CURRICULUM VITAE

PIN-HUANG CHOU

Professor of Finance
Department of Finance
National Central University, Taiwan 320

Phone: (886) 3-422-7151 ext. 66270
Fax: (886) 3-425-2961; E-mail: choup@cc.ncu.edu.tw

Education:

  • Ph.D. in Economics, Washington University in St. Louis (1994),
  • M.A. in Economics, Washington University in St. Louis (1992).
  • B.S. in Management Science, National Chiao-Tung University (1988).

Experience:

  • 2000-present, Professor of Finance, National Central University.
  • 1994-2000, Associate Professor of Finance, National Central University.
  • 1988-1990, Research Assistant, National Chiao-Tung University.

Fields of Interest:

Investments; Econometrics; Econometric Methods in Finance; Behavioral Finance.

Teaching Activities:

A. Courses Taught:

  • Undergraduate Level: Statistics, Intermediate Microeconomics, Financial Econometrics, Behavioral Finance.
  • Graduate Level: Quantitative Methods (I, II), Investments, Behavioral Finance.
  • Doctoral Level: Econometrics, Advanced Investments, Empirical Methods in Finance.

B. Doctoral Dissertation Supervisions and Placements:

  • Mei-Chen Lin (co-supervised with Min-Teh Yu, completed), National United University.
  • Hsiang-Hsuan Chih (completed), National Dong Hwa University.
  • Jien-Tai Wu (completed).
  • Wen-Shen Li (completed), National Dong Hwa University.
  • Tzu-Hsiang Liao (co-supervised with Chuang-Chang Chang, continued).
  • Kuan-Cheng Ko (continued).
  • Chun-Yi Chao (continued)

Refereed Publications:

  1. 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).
  2. 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).
  3. 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).
  4. 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.
  5. P.-H. Chou, 1997, "A test of relative efficiency between two sets of securities," Applied Financial Economics, Vol. 7, 193-196.
  6. 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.
  7. 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).
  8. 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.
  9. 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.
  10. P.-H. Chou, 1999, "Modeling daily price limits," International Review of Financial Analysis 8:3, 283-301.
  11. 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)
  12. P.-H. Chou, 2000, "Alternative tests of the zero-beta CAPM," Journal of Financial Research 23, 469-494.
  13. 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.
  14. 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).
  15. 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).
  16. 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).
  17. 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.
  18.  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.
  19. 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.
  20. 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)
  21. M.-C. Lin and P.-H. Chou, 2003, The Pitfall of Using Sharpe Ratio, Finance Letters 1, Issue 3, 84-89.
  22. 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.
  23. P.-H. Chou, 2004, "Bootstrap tests for multivariate event studies," Review of Quantitative Finance and Accounting 23, 275-290.
  24. 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.
  25. 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)
  26. 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.
  27. 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)
  28. P.-H. Chou and G. Zhou, 2006, Bootstrap tests of Portfolio efficiency, Annals of Economics and Finance 2, 217-249. (lead article)
  29. 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)
  30. 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.
  31. 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）.
  32. 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)
  33. 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)
  34. Chou, P.-H. and K.-C. Ko, 2007, Characteristics, Covariances, and Structural Breaks, forthcoming in Economics Letters. (SSCI)

Other Publications:

  • 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.
  • 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.
  • "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.
  • "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.
  • 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.
  • 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.
  • 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.
  • 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.
  • P.-H. Chou, Cognitive dissonance and its implications in finance, 貨幣觀測與信用評等，第38期，15-22.

 

Books:

  • Securities Markets, with Yue-Jane Liu and Jie-Haun Lee, 2001.
  • Financial Econometrics with SAS, with Huimin Chung, Soushan Wu and Hwei-Wen Fan, 2002.


Other Presentations and Working Papers:

  • 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).
  • 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).
  • 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).
  • 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).
  • P.-H. Chou, 1996, On multivariate tests of regulatory event studies, working paper.
  • Mei-Chen Lin and P. H. Chou, 1998, Bootstrapping variance ratio test, working paper.
  • P.-H. Chou, Ray Chou, and Ding-Neng Huan, 2001, An examination of intraday price reversals in Taiwan, working paper.

Academic Services:

  • Papers refereed for:  International Review of Financial Analysis, Financial Review,  Pacific Basin Finance Journal, Review of Securities and Futures Markets, Journal of Financial Studies, Academia Economic Papers,Emerging Markets Trade and Finance,  etc.
  • Review committee for: The Conferences on the Theories and Practices of Securities Markets.
  • Editorial Board:

a.     Journal of Financial Studies, (TSSCI)

b.     Management Review. (TSSCI)

c.      Journal of Management and Systems. (TSSCI)

d.     Asia-Pacific Review of Social Science and Technology.

e.      Chiao Da Management Review.  (TSSCI)

Awards:

  • Best annual paper award, 1997, Review of Securities and Futures Markets. Paper title: Event study methodologies in Taiwan.
  • Best paper award, 1998, the 1998 NTU  Conference on Finance, Taipei Taiwan. Paper title: Using bootstrap to test portfolio efficiency.
  • Annual Paper Award, 2002, The Tenth Conferences on the Theories and Practices of Securities Markets. Paper title: The Effectiveness of Price Limits When Investors are Overconfident.


Grants:

  • Exchange rate risk exposure and the capital market integration of the Asian emerging markets, National Science Council, Taiwan. Grant no: NSC 84-2416-H-008-016-E8.
  • Bootstrap tests for multivariate event studies, National Science Council, Taiwan. Grant no: NSC 87-2416-H008-018
  • Hedging effectiveness and information transmission of index futures: The case of Taiwanese indexes, National Science Council, Taiwan. Grant no: NSC 87-2418-004-E24.
  • Alternative tests for event studies: A bootstrap approach, National Science Council, Taiwan. Grant no: NSC 88-2416-H-008-009.
  • Financial planning for Taiwan Electronic Inc., National Science Council, Taiwan.
  • On the performance of trading strategies, National Science Council, Taiwan. Grant no: NSC 89-2416-H-0088-008.
  • Coordinating spot and futures price limits, National Science Council, Taiwan.
  • A comparison of regulations on day trades, SEC in Taiwan.
  • Assessing the size and power of efficiency tests under perfect ex ante efficiency, Grant no:  90-2416-H-008-003. National Science Council, Taiwan.
  • A further examination of the relation between beta and market value. Grant no:  91-2416-H-008-010. National Science Council, Taiwan.
  • Risk-return relation and prospect theory: A reexamination. NSC, Taiwan.
  • Market sentiments as a common factor, NSC, Taiwan.

 

Professional Associations:

  • Taiwanese Finance Association.
  • Financial Management Association International.
  • PACAP/FMA Society.