Faculty-Pin-Huang Chou, Professor

Pin-Huang Chou, Professor

Education
Ph.D. in Economics, Washington University in St. Louis, USA
Research Expertise
Econometrics, Investment, Behavioral Finance
Teaching expertise
Financial Econometrics, Green Economics, Quantitative Methods (I, II)
EXT.
66270
Email
choup@cc.ncu.edu.tw
Curriculum Vitae
Pin-Huang Chou
Papers
  1.  T.-Y. Chen, P.-H. Chou, N.-T. Yang, 2019, Momentum and reversals: are they really separate phenomena? forthcoming in Finance Research Letters. (SSCI)
  2.  T.-Y. Chen, P.-H. Chou, N.-T. Yang, 2019, Momentum and reversals: are they really separate phenomena? forthcoming in Finance Research Letters. (SSCI)
  3.  T.-Y. Chen, P.-H. Chou,  2018, Median momentum, forthcoming in European Financial Management.
  4.  H.-Y. Chen, P.-H. Chou, C.-H. Hsieh, 2018, Persistency of momentum effect, European Financial Management 24, 856-892.
  5.  P.-H. Chou, T.-Y. Lu, P.-H. Ting, 2018, Margin trading, differences of opinion, and stock returns, Academia Economic Papers 46:3,323–366 (in Chinese)
  6.  P.-H. Chou, G.-Y. Huang, M.-J. Liu, 2016, Culture and market efficiency, Review of Securities and Futures Markets 28:3, 1-48. (in Chinese)
  7.  P.-H. Chou, C.-H. Hsieh, Carl H. Shen, 2016, What explains the orange juice puzzle: Fundamentals, sentiment, or smart money?, Journal of Financial Markets 29, 47-65. (SSCI)
  8.  P.-H. Chou, T.-S. Huang, H.-J. Yang, 2013, Arbitrage risk and the turnover anomaly, Journal of Banking and Finance 37, 4172-4182. (SSCI)
  9. P.-H. Chou, Robin K. Chou, K.-C. Ko and C.-Y. Chao, 2013, What affects the cool-off period under price limits?, Pacific-Basin Finance Journal 24, 256-278. (SSCI)
  10.  P.-H. Chou, P.-H. Ho, and K.-C. Ko, 2012, Do industries matter in explaining stock returns and asset-pricing anomalies?, Journal of Banking and Finance 36, 355-370. (SSCI)
  11. T.-H. Liao, C.-C. Chang, and P.-H. Chou, 2012, Fitting and testing for the implied volatility curve using parametric models, Journal of Futures Markets 32, 1171-1191. (SSCI)
    Letters. (SSCI)
  12. P.-H. Chou, K.-C. Ko, S.-T. Kuo, S.-J. Lin, 2012, Firm characteristics, alternative factors, and asset-pricing anomalies: Evidence from Japan, Quantitative Finance 12, 369-382. (SSCI)
  13. M.-C. Lin and P.-H. Chou, 2011, Prospect theory and the effectiveness of price limits, Pacific-Basin Finance Journal 19, 330-349. (SSCI).
  14.  P.-H. Chou, K.-C. Ko, and S.-J. Lin, 2010, Do relative leverage and relative distress really explain asset-pricing anomalies?, Journal of Financial Markets 13, 77-100. (SSCI) Data for FS factors
  15.  Chih, Hsiang-Lin, Hsiang-Hsuan Chih, and Pin-Huang Chou, 2010, Being good or being known: Corporate governance, media coverage, and earnings announcements, The Service Industries Journal 30, 405-420. (SSCI)
  16. H.-S. Chih, P.-H. Chou, H. Chung, and Y.-E. Lin, 2009, Smart money effect and past performance: Evidence from U.S. mutual funds, Journal of Financial Studies 17:4, 31-55. (TSSCI)
  17. H.-H. Chih, Y.-E. Lin, P.-H. Chou, 2009, Disposition effect, escalated commitment, and fund performance, Management Review 28:4, 1-18. (TSSCI; 2009 Best Paper Award)
  18.   P.-H. Chou, H.-H. Chih, Y.-E. Lin, W.-J. Chen, 2009, Does CEO coverage affect firm performance?, Chiao Da Management Review 29:1, 139-173. (TSSCI)
  19.  P.-H. Chou, R. K. Chou, and K.-C. Ko, 2008, Prospect theory and risk-return paradox: Some recent evidence, Review of Quantitative Finance and Accounting 33, 193-208.
  20. Wang, J.-S., J.-T. Chen, and Pin-Huang Chou, 2008, Market reactions to the passage of financial holding company act in Taiwan, Pacific Economic Review 13, 453-472. (SSCI)
  21.  Chou, P.-H. and K.-C. Ko, 2007, Characteristics, Covariances, and Structural Breaks, Economics Letters 100, 31-34. (SSCI)
  22.  P.-H. Chou, Y.-C. Chang, and M.-C. Lin, 2007, Investor sentiment and stock returns in Taiwan,  Review of Securities and Futures Markets 19, No. 2, 153-190. (in Chinese). (TSSCI)
  23.  H.-H. Chih, Y.-E. Lin, and P.-H. Chou, 2007, Performance persistence and the smart money effect: Evidence from Taiwan, Journal of Management 24, 307-330. (in Chinese). (TSSCI)
  24.  P.-H. Chou, Huimin Chung, and K. C. Wei, 2007, Sources of contrarian profits in Japanese markets, Journal of Empirical Finance 14, 261-286（lead article）.
  25.  P.-H. Chou, Wen-Shen Li, S. Ghon Rhee and Jane-Sue Wang, 2007, Do macroeconomic factors subsume asset-pricing anomalies in long investment horizons?, Managerial Finance 33, 534-552.
  26.   P.-H. Chou, M.-C. Lin and M.-T. Yu, 2006, Margins and price limits in Taiwan's stock index futures market, Emerging Markets Finance and Trade 42, 65-91. (SSCI)
  27.   P.-H. Chou and G. Zhou, 2006, Bootstrap tests of Portfolio efficiency, Annals of Economics and Finance 2, 217-249. (lead article)
  28.   P.-H. Chou, Wen-Shen Li and Guofu Zhou, 2006, Portfolio optimization under asset-pricing anomalies, Japan and the World Economy 18, 121-142.  (SSCI, lead article)
  29.   P.-H. Chou, W.-S. Li, J.-B. Lin, and J.-S. Wang, 2005, Estimating the VaR of a portfolio subject to price limits and nonsynchronous trading, International Review of Financial Analysis 15, 363-376.
  30.   P.-H. Chou, Huimin Chung, and Erh-Yin Sun, 2005, Detecting mutual fund timing ability using the threshold model, Applied Economics Letters 12, 829-834. (SSCI)
  31.  P.-H. Chou, M.-C. Lin and M.-T. Yu, 2005, Risk Aversion and Price Limits in Futures Markets, Finance Research Letters 2, 173-184.
  32.  P.-H. Chou, 2004, "Bootstrap tests for multivariate event studies," Review of Quantitative Finance and Accounting 23, 275-290.
  33.  P.-H. Chou, Robin K. Chou and J.-S. Wang, 2004, On the Cross-section of Expected Stock Returns: Fama-French Ten Years Later, Finance Letters 2, Issue 1, 18-22.
  34.  M.-C. Lin and P.-H. Chou, 2003, The Pitfall of Using Sharpe Ratio, Finance Letters 1, Issue 3, 84-89.
  35.  P.-H. Chou, M.-C. Lin and M.-T. Yu, 2003, "Coordinating price limits across spot and futures markets,"  Journal of Futures Markets 23, 577-602. (SSCI)
  36.  S.-Y. Chen, C.-C. Lin, Pin-Huang Chou and D.-Y. Hwang, 2002, "A Comparison of hedge effectiveness and price discovery between TAIFEX TAIEX index futures and SGX MSCI Taiwan index futures," Review of Pacific Basin Financial Markets and Policies 5, 277-300.
  37.  P.-H. Chou, Edward Chow and Gang Shyy, 2002, "Exchange rate risk exposure and capital market integration of the Asian emerging markets,"  Taiwan Academy of Management Journal 2, No. 2, 165-182.
  38. P.-H. Chou and Mei-Chen Lin, 2002, "Tests of the international CAPM with and without a risk-less asset," Applied Financial Economics 12, 873-883.
  39. P.-H. Chou , H. Chih, R. Chou, and Y. Gong, 2002, "Behavioral Finance: A Literature Review,"  Review of Securities and Futures Markets 14:2, 1-48. (in Chinese).
  40.  P.-H. Chou and Yi-Feng Liu, 2000, "On the cross sections of stock returns: Characteristics, single-factor or multi-factors? "  Review of Securities and Futures Markets 12:1, 1-32. (in Chinese).
  41. P.-H. Chou, J.-H. Lee and C.-S. Lee, 2000, "An investigation of day-trade related regulations in Taiwan's futures market," Review of Securities and Futures Markets 11:3, 21-48, (in Chinese).
  42. P.-H. Chou , Y.-L. Hsu and Guofu Zhou, 2000, "Investment horizon and the cross-section of expected returns: Evidence from the Tokyo Stock Exchange,"  Annals of Economics and Finance  1, No. 1, 79-100.
  43.  P.-H. Chou, 2000, "Alternative tests of the zero-beta CAPM," Journal of Financial Research 23, 469-494.
  44.  P.-H. Chou, Mei-Chen Lin and Min-Teh Yu, 2000,  "Price limits, default risks, and margin requirements,"  Journal of Futures Markets 20, 573-602. (SSCI)
  45.  P.-H. Chou, 1999, "Modeling daily price limits," International Review of Financial Analysis 8:3, 283-301.
  46.  P.-H. Chou and Huimin Chung, 1999, "Formulation versus holding horizon, time series predictability, and the performance of contrarian strategies," Journal of Financial Studies 7:2, 1-27.
  47. P.-H. Chou, Y. Liu, and H. Lin, 1998, "Evaluating the performance and mean-variance efficiency of five Taiwanese stock indexes," Review of Securities and Futures Markets 10:4, 1-26. (in Chinese), 1998.
  48.  P.-H. Chou and Shoushan Wu, 1998, "A further investigation of daily price limits,"  Journal of Financial Studies 6, No. 2, 19-48, (in Chinese).
  49.  P.-H. Chou and Kung-Fang Tsai, 1997, "Event study methodologies in Taiwan,"  Review of Securities and Futures Markets, Vol. 9, No. 2, 1-27. (in Chinese). Best Annual Paper Award.
  50.  P.-H. Chou, 1997, "A test of relative efficiency between two sets of securities," Applied Financial Economics, Vol. 7, 193-196
  51.  P.-H. Chou, 1997, "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific Basin Finance Journal, Vol. 5, 39-62.
  52.  P.-H. Chou and Chung-Hua Shen, 1997, "Weekday effect, autocorrelation and price limits in Taiwan: An application of Gibbs sampler," Academia Economic Papers, Vol. 25, No. 1, 21-44. (in Chinese).
  53. P.-H. Chou and Cathy Chiu, 1996, "Evaluating the performance of the U.S.-based Asia-Pacific region mutual funds," Review of Securities and Futures Markets, Vol. 8, No. 3, 117-145. (in Chinese).
  54.  P.-H. Chou and Soushan Wu, 1996, "A risk-and-return analysis of price limits on Taiwan's stock market," Review of Securities and Futures Markets, Vol. 8, No. 1, 1-31. (in Chinese).
Conference papers
1.    P.-H. Chou, Cognitive dissonance and its implications in finance, Money Watching & Credit Rating，no 38，15-22.
2.    P.-H. Chou and Mei-Chen Lin, 2002, Effectiveness of price limits when investors are overconfident. Proceedings of the 10th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan.
3.    P.-H. Chou and Mei-Chen Lin, 2001, Assessing the size of asset-pricing tests under perfect ex ante efficiency, Proceedings of the 10th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan.
4.    P.-H. Chou and Wen-Shen Li, 2000, Factors, characteristics, and portfolio optimization, Proceedings of the 9th Conference on the Theories and Practices of Securities and Financial Markets, Taiwan.
5.    P. -H. Chou and H. Wang, 2000, Alternative tests for event studies: A bootstrap approach, Proceedings of the 2000 Chinese Finance Association Annual Meeting, Taiwan: Taipei.
6.    "Mutual fund styles, performance evaluation and investment horizons: Evidence from Taiwanese mutual funds," (with S. Lin and M. Lin), 2000, Securities Finance 65, 55-82.
7.    "Using Bootstrap to test portfolio efficiency," (with Guofu Zhou), 1998 Proceedings of the 1998 NTU Conference on Finance, Vol. 2, 117-145. National Taiwan University, Taipei, Taiwan. Best Paper Award.
8.    A microstructure investigation of Barings crisis: Information trading and trading mechanisms. (with J. Lee and Gang Shyy), Proceedings of the Eighth Annual Asia-Pacific Futures Research Symposium, 39-72, 1997.
9.    Hedging effectiveness and price transmission of individual share futures, (with Gang Shyy), Proceedings of the Seventh Annual Asia-Pacific Futures Research Symposium, 83-92, 1996.
Books and other
  1. Translation: Green Economics: Theory, Policy and Practice (author: Molly Scott Cato), Best-Wise Publishing Co., 2011
  2. Econometrics: Theory, Concept and Applications, Best-Wise Publishing Co., 2010.
  3. Financial Econometrics with Applications in Eviews, with Huimin Chung and Er-Yin Sun, 2009.
  4. Financial Econometrics with SAS, with Huimin Chung, Soushan Wu and Hwei-Wen Fan, 2002.
  5. Securities Markets, with Yue-Jane Liu and Jie-Haun Lee, 2001.

 
Research grant
  1. P.-H. Chou, Ray Chou, and Ding-Neng Huan, 2001, An examination of intraday price reversals in Taiwan, working paper.
  2. Mei-Chen Lin and P. H. Chou, 1998, Bootstrapping variance ratio test, working paper.
  3. P.-H. Chou, 1996, On multivariate tests of regulatory event studies, working paper.
  4. P. -H. Chou and Chung-Hua Shen, 1995, A reexamination of futures price behavior: The case of pork bellies, presented at the Second International NTU Finance Conference (Taipei, Taiwan).
  5. Siddhartha Chib and P.- H. Chou, 1994, An econometric analysis of price limits: The case of minimum-variance hedge ratio estimation, presented at the 1995 Western Finance Association annual meeting (Aspen, USA) and the 1995 FMA annual meetings (New York, USA).
  6. P.-H. Chou and Robert Parks, 1993, A reexamination of the contrarian investment strategy using the CAPM and APT, presented at the 1993 Annual Meetings of the Southwestern Finance Association (New Orleans, USA), and the 1994 Annual Meetings of the Midwest Finance Association (Chicago, USA).
  7. Soushan Wu, P.-H. Chou and Mei-Ying Liu, 1990, Event study methodology and regulatory changes: The case of price limits in Taiwan, the Second Annual PACAP Finance Conference (Bangkok, Thailand).