Professor of Finance
Director, Master of Quantitative Finance Program
Hi! Welcome to my homepage! I am Professor of Finance and Director of the Master of Quantitative Finance Program at the Rutgers Business School-Newark & New Brunswick. I obtained my Ph.D. from the Ohio State University in 1993. I worked as an assistant professor at the Chinese University of Hong Kong and West Virginia University prior to joining the Rutgers faculty in 1997. I teach International Finance, Investments and Corporate Finance at various levels. I have also taught several executive training courses. My current research interest areas are international finance and empirical asset pricing. I have published articles in numerous scholastic journals, including Journal of Finance, International Economics Review, Journal of Monetary Economics, Journal of Money Credit & Banking, and Biometrika. I have also served as a referee for various journals including several leading journals in finance and economics.
To know more about my research interests and publications, please see my cv in .pdf file below.
My Best Two Pieces of Work
The 1988 Piece (click to see)
The 1996 Piece (click to see)
Department of Finance & Economics
Rutgers Business School-Newark & New Brunswick
1 Washington Park
Newark, NJ 07102
Honors and Awards
Ranked among the top 500 economists worldwide based on Tom’s ranking
(Source: Tom’s ranking, http://student.ulb.ac.be/~tcoupe/ranklab6.html)
Ranked among the most prolific authors in the finance by Jean Heck and Philip Cooley, 2009
Best of the Best Competitive Paper Award, FMA, 1999
Competitive Paper Award in Investments, FMA, 1999
Senior Faculty Research Award, Rutgers Business School-Newark & New Brunswick, 2003
Crowell Award Finalist, PanAgora Asset Management, Boston, 2002
Outstanding Research Award, College of Business, West Virginia University, 1996-1997
1. International Capital Markets
Solution to end-of-chapter problems
Some Published and Working Papers (in .pdf files)
“Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?” (with Peter Phillips and Jun Yu). (TEXT, International Economic Review, 2011).
“Risk Adjustment and Momentum Sources” (with Jun Wang) (TEXT, Journal of Banking and Finance, 2011).
“Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration” (with Ronald Balvers). (TEXT, Journal of Financial Markets, 2010).
“Effective Fair Pricing of International Mutual Funds” (with Choong Tze Chua and Sandy Lai). (TEXT, Journal of Banking and Finance, 2008).
“Momentum and Mean Reversion across National Equity Markets” (with Ronald Balvers). (TEXT, Journal of Empirical Finance, 2006).
“A Comparative Study of the Finite-sample Performance of Some Portmanteau Tests for Randomness of a Time Series” (with Andy Kwan and Ah-Boon Sim), (TEXT, Computational Statistics and Data Analysis, 2005).
“Mean Reversion across National Equity Markets and Parametric Contrarian Investment Strategies” (with Ronald Balvers and Erik Gilliland). (TEXT, Journal of Finance April 2000).
“Predictability of Short-Horizon Equity Returns in International Equity Markets” (with Dilip Patro). (TEXT, Journal of Empirical Finance 11, 2004, 553-584.)
"Explaining Exchange Rate Risk in World Stock Markets: A Panel Approach" (with Dilip Patro and John Wald). (TEXT, Journal of Banking and Finance 26, 2002).
“The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns” (with Dilip Patro and John Wald) (TEXT, European Financial Management, 2002).
"Nonlinear Prediction of Exchange Rates with Monetary Fundamentals" (with Min Qi). (TEXT, Journal of Empirical Finance 10, 2003, 623-640).
“Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets” (with Kausik Chaudhuri). (TEXT, Journal of Banking and Finance, 27, 2003, 575-592)
"Rethinking Deviations from Uncovered Interest Parity " (with Nelson Mark). (TEXT, The Economic Journal, 1998).
"Understanding Spot and Forward Exchange Rate Regressions" (with Weike Hai and Nelson Mark). (TEXT, Journal of Applied Econometrics, 1997).
"Are Real Exchange Rates Non-stationary? (TEXT, Journal of Money Credit and Banking, 1996).
“Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries” (with Hua Zhang), (TEXT, Journal of Money, Credit and Banking, 1996).
“Asymmetry in Forward Exchange Rate Bias: A Puzzling Result” (with Hua Zhang), (TEXT, Economics Letters, 1996).
“Forward Premiums as Unbiased Predictors of Future Currency Depreciation” (with Hua Zhang), (TEXT, Journal of International Money and Finance, 1997).
"Monopolistic Competition, Increasing Returns to Scale and the Welfare Costs of Inflation” (with Junxi Zhang) (TEXT, Journal of Monetary Economics, 2000).
“Endogenous Markups and the Effects of Income Taxation: Theory and Evidence from OECD Countries” (with Junxi Zhang), (TEXT, Journal of Public Economics, September 2000, 383-406.)
“Endogenous Growth and the Welfare Costs of Inflation” (with Junxi Zhang), (TEXT, Journal of Economic Dynamics and Control, 1998).
“The Effects of Inflation on the Number of Firms and Firm Size” (with Junxi Zhang), (TEXT, Journal of Money, Credit and Banking, May 2001).
“Hysteresis in Unemployment: Evidence from 48 U.S. States” (with Frank Song), (TEXT, Economic Inquiry, 1997).
“Further Results on the Finite-Sample Distribution of Monti’s Portmanteau Test for the Adequacy of an ARMA(p,q) Model” (with Andy Kwan), (Biometrika, 1997).
“Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility” (TEXT, Economic Inquiry 1997).
"Are There Rational Bubbles in Foreign Exchange Markets.” (TEXT, Journal of International Money and Finance, 1995).
Journal of Finance: http://www.cob.ohio-state.edu/~fin/journal/jof.htm
List of Economic & Finance Journals: http://www.helsinki.fi/WebEc/journals.html
Last updated November 24, 2012