Chi-Hsiou Daniel Hung

University of Glasgow - Adam Smith Business School

Associate Professor in Finance

Gilbert Scott Building

University of Glasgow

Glasgow, Scotland G12 8QQ

United Kingdom

SCHOLARLY PAPERS

26

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Top 5,210

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10,512

SSRN CITATIONS
Rank 13,837

SSRN RANKINGS

Top 13,837

in Total Papers Citations

25

CROSSREF CITATIONS

60

Scholarly Papers (26)

1.

Corporate Financing and Anticipated Credit Rating Changes

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 46 Posted: 12 Nov 2013 Last Revised: 07 Apr 2016
Chi-Hsiou Daniel Hung, Anurag Narayan Banerjee and Qingrui Meng
University of Glasgow - Adam Smith Business School, Durham Business School and Durham University
Downloads 1,168 (23,131)
Citation 1

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Credit rating changes, Information asymmetry, Capital structure

CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

Number of pages: 31 Posted: 23 Jun 2003
Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,041 (26,920)
Citation 5

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Fama French Factors, CAPM, comoment, coskewness, cokurtosis, cross section, UK stock returns.

CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

Blackwell Publishing, Journal of Business Finance & Accounting, Vol. 31, No. 1 & 2, January, 2004
Number of pages: 26 Posted: 23 Mar 2004
Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 19 (679,738)
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3.

The Four-Moment CAPM and Non-Linear Market Models in Momentum and Size Strategies

EFMA
Number of pages: 42 Posted: 09 May 2004
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 882 (34,501)

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Asset pricing, Coskewness, Cokurtosis, Momentum, Size

4.

Active Momentum Trading versus Passive '1/N Naive Diversification'

Number of pages: 22 Posted: 14 Jun 2013
Anurag Narayan Banerjee and Chi-Hsiou Daniel Hung
Durham Business School and University of Glasgow - Adam Smith Business School
Downloads 786 (40,484)
Citation 1

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5.

Investor Sentiment as Conditioning Information in Asset Pricing

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 39 Posted: 21 Aug 2008 Last Revised: 20 Apr 2011
Jerry C. Ho and Chi-Hsiou Daniel Hung
Queensland University of Technology - School of Economics and Finance and University of Glasgow - Adam Smith Business School
Downloads 714 (46,097)
Citation 3

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Anomalies, Asset pricing, Conditioning information, Sentiment

6.

When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper, WBS Finance Group Research Paper No. 54
Number of pages: 33 Posted: 08 Mar 2006
Devraj Basu, Chi-Hsiou Daniel Hung, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 700 (47,309)
Citation 5

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Investor Sentiment, Dynamic Asset Allocation

Return Predictability of Higher-Moment CAPM Market Models

Number of pages: 38 Posted: 05 Jun 2007 Last Revised: 12 Mar 2008
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 683 (48,279)

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Asset Pricing, Higher-Moment CAPM, Return Predictability

Return Predictability of Higher-Moment CAPM Market Models

Journal of Business Finance & Accounting, Vol. 35, Issue 7-8, pp. 998-1022, September/October 2008
Number of pages: 25 Posted: 02 Oct 2008
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 5 (797,409)
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8.

When Does Investor Sentiment Predict Stock Returns?

Number of pages: 40 Posted: 16 Mar 2010
San-Lin Chung, Chi-Hsiou Daniel Hung and Chung-Ying Yeh
National Taiwan University - Department of Finance, University of Glasgow - Adam Smith Business School and Tunghai University-Department of Finance
Downloads 659 (51,256)
Citation 12

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Investor Sentiment; Stock Returns; Return Predictability; Markov-Switching Vector Autoregressive Model; Bootstrap

9.

Momentum, Size and Value Factors versus Systematic Co-Moments in Stock Returns

Number of pages: 30 Posted: 27 Feb 2007 Last Revised: 17 Jan 2014
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 624 (55,051)
Citation 5

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Asset Pricing, Systematic Co-Moment, Momentum, Size, Value

10.

Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies

Number of pages: 47 Posted: 10 Jan 2010 Last Revised: 22 Apr 2011
Anurag Narayan Banerjee and Chi-Hsiou Daniel Hung
Durham Business School and University of Glasgow - Adam Smith Business School
Downloads 481 (76,204)
Citation 1

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Past Stock Return Information, Momentum Strategies

11.

International Asset Pricing and Time-Varying Risk Premia

EFA 2007 Ljubljana Meetings Paper, WBS Finance Group Research Paper No. 73
Number of pages: 36 Posted: 27 Feb 2007
Devraj Basu, Chi-Hsiou Daniel Hung and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 476 (77,152)

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International asset pricing, Time-varying Risk Premia

12.

How Do Momentum Strategies 'Score' Against Individual Investors in Taiwan, Hong Kong and Korea?

Number of pages: 32 Posted: 12 Aug 2014
Anurag Narayan Banerjee and Chi-Hsiou Daniel Hung
Durham Business School and University of Glasgow - Adam Smith Business School
Downloads 393 (96,560)

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Emerging stock markets; Momentum; Naive strategies; Return percentiles; Price information; Score function

13.

Predicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries

Number of pages: 27 Posted: 15 Jun 2013
Jerry C. Ho and Chi-Hsiou Daniel Hung
Queensland University of Technology - School of Economics and Finance and University of Glasgow - Adam Smith Business School
Downloads 340 (113,766)
Citation 2

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14.

Exploiting Predictability in International Anomalies

WBS Finance Group Research Paper No. 76
Number of pages: 27 Posted: 05 Mar 2007
Devraj Basu, Chi-Hsiou Daniel Hung and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School and University of Warwick - Finance Group
Downloads 316 (123,170)

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Asset Pricing, Return Predictability, International Diversification

15.

The Global Price of Market Risk and Country Inflation

Number of pages: 41 Posted: 03 Mar 2008 Last Revised: 06 May 2009
Devraj Basu and Chi-Hsiou Daniel Hung
SKEMA Business School - Lille Campus and University of Glasgow - Adam Smith Business School
Downloads 252 (155,697)

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Country-specific asset pricing, Nonlinear SDF, Time-varying risk premiums

16.

Determinants of Stock Returns: Factors or Systematic Co-Moments? Crisis versus Non-Crisis Periods

Number of pages: 33 Posted: 18 Jan 2014 Last Revised: 14 Mar 2014
Chi-Hsiou Daniel Hung, Victor Fang and A.S.M. Sohel Azad
University of Glasgow - Adam Smith Business School, Monash University - Department of Accounting and Deakin University
Downloads 205 (189,447)

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Asset Pricing; Systematic Co-Moment; Size; Value; Momentum; Liquidity

17.

Competition or Manipulation? An Empirical Evidence of Determinants of the Earnings Persistence of the U.S. Banks

Journal of Banking and Finance, Vol. 88, No. 442-454, 2018
Number of pages: 38 Posted: 28 Feb 2017 Last Revised: 07 Feb 2018
Chi-Hsiou Daniel Hung, Yuxiang Jiang, Hong Liu and Hong Tu
University of Glasgow - Adam Smith Business School, GalaxyAsset management, Loughborough University - School of Business and Economics and School of Finance,Nankai University
Downloads 189 (204,013)

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Competition; Branching Restrictions Index; Earnings persistence; Earnings adjustment speed, Earnings management

18.

The Fed and the Stock Market: A Tale of Sentiment States

Number of pages: 57 Posted: 23 Jun 2018 Last Revised: 01 Jul 2021
Haifeng Guo, Chi-Hsiou Daniel Hung and Alexandros Kontonikas
Durham University Business School, University of Glasgow - Adam Smith Business School and Essex Business School
Downloads 140 (262,414)
Citation 1

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Investor Sentiment, Monetary Policy Surprises, Event Study

19.

Return Explanatory Ability and Predictability of Non-Linear Market Models

Durham Business School Working Paper No. 108
Number of pages: 43 Posted: 13 Aug 2007
Chi-Hsiou Daniel Hung
University of Glasgow - Adam Smith Business School
Downloads 101 (331,901)

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Asset Pricing, Non-Linearity, Return Predictability

20.

Non-Tradable Share Reform, Liquidity and Stock Returns in China

Number of pages: 50 Posted: 18 Dec 2014
Chi-Hsiou Daniel Hung, Qiuliang Chen and Victor Fang
University of Glasgow - Adam Smith Business School, Independent and Monash University - Department of Accounting
Downloads 82 (378,053)
Citation 1

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Non-tradable share reform, Liquidity, Stock returns, Chinese stock markets

21.

Corporate Bond Prices and Idiosyncratic Risk: Evidence from Australia

Number of pages: 39 Posted: 18 Feb 2009 Last Revised: 20 Jul 2014
Victor Fang and Chi-Hsiou Daniel Hung
Monash University - Department of Accounting and University of Glasgow - Adam Smith Business School
Downloads 80 (383,659)

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Idiosyncratic Risk; Idiosyncratic Dispersion; Idiosyncratic Volatility; Corporate Bond Price; Australian Bond Markets

22.

Capital Structure Adjustments of Bank Holding Companies and Subsidiary Failure

Number of pages: 47 Posted: 15 Aug 2017
Chi-Hsiou Daniel Hung, Hong Liu and Senyu Wang
University of Glasgow - Adam Smith Business School, Loughborough University - School of Business and Economics and University of Essex - Essex Business School
Downloads 62 (440,275)

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Subsidiary Failure, Capital Structure, Information Asymmetry

23.

Bank Political Connections and Performance in China

Number of pages: 45 Posted: 31 Dec 2017 Last Revised: 18 Jan 2018
Chi-Hsiou Daniel Hung, Yuxiang Jiang, Hong Liu, Hong Tu and Senyu Wang
University of Glasgow - Adam Smith Business School, GalaxyAsset management, Loughborough University - School of Business and Economics, School of Finance,Nankai University and University of Essex - Essex Business School
Downloads 45 (507,537)
Citation 2

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24.

An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis

Journal of International Financial Markets, Institutions & Money, Forthcoming
Number of pages: 41 Posted: 23 Dec 2015
Anurag Narayan Banerjee, Chi-Hsiou Daniel Hung and Kai Lisa Lo
Durham Business School, University of Glasgow - Adam Smith Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 36 (550,979)

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Credit Default Risk, CDS Spreads, Sovereign Debt, Financial Institutions, European Financial Stability Facility (EFSF)

25.

Peer Firms’ Credit Rating Changes and Corporate Financing

The European Journal of Finance, 2019
Number of pages: 48 Posted: 11 Nov 2019
Chi-Hsiou Daniel Hung, Shammyla Naeem and K.C. John Wei
University of Glasgow - Adam Smith Business School, University of Glasgow and Hong Kong Polytechnic University
Downloads 33 (567,057)

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Corporate financing; Peer firms; Credit ratings; Upgrades; Downgrades

26.

Linking the Interest Rate Swap Markets to the Macroeconomic Risk: The UK and US Evidence

International Review of Financial Analysis, Vol. 22, 38-47, 2012
Posted: 07 Feb 2015
A. S. M. Sohel Azad, Victor Fang and Chi-Hsiou Daniel Hung
Deakin University, Deakin University and University of Glasgow - Adam Smith Business School

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Interest Rate Swaps; Low-frequency Volatility; Macroeconomic Risk