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David
Ng
Assistant Professor
of Finance
Department of Applied Economics and Management
Cornell University
Office Address
252 Warren Hall
Cornell University
Ithaca, NY 14853-7801
Contact Information
Telephone: (607) 255-0145
Fax Number: (607) 255-9984
Email:
dtn4 at cornell dot edu
- 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.
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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.
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- 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
- Bhojraj, Sanjeev and David
Ng. Cross-country Differences in Firm Multiples, Cornell University
working paper. Presented in the 2008 American Finance Association Annual
Meeting.
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- Daouk, Hazem and David
Ng. Is Unlevered
Firm Volatility Asymmetric?, under review, Cornell University working
paper. Presented in 2007 American Financial Association Annual Meeting.
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- 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.
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Working
Papers
- Bailey, Warren, Alok Kumar and David
Ng. Picking Stocks for Fun or Buying Stock Funds? The Portfolio Choices
of U.S. Individual Investors, Cornell University working paper. Winner
of 2006 BSI Gamma Foundation Grant Award.
Hodrick, Robert and David
Ng. Volatility Feedback and International Transmission of Shocks, Cornell
University working paper.
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