David Tat-Chee Ng

Visiting Assistant Professor of Finance
The Wharton School
University of Pennsylvania (2009)

Associate Professor of Finance with tenure
Department of Applied Economics and Management
Cornell University (on leave)

Area of Expertise:
International Finance
Empirical Asset Pricing

Teaching:
694 Applied Risk Management
429 International Finance
428 Valuation of Capital Investment

Publications

Egorov, Alexei, Haitao Li, and David Ng, A Tale of Two Yield Curves: Modeling the Joint Term Structure of US and Euro Interest Rates, forthcoming, Journal of Econometrics.

Lee, Charles, David Ng, and Bhaskaran Swaminathan. Testing International Asset Pricing Using Implied Cost of Capital, forthcoming, Journal of Financial and Quantitative Analysis.

Bailey, Warren, Alok Kumar and David Ng, Home Bias of U.S. Individual Investors: Causes and Consequences, forthcoming, Management Science.

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.

Papers Under Review

Bailey, Warren, Alok Kumar and David Ng. Behavioral Biases and Mutual Fund Clienteles, Cornell University working paper. Presentation in 2009 American Finance Association Annual Meeting. (Scheduled) Winner of 2006 BSI Gamma Foundation Grant Award.

Bhojraj, Sanjeev and David Ng. Cross-country Differences in Firm Multiples, Cornell University working paper. Presented in the 2008 American Finance Association Annual Meeting.

 

Daouk, Hazem and David Ng. Is Unlevered Firm Volatility Asymmetric?, under review, Cornell University working paper. Presented in 2007 American Financial Association Annual Meeting.

 

Bhojraj, Sanjeev, Charles Lee, and David Ng. International Valuation Using Smart Multiples, revise-and-resubmit, Review of Accounting Studies.

Bhojraj, Sanjeev, and David Ng. Excess Multiples Generate Excess Returns, revise-and-resubmit, Journal of Accounting, Auditing and Finance.

Lee, Charles, and David Ng, Corruption and International Valuation: Does Virtue Pay? under review. Winner of Moskowitz Prize for the best paper in Socially Responsible Investing, Social Investment Forum; Third Place award, Chicago Quantitative Alliance Annual Academic Competition; Second Place Best Paper Award, China International Conference in Finance. Presented in Western Financial Association Annual Meeting.

 

Working Papers

Bartram, Sohnke, John Griffin, and David Ng. How Important is Ownership for Understanding International Linkages?

Hodrick, Robert and David Ng. Volatility Feedback and International Transmission of Shocks, Cornell University working paper.