Quan Gan

The University of Sydney - Discipline of Finance

Senior Lecturer

Discipline of Finance

University of Sydney

Sydney, NSW 2006

Australia

http://sydney.edu.au/business/staff/quang

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

14

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Top 33,152

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1,896

SSRN CITATIONS
Rank 32,507

SSRN RANKINGS

Top 32,507

in Total Papers Citations

20

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance
Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 334 (115,724)
Citation 1

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PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Number of pages: 39 Posted: 04 Sep 2010
University of Melbourne - Melbourne Business School, The University of Sydney - Discipline of Finance and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 212 (182,913)
Citation 5

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Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

3.

Measuring Housing Affordability: Looking Beyond the Median

UNSW Australian School of Business Research Paper No. 2008 ECON 09
Number of pages: 27 Posted: 02 Dec 2008
Robert J. Hill and Quan Gan
UNSW Australia Business School, School of Economics and The University of Sydney - Discipline of Finance
Downloads 273 (143,228)
Citation 9

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Housing affordability, Affordability at risk, Affordable limit, Mortgage market

4.

A New Perspective on the Relationship between House Prices and Income

UNSW Australian School of Business Research Paper No. 2008 ECON 13
Number of pages: 24 Posted: 09 Dec 2008
Robert J. Hill and Quan Gan
UNSW Australia Business School, School of Economics and The University of Sydney - Discipline of Finance
Downloads 218 (178,512)

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Real Estate, Permanent income, Mortgage market, Housing bubble, Hedonic index

Does the Probability of Informed Trading Model Fit Empirical Data?

Number of pages: 43 Posted: 24 Oct 2014 Last Revised: 07 Aug 2015
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 184 (208,280)

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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test

Does the Probability of Informed Trading Model Fit Empirical Data?

Financial Review, Vol. 52, Issue 1, pp. 5-35, 2017
Number of pages: 31 Posted: 15 Jan 2017
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

6.

The Information Content of 10-K File Size Change

International Review of Finance, forthcoming
Number of pages: 56 Posted: 20 Jul 2017 Last Revised: 02 Jul 2020
Quan Gan and Buhui Qiu
The University of Sydney - Discipline of Finance and University of Sydney Business School
Downloads 146 (253,096)

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10-K file Size Change; Readability; Disclosures; Future Stock Returns

7.

Do Sovereign Credit Ratings Matter for Foreign Direct Investments?

Number of pages: 39 Posted: 07 Jul 2017 Last Revised: 07 Aug 2017
Peilin Cai, Quan Gan and Suk-Joong Kim
The University of Sydney, Business School, Discipline of Finance, Students, The University of Sydney - Discipline of Finance and The University of Sydney Business School
Downloads 146 (253,096)

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FDI, sovereign credit rating, regional effect

8.

Comparing Time-Varying Price Impact and Information Impounding Time Across Asian Stock Exchanges: An Adaptive Lasso Approach

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 29 Oct 2012
Wang Chun Wei and Quan Gan
University of Queensland - Faculty of Business, Economics and Law and The University of Sydney - Discipline of Finance
Downloads 90 (356,258)

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adaptive lasso, attention, price impact, market microstructure

Optimal Selling Mechanism, Auction Discounts, and Time on Market

Number of pages: 49 Posted: 13 Jun 2010 Last Revised: 21 Jul 2011
Quan Gan
The University of Sydney - Discipline of Finance
Downloads 77 (395,263)

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Selling mechanism, Efficient set, Auction, Mean-value at risk, Loss aversion, Liquidity risk

Optimal Selling Mechanism, Auction Discounts and Time on Market

Real Estate Economics, Vol. 41, Issue 2, pp. 347-383, 2013
Number of pages: 37 Posted: 18 Jun 2013
Quan Gan
The University of Sydney - Discipline of Finance
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Citation 2
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Optimal Selling Mechanism, Auction Discounts, and Time on Market

Real Estate Economics, Forthcoming
Posted: 22 Feb 2012
Quan Gan
The University of Sydney - Discipline of Finance

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Selling mechanism, Efficient set, Auction, Mean-value at risk, Loss aversion, Liquidity risk

10.

Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns

Journal of Economic Dynamics and Control, Volume 48, November 2014, Pages 176–187
Number of pages: 31 Posted: 29 Apr 2014 Last Revised: 23 Nov 2014
Quan Gan
The University of Sydney - Discipline of Finance
Downloads 76 (394,035)
Citation 1

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Portfolio selection, CARA - skew normal, Certainty equivalent, Non-monotonicity, Factor model

11.

Contract Rescission in the Real Estate Presale Market

Number of pages: 69 Posted: 03 Dec 2020 Last Revised: 12 Oct 2021
Quan Gan, Maggie Hu and Wayne Xinwei Wan
The University of Sydney - Discipline of Finance, The Chinese University of Hong Kong and University of Cambridge - Department of Land Economy
Downloads 49 (488,816)

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Presale contract, Real estate option, Presale rescission rate, Housing market regulation

12.

Does the Options Market Underreact to Firms'Left-Tail Risk?

Number of pages: 49 Posted: 10 Apr 2021
Bei Chen and Quan Gan
Shanghai International Studies University and The University of Sydney - Discipline of Finance
Downloads 40 (529,527)

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Bear spread, Left-tail risk, Behavioral bias

13.

Do Intra-day Auctions Improve Market Liquidity?

Finance Research Letters, Forthcoming
Number of pages: 18 Posted: 16 Jul 2020 Last Revised: 02 Oct 2020
Quan Gan, Henry Leung and Zhou Zhou
The University of Sydney - Discipline of Finance, University of Sydney Business School and The University of Sydney, Business School, Discipline of Finance, Students
Downloads 34 (560,229)

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intra-day auction, market liquidity, platform competition

14.

Anticipating Jumps: Decomposition of Straddles

Number of pages: 45 Posted: 18 Nov 2021
Bei Chen and Quan Gan
Shanghai International Studies University and The University of Sydney - Discipline of Finance
Downloads 17 (670,541)

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Jumps, Uncertainty, Straddle, Earnings announcements