Kam Fong Chan

The University of Western Australia

Associate Professor

35 Stirling Highway

Crawley, Western Australia 6009

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

SCHOLARLY PAPERS

20

DOWNLOADS
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SSRN RANKINGS

Top 26,232

in Total Papers Downloads

2,660

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (20)

1.

Equity Premiums in the Presidential Cycle: the Midterm Election Resolution of Uncertainty

Number of pages: 79 Posted: 23 Jan 2017 Last Revised: 26 Apr 2018
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 802 (42,420)

Abstract:

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Political uncertainty; Midterm election; Presidential cycle; Lost CAPM; Idiosyncratic volatility

2.

COVID-19 Vaccines and Global Stock Markets

Number of pages: 38 Posted: 16 Feb 2021 Last Revised: 05 May 2022
Kam Fong Chan, Zhuo Chen, Yuanji Wen and Tong Xu
The University of Western Australia, Tsinghua University - PBC School of Finance, The University of Western Australia - Department of Accounting and Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 527 (73,051)

Abstract:

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COVID-19, pandemics, stock markets, vaccines

3.

Asset Pricing on Earnings Announcement Days

Number of pages: 63 Posted: 18 Feb 2020 Last Revised: 04 May 2021
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 329 (126,454)

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Capital asset pricing model; Earnings announcements; Security market line; Market beta.

4.

Contagion in the World Equity Markets and the Asian Economic Crisis

Number of pages: 47 Posted: 26 Feb 2007
Robert G. Bowman, Kam Fong Chan and Matthew R. Comer
Independent, The University of Western Australia and First New Zealand Capital
Downloads 304 (136,916)
Citation 1

Abstract:

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Contagion, international market integration, Asian Crisis

5.

Firm-Level Information Ambiguity and the Earnings Announcement Premium

Number of pages: 35 Posted: 27 Jul 2018
Mengxi (Maggie) Liu, Kam Fong Chan and Robert W. Faff
University of Queensland, Business School, The University of Western Australia and University of Queensland
Downloads 129 (296,020)
Citation 1

Abstract:

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Ambiguity; Variance risk premium; Earnings announcement premium

6.

The Information Content of Option-Implied Tail Risk on Post-Earnings Abnormal Stock Returns

31st Australasian Finance and Banking Conference 2018
Number of pages: 45 Posted: 27 Jul 2018 Last Revised: 18 Oct 2018
Mengxi (Maggie) Liu, Kam Fong Chan and Robert W. Faff
University of Queensland, Business School, The University of Western Australia and University of Queensland
Downloads 120 (312,327)

Abstract:

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Implied tail risk; Abnormal stock returns; Earnings announcements

7.

A Hedging Strategy for New Zealand's Exporters in Transaction Exposure to Currency Risk

Multinational Finance Journal, Vol. 7, No. 1/2, p. 25-54, 2003
Number of pages: 30 Posted: 07 Jul 2015
Kam Fong Chan, Christopher Gan and Patricia A. McGraw
The University of Western Australia, Lincoln University (NZ) and Ryerson University
Downloads 113 (325,804)

Abstract:

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forwards; hedging effectiveness; optimal hedge ratio; options synthetic forwards; utility maximization

8.

Market Response of US Equities to Domestic Natural Disasters: Industry-Based Evidence

Accounting and Finance (Forthcoming)
Number of pages: 34 Posted: 10 Sep 2018 Last Revised: 09 May 2019
Ihtisham Malik, Robert W. Faff and Kam Fong Chan
University of Queensland - Business School, University of Queensland and The University of Western Australia
Downloads 110 (331,984)

Abstract:

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Natural Disasters, Industry Portfolios, Market Reaction

9.

Climate Policy Uncertainty and the Cross-Section of Stock Returns

Number of pages: 46 Posted: 15 Apr 2022 Last Revised: 06 May 2022
Kam Fong Chan and Ihtisham Malik
The University of Western Australia and University of Queensland - Business School
Downloads 101 (356,064)

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Climate policy uncertainty, asset pricing, green stocks, cross-section of stock returns, intertemporal capital asset pricing model

10.

The Presidential Puzzle: Democrats, Macroeconomic News and Equity and Bond Premiums on Announcement Days

Number of pages: 43 Posted: 13 Oct 2016 Last Revised: 22 Oct 2016
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 99 (356,064)
Citation 1

Abstract:

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Bond Premium; Equity Premium; Macroeconomic News Announcements; Political Regimes; Presidential Puzzle

11.

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements

FRB St. Louis Working Paper No. 2017-11
Number of pages: 49 Posted: 28 Apr 2017 Last Revised: 25 Apr 2022
The University of Western Australia, Independent and Federal Reserve Bank of St. Louis - Research Division
Downloads 26 (640,132)

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Systematic cojumps, Scheduled macroeconomic announcements, Market component portfolios, federal funds rate

12.

Volatility Jumps and Macroeconomic News Announcements

Journal of Futures Markets, Forthcoming
Posted: 11 May 2018
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Implied Volatility; Macroeconomic News Announcements; Price Jumps; Realized Volatility; Volatility Jumps

13.

Cross-Border Scheduled Macroeconomic News Impacts: Evidence from High-Frequency Asia Pacific Currencies

Pacific Basin Finance Journal, Forthcoming
Posted: 29 Apr 2017
Kam Fong Chan, Mahesh Chhagan and Alastair Marsden
The University of Western Australia, Independent and University of Auckland Business School

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Scheduled macroeconomic announcements; Foreign exchange rates; Speed of news impact; Persistence of news impact

14.

Equity Premiums in the Presidential Cycle: the Midterm Election Resolution of Uncertainty

Posted: 23 Jan 2017
Kam Fong Chan and Terry Marsh
The University of Western Australia and Quantal International Inc.
Downloads 0 (873,307)

Abstract:

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Political uncertainty; Midterm election; Lost CAPM; Idiosyncratic volatility

15.

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Journal of Futures Markets, Forthcoming
Posted: 13 Oct 2016
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Energy Markets; Price Jumps; Macroeconomic Announcements

16.

Asset Market Linkages: Evidence from Financial, Commodity and Real Estate Assets

Journal of Banking and Finance, Forthcoming
Posted: 06 Jan 2011
The University of Western Australia, The University of Western Australia, Monash University and University of Queensland - Business School

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Markov switching, Asset linkages, Flight to quality, Flight from quality, Contagion

17.

A Hedging Strategy for New Zealand’S Exporters in Transaction Exposure to Currency Risk

Multinational Finance Journal, Vol. 7, No. 1 & 2, 2003
Posted: 15 Aug 2009
Kam Fong Chan, Christopher Gan and Patricia A. McGraw
The University of Western Australia, Lincoln University (NZ) and Ryerson University

Abstract:

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Forwards, hedging effectiveness, optimal hedge ratio, options synthetic forwards, utility maximization

18.

Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot Prices

International Journal of Forecasting, Vol. 22, No. 2, 2006
Posted: 15 Aug 2009
Kam Fong Chan and Philip Gray
The University of Western Australia and Department of Banking and Finance, Monash University

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Extreme value theory, Value-at-risk, Electricity, EGARCH, Conditional interval coverage

19.

Diversification, Rationality and the Asian Economic Crisis

Pacific-Basin Finance Journal, Vol. 18, pp. 1-23, 2010
Posted: 09 Aug 2009 Last Revised: 05 Jan 2011
Robert G. Bowman, Kam Fong Chan and Matthew R. Comer
Independent, The University of Western Australia and First New Zealand Capital

Abstract:

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Asian Crisis, Contagion, Economic fundamentals, International diversification

20.

A New Approach to Characterizing and Forecasting Electricity Price Volatility

International Journal of Forecasting, Vol. 24, No. 4, 2008
Posted: 09 Aug 2009
Kam Fong Chan, Philip Gray and Bart van Campen
The University of Western Australia, Department of Banking and Finance, Monash University and University of Auckland - Department of Economics

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Realized volatility, Bipower variation, Quadratic variation, Jumps, Volatility forecast