David Tat-Chee Ng

Professor of Finance
Dyson School of Applied Economics and Management
Cornell University

Google Scholar page

Office Address
310D Warren Hall, Cornell University
Ithaca, NY 14853-7801

Telephone: (607) 255-0145
Fax Number: (607) 255-9984
dtn4 at cornell dot edu


David Ng is a Professor of Finance at Cornell. He was previously a Visiting Associate Professor of Finance at the Wharton School of the University of Pennsylvania from 2008 to 2010 and a Research Fellow at Wharton Financial Institutions Center. His research focus is on understanding expected stock returns. In particular, he studies how individual and institutional investors make investment decisions that drive stock price movements, how expected returns are associated with future realized stock returns, how expected returns are formed in a dynamic international setting and how different country characteristics may be associated with expected returns. He received his Ph.D. with distinction from Columbia University.

Professor Ng has received several awards for his research, including BSI Gamma Foundation Grant Award, Second Place Best Paper Award in China International Conference in Finance, PricewaterhouseCoopers Global Competency Centre Grant Award, Moskowitz Prize for Best Quantitative Study of Socially Responsible Investing, and Third Prize in Chicago Quantitative Alliance Academic Competition. He received the SUNY Chancellorís Award for Excellence in Teaching and an outstanding educator award in influencing a Merrill Presidential Scholar. His research has been published in Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Econometrics, Management Science, among other journals. His work has been presented at American Finance Association, Western Finance Association and many other conferences and universities. Professor Ng has held visiting positions at the Hong Kong Monetary Authority, Federal Reserve Bank of Boston, Singapore Management University, International Monetary Fund, Federal Reserve Board, and the World Bank. He is faculty advisor to Hong Kong Christian Fellowship and Asian Business Society.h He grew up in Hong Kong, China, and is fluent in Mandarin and Cantonese. He is married and has a daughter and two sons.

Updated Graphs on Implied Cost of Capital and Implied Value Premium

Implied Cost of Capital graph (Excess ICC as of December 2012) from Li, Ng, and Swaminathan 2013, Predicting Market Returns Using Aggregate Implied Cost of Capital, Journal of Financial Economics, forthcoming.

Implied Value Premium graph (ICC of high BM portfolio minus ICC of low BM portfolio, as of December 2012) from Li, Ng, and Swaminathan 2013, Predicting Time-varying Value Premium Using the Implied Cost of Capital: Implications for Countercyclical Risk, Mispricing and Style Investing, working paper.


Goldstein, Itay, Hao Jiang and David Ng. 2015. Investor Flows and Fragility in Corporate Bond Funds, working paper.
– Media coverage (Reuters): Corporate bond Illiquidity
– Media coverage (Bloomberg): You call this a bond rout wait until the real selling starts

Gao, George, Qing Zhong Ma and David Ng. 2015. What Do We Know When Insiders Do Not Trade?, second round revise-and-resubmit, Journal of Financial Economics.

Bartram, Sohnke, John Griffin, Taehoon Lim and David Ng. 2015. How Important is Foreign Ownership in International Stock returns?, Review of Financial Studies.

Li, Yan, David Ng, and Bhaskaran Swaminathan 2013, Predicting Market Returns Using Aggregate Implied Cost of Capital, Journal of Financial Economics forthcoming.

Bailey, Warren, Alok Kumar and David Ng, 2011, Behavioral Biases of Mutual Fund Investors, Journal of Financial Economics, v. 102, pp. 1-27. Lead Article

Egorov, Alexei, Haitao Li, and David Ng, 2011, A Tale of Two Yield Curves: Modeling the Joint Term Structure of US and Euro Interest Rates, Journal of Econometrics.v. 162, pp. 55-70.

Daouk, Hazem and David Ng, Is Unlevered Firm Volatility Asymmetric?, 2011, Journal of Empirical Finance v. 18, pp. 634-651.

An, Jiyoun, Sanjeev Bhojraj, and David Ng, Warranted Multiples and Stock Returns, 2010, Journal of Accounting, Auditing and Finance v. 25, pp. 143.

Lee, Charles, David Ng, and Bhaskaran Swaminathan, 2009, Testing International Asset Pricing Using Implied Cost of Capital, Journal of Financial and Quantitative Analysis, v. 44, pp. 307-335.

Lee, Charles and David Ng, 2009, Corruption and International Valuation: Does Virtue Pay?, Journal of Investment.

Bailey, Warren, Alok Kumar and David Ng, 2008, Home Bias of U.S. Individual Investors: Causes and Consequences, Management Science. v. 54, pp. 443-59.

Daouk, Hazem, Charles Lee and David Ng. 2006. Capital Market Governance: How Do Securities Laws Affect Market Performance? Journal of Corporate Finance v. 12, pp. 560-93.

Ng, David. 2006. The Impact of Corruption on Financial Market. Managerial Finance v. 32, pp. 822-836.

Durbin, Erik and David Ng. 2005. The Soverign Ceiling and Emerging Market Corporate Bond Spreads, Journal of International Money and Finance v. 24, pp. 631-49.

Ng, David. 2004. The International CAPM When Expected Returns Are Time-varying. Journal of International Money and Finance, v.23, pp.189-230.

Ciocchini, Francisco, Erik Durbin and David Ng. 2003. Does Corruption Increase Emerging Market Bond Spreads? Journal of Economics and Business, v.55, pp. 503-28.
Hodrick, Robert, David Ng, and Paul Sengmueller. 2000. An International Dynamic Asset Pricing Model. International Tax and Public Finance v.6, pp. 597-620.

Working Papers

Gao, George, Pamela Moulton and David Ng. Institutional Ownership and Returns Predictability Among Economically Unrelated Stocks.
- Presented at Cornell, Syracuse, Wisconsin-Milwaukee, Mid-Atlantic Research conference, and Financial Economics and Association conference

Li, Yan, David Ng, and Bhaskaran Swaminathan. Predicting Time-varying Value Premium Using the Implied Cost of Capital: Implications for Countercyclical Risk, Mispricing and Style Investing.
- Presented at Cornell, JOIM investment conference, CKGSB and Temple.

Karolyi, Andrew, David Ng and Eswar Prasad. 2015. What Determines Portfolio Allocation Decisions of Emerging Market Investors? 
- Scheduled for American Finance Association 2016

Byoun, Soku, David Ng and Kai Wu. 2015. The Sensitivity of Corporate Investment to the Implied Cost of Capital.

An, Jiyoun and David Ng. Long Run Risk and Value Premium: The International Evidence
- Presented at Cornell, Wharton, Chicago CRSP conference.


Youth Foundation (My research partner on Chinese migrant workers' children education)

First Ithaca Chinese Christian Church

Hong Kong Christian Fellowship

Columbia University

The Wharton School