 (754,337)

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Does Corruption Increase Emerging Market Bond Spreads?

Number of pages: 36 Posted: 16 Oct 2006
Francisco Ciocchini, Erik Durbin and David T. Ng
Universidad Catolica Argentina, affiliation not provided to SSRN and Johnson College of Business
Downloads 208 (179,511)
Citation 7

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corruption, bond yield, emerging market,

Does Corruption Increase Emerging Market Bond Spreads?

Journal of Economics and Business, Forthcoming
Posted: 03 Jan 2004
Francisco Ciocchini, Erik Durbin and David T. Ng
Universidad Catolica Argentina, affiliation not provided to SSRN and Johnson College of Business

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Corruption, Emerging Market, Country risk

22.

The Informativeness of Short Sellers: An Insider's Perspective

Number of pages: 55 Posted: 23 Sep 2015
George Gao, Qingzhong Ma and David T. Ng
T. Rowe Price, California State University, Chico and Johnson College of Business
Downloads 154 (233,754)
Citation 2

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23.

The Coming Wave

HKIMR Working Paper No.08/2013
Number of pages: 15 Posted: 04 Jul 2013
Cornell University - Samuel Curtis Johnson Graduate School of Management, Johnson College of Business and Cornell University - Dyson School of Applied Economics and Management
Downloads 64 (417,389)
Citation 1

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24.

An International Dynamic Asset Pricing Model

NBER Working Paper No. w7157
Number of pages: 43 Posted: 11 Aug 1999 Last Revised: 24 Jul 2021
Columbia Business School - Finance and Economics, Johnson College of Business and Tilburg University
Downloads 61 (427,559)

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25.

The Role of Different Institutional Investors in Asia-Pacific Bond Markets during the Taper Tantrum

BIS Paper No. 102m
Number of pages: 30 Posted: 22 May 2019
Johnson College of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 39 (516,433)

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Asia-Pacific, asset managers, fixed income investment, institutional investors, taper tantrum

26.

Foreign Investments of U.S. Individual Investors: Causes and Consequences

Management Science, Forthcoming
Posted: 07 Sep 2007
Warren Bailey, Alok Kumar and David T. Ng
Cornell University, University of Miami - Miami Herbert Business School and Johnson College of Business

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Individual investors, diversification, home bias, local bias, over-confidence