Si Cheng

Chinese University of Hong Kong - Department of Finance

Assistant Professor of Finance

12/F, Cheng Yu Tung Building

No.12, Chak Cheung Street

Shatin, N.T.

Hong Kong

http://www.bschool.cuhk.edu.hk/staff/cheng-si/

  • Chinese University of Hong Kong - Department of Finance

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

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1.

Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability

Management Science, Accepted
Number of pages: 89 Posted: 18 Sep 2019 Last Revised: 02 Oct 2021
Doron Avramov, Si Cheng and Lior Metzker
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and Hebrew University of Jerusalem
Downloads 2,382 (8,250)
Citation 9

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Machine Learning, Return Prediction, Neural Networks, Financial Distress, Fintech

2.

Sustainable Investing with ESG Rating Uncertainty

Number of pages: 65 Posted: 14 Oct 2020 Last Revised: 28 Jul 2021
Doron Avramov, Si Cheng, Abraham Lioui and Andrea Tarelli
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, EDHEC Business School and Catholic University of Milan
Downloads 1,758 (13,548)
Citation 3

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ESG, Rating Uncertainty, Portfolio Choice, Capital Asset Pricing Model

3.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis, Vol. 51, No. 6, 2016
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 12 Sep 2019
Doron Avramov, Si Cheng and Allaudeen Hameed
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,518 (16,908)
Citation 12

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Momentum, Liquidity

4.

Private Company Valuations by Mutual Funds

Review of Finance, Forthcoming
Number of pages: 64 Posted: 08 Nov 2017 Last Revised: 22 Apr 2022
Vikas Agarwal, Brad M. Barber, Si Cheng, Allaudeen Hameed and Ayako Yasuda
Georgia State University, University of California, Davis, Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance and University of California, Davis - Graduate School of Management
Downloads 1,010 (30,865)
Citation 2

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Mutual funds, Venture capital, Private valuation, Stale prices, Financial fragility

5.

Mutual Funds and Mispriced Stocks

Management Science, Vol. 66, No. 6, 2020
Number of pages: 53 Posted: 18 May 2015 Last Revised: 09 Feb 2021
Doron Avramov, Si Cheng and Allaudeen Hameed
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 893 (36,666)
Citation 2

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Mutual funds; Managerial Skills; Mispricing

6.

The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs

Downloads 754 ( 46,239)
Citation 2

The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs

The Review of Asset Pricing Studies, Vol. 9, No. 2, 2019
Number of pages: 90 Posted: 26 Feb 2013 Last Revised: 23 Feb 2021
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 753 (45,688)
Citation 2

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ETFs, Subsidization, Banks, Shadow Banking, Distress

The Unexpected Activeness of Passive Investors: A World-Wide Analysis of ETFs

CEPR Discussion Paper No. DP11988
Number of pages: 53 Posted: 25 Apr 2017
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
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banks, Distress, ETFs, shadow banking, Subsidization

7.

Integrating Factor Models

Journal of Finance, Forthcoming
Number of pages: 87 Posted: 16 Sep 2021 Last Revised: 27 Jan 2022
Doron Avramov, Si Cheng, Lior Metzker and Stefan Voigt
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and University of Copenhagen
Downloads 572 (66,110)

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Factor models, Model integration, Posterior probability, Stock return predictability, Mispricing

8.

Short-Term Reversals: The Effects of Institutional Exits and Past Returns

Journal of Financial and Quantitative Analysis (JFQA), 2016
Number of pages: 56 Posted: 03 Feb 2014 Last Revised: 02 Jun 2015
Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam and Sheridan Titman
Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 556 (68,488)
Citation 10

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monthly reversals, market efficiency, liquidity

9.

What Should Investors Care About? Mutual Fund Ratings by Analysts vs. Machine Learning Technique

ADB-IGF Special Working Paper Series “Fintech to Enable Development, Investment, Financial Inclusion, and Sustainability”
Number of pages: 76 Posted: 01 Oct 2020 Last Revised: 08 Mar 2022
Si Cheng, Ruichang Lu and Xiaojun Zhang
Chinese University of Hong Kong - Department of Finance, Department of Finance, Guanghua School of Management, Peking University and Peking University
Downloads 465 (85,599)
Citation 1

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Analyst Rating, Quantitative Rating, Mutual Funds, Information Provision, Fund Flows, Machine Learning

10.

Short-Sale Constraints and the Pricing of Managerial Skills

Downloads 206 (201,185)
Citation 2

Short-Sale Constraints and the Pricing of Managerial Skills

INSEAD Working Paper No. 2012/92/FIN
Number of pages: 65 Posted: 07 Aug 2012 Last Revised: 14 Aug 2015
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 206 (201,000)
Citation 2

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Managerial skills, mutual funds, short-sale constraint

Short-Sale Constraints and the Pricing of Managerial Skills

CEPR Discussion Paper No. DP10447
Number of pages: 51 Posted: 02 Mar 2015
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
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Managerial skills, mutual funds, short-sale constraint.

11.

Investor Heterogeneity and Liquidity

Number of pages: 65 Posted: 10 Feb 2017 Last Revised: 13 Feb 2021
Kalok Chan, Si Cheng and Allaudeen Hameed
CUHK Business School, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 156 (255,815)

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

12.

Catering Through Globalization: Cross-border Expansion and Misallocation in the Global Mutual Fund Industry

PBCSF-NIFR Research Paper
Number of pages: 97 Posted: 25 Apr 2018 Last Revised: 29 Oct 2020
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 127 (300,367)

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Globalization, Cross-Border Capital Flows, Mutual Funds, Skills, Market Efficiency

13.

Tax Evasion and Information Production: Evidence from the FATCA and Offshore Asset Management

Downloads 117 (318,695)

Tax Evasion and Information Production: Evidence from the FATCA and Offshore Asset Management

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 31 Aug 2020 Last Revised: 12 May 2022
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 117 (320,393)

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tax evasion; FATCA; mutual funds; managerial incentives; market efficiency

Tax Evasion and Market Efficiency: Evidence from the FACTA and Offshore Mutual Funds

CEPR Discussion Paper No. DP15747
Number of pages: 46 Posted: 11 Feb 2021
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
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14.

Financial Globalization vs. Income Inequality: The Surprising Role of Delegated Foreign Portfolio Flows

Downloads 105 (343,389)

Financial Globalization vs. Income Inequality: The Surprising Role of Delegated Foreign Portfolio Flows

PBCSF-NIFR Research Paper
Number of pages: 68 Posted: 31 Aug 2020 Last Revised: 13 Apr 2022
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
Downloads 105 (345,742)

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Financial Globalization, Income Inequality, Delegated Portfolio Management, Mutual Funds

Financial Globalization vs. Income Inequality: The Surprising Role of Delegated Portfolio Flows in Taming the Top 1%

CEPR Discussion Paper No. DP15745
Number of pages: 54 Posted: 11 Feb 2021
Si Cheng, Massimo Massa and Hong Zhang
Chinese University of Hong Kong - Department of Finance, INSEAD - Finance and Tsinghua University - PBC School of Finance
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15.

Scaling Up Market Anomalies

Journal of Investing, Forthcoming, https://doi.org/10.3905/joi.2017.26.3.089
Posted: 21 May 2019
Doron Avramov, Si Cheng, Amnon Schreiber and Koby Shemer
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance, Hebrew University of Jerusalem and AlphaBeta

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Momentum, anomaly