David T. Ng
Analyzing Investors Behavior in Financial Markets



Bio


Teaching Focus


Publications


Working Papers


Updated Graphs


Contact
David Ng Headshot
David Tat-Chee Ng (伍达枝)
Professor of Finance
College of Business
Cornell University

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Vita

Vita (Chinese)

Bio

    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 Chancellor’s 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. He grew up in Hong Kong, China, and is fluent in Mandarin and Cantonese. He is married and has a daughter and two sons.

Teaching Focus


AEM 4280: Valuation of Capital Investment
AEM 4290: International Financial Management
AEM 4590: Financial Markets and Institutions
AEM 4630: Asset Pricing and Management
AEM 7020: Applied Microeconomics

Publications

Institutional Ownership and Returns Predictability Across Economically Unrelated Stocks with George Gao, Pamela Moulton and David Ng. Presented at Cornell, Syracuse, Wisconsin-Milwaukee, Mid-Atlantic Research conference, and Financial Economics and Association conference. Journal of Financial Intermediation.
Investor Flows and Fragility in Corporate Bond Funds with Goldshein, Itay, Hao Jiang and Ng, 2015. Submitted.
How Important are Foreign Ownership in International Stock returns? with Bartram, Sohnke, Griffin, Taehoon Lim and Ng, 2015. Review of Financial Studies.
Predicting Market Returns Using Aggregate Implied Cost of Capital with Yan Li, Ng and Bhaskaran Swaminathan, 2015. Journal of Financial Economics, v. 110, pp. 419-436.
Earnings Management and Listing Regulations in China with Tao Li and Mi Luo and Ng, 2014. China Finance Review International.
The Coming Wave: Where do Emerging Market Investors Put Their Money with Andrew Karolyi, Eswar Prasad and Ng, 2013. Finance and Development, v. 50, pp. 55-70.
Behavioral Biases of Mutual Fund Investors with Warren Bailey, Alok Kumar and David Ng, 2011. Lead article in Journal of Financial Economics, v. 102, pp. 1-27.
A Tale of Two Yield Curves: Modeling the Joint Term Structure of US and Euro Interest Rates with Alexei Egorov, Haitao Li and David Ng, 2011. Journal of Econometrics, v. 162, pp. 55-70.
Is Unlevered Firm Volatility Asymmetric? with Hazem Daouk and David Ng, 2007. Journal of Empirical Finance, v. 18, pp. 634-651.
Warranted Muliples and Stock Returns with Jiyoun An, Sanjeev Bhojraj and David Ng, 2010. Journal of Accounting, Auditing and Finance, v. 25, pp. 143.
Testing International Asset Pricing Using Implied Cost of Capital with Charles Lee, David Ng and Bhaskaran Swaminathan, 2007. Journal of Financial and Quantitative Analysis, v. 44, pp. 307-335.
Corruption and International Valuation: Does Virtue Pay? with Charles Lee and David Ng, 2006. Journal of Investment.
Foreign Investments of US Individual Investors: Causes and Consequences with Warren Bailey, Alok Kumar and David Ng, 2007. Management Science, w. 54, pp. 443-459.
Capital Market Governance: How Do Security Laws Affect Market Performance? with Hazem Daouk, Charles Lee and David Ng, 2006. Journal of Corporate Finance, v. 12, pp. 560-593.
The Impact of Corruption on Financial Markets, David Ng, 2006. Managerial Finance, v. 32, pp. 822-836.
The Sovereign Ceiling and Emerging Market Corporate Bond Spreads with Erik Durbin and David Ng, 2000. Journal of International Money and Finance, v. 24, pp. 631-649.
The International CAPM When Expected Returns Are Time-Varying, David Ng, 2004. Journal of International Money and Finance, v. 23, pp. 189-230.
Does Corruption Increase Emerging Market Bond Spreads?, with Francisco Ciocchini, Erik Durbin and David Ng, 2003. Journal of Economics and Business, v. 55, pp. 503-528.
An International Dynamic Asset Pricing Model, with Robert Hodrick, David Ng and Sengmueller, 1999. International Tax and Public Finance, v. 6, pp. 597-620.

Working Papers

What Do We Know When Insiders Do Not Trade? with Gao, George, Qing Zhong Ma and Ng, 2015. Revise and resubmit, Journal of Financial Intermediation.
Predicting Time-Varying Value Premium Using the Implied Cost of Capital with Yan Li, David Ng and Bhaskaran Swaminathan. Presented at American Finance Association annual meeting, Cornell, Cheung Kong, Miami, Baylor, New South Wales, Sydney, University of Technology at Sydney and University of Hong Kong.
The Sensitivity of Corporate Investment to the Implied Cost of Capital with Soku Byoun, David Ng and Kai Wu, 2016. Received the Best Paper Award in Corporate Finance in Eastern Finance Association annual conference, 2016
Long Run Risk and Value Premium: The International Evidence with Jiyoun An and David Ng. Presented at Cornell, Wharton, Chicago CRSP conference.
The Coming Wave: Where do Emerging Market Investors Put Their Money? with Andrew Karolyi, Eswar Prasad and David Ng. Presented in American Finance Association annual meeting.
The Sound of Silence; What Do We Know When Insiders Do Not Trade with George Gao, Quingzhong Ma and David Ng. Under Submission.
Informativeness of Short Sellers: An Insider's Perspective with George Gao, Quingzhong Ma and David Ng, 2015. Under Submission.
Investor Flows and Fragility in Corporate Bonds with Goldstein Itay, Hao Jiang and David Ng. Under Submission.
Cross-Country Differences in Firm Multiples with Jiyoun An, Sanjeev Bhojraj and David Ng. Presented in American Finance Association Annual Meeting.

Updated Graphs

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. Published.
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: Implication of Countercyclical Risk, Mispricing and Style Investing, working paper.

Contact

310D Warren Hall, Cornell University
Ithaca, NY 14853-7801
Telephone: (607) 255-0145
Fax: (607) 255-9984
Email: dtn4@cornell.edu





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