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, Missouri, USA (1994).
• M.A. in Economics, Washington University in St. Louis, Missouri, USA (1992).
• B.S. in Management Science, National Chiao-Tung University, Hsinchu, Taiwan (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; Green Economics; Buddhist Economics.

Teaching Activities

A. Courses

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

B. Doctoral Dissertation Supervisions and Placements

• Mei-Chen Lin (co-supervised with Min-Teh Yu), National Taipei University.
• Hsiang-Hsuan Chih, National Dong Hwa University.
• Jien-Tai Wu.
• Wen-Shen Li, National Dong Hwa University.
• Jen-Chung Hsu (co-supervised with Gang Shyy), Chingyun University of Science and Technology.
• Tzu-Hsiang Liao (co-supervised with Chuang-Chang Chang), Ming Chuan University.
• Kuan-Cheng Ko, National Chi Nan University.
• Tsung-Yu Chen, Shanghai Business School (China).
• Guan-Ying Huang (co-supervised with Hung-Jen Huang), Southwestern University of Economics and Finance (China).
• Chia-Hsun Hsieh (co-supervised with Hung-Yi Chen).
• Yu-Ching Chang (co-supervised with Jin-Hui Yeh), Shih Chien University.

Refereed Publications

A. International Journals

1. 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.

2. P.-H. Chou, 1997, A test of relative efficiency between two sets of securities, Applied Financial Economics, Vol. 7, 193-196.

3. P.-H. Chou, 1999, Modeling daily price limits, International Review of Financial Analysis 8:3, 283-301.

4. 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)

5. P.-H. Chou, 2000, Alternative tests of the zero-beta CAPM, Journal of Financial Research 23, 469-494.

6. 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.

7. 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.

8. 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.

9. 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)

10. M.-C. Lin and P.-H. Chou, 2003, The Pitfall of Using Sharpe Ratio, Finance Letters 1, Issue 3, 84-89.

11. 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.

12. P.-H. Chou, 2004, Bootstrap tests for multivariate event studies, Review of Quantitative Finance and Accounting 23, 275-290.

13. 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.

14. 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)

15. 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.

16. 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)

17. P.-H. Chou and G. Zhou, 2006, Bootstrap tests of Portfolio efficiency, Annals of Economics and Finance 2, 217-249. (lead article)

18. 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)

19. 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.

20. 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).

21. Chou, P.-H. and K.-C. Ko, 2007, Characteristics, Covariances, and Structural Breaks, Economics Letters 100, 31-34. (SSCI)

22. 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)

23. 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.

24. 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)

25. 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)

26. M.-C. Lin and P.-H. Chou, 2011, Prospect theory and the effectiveness of price limits, Pacific-Basin Finance Journal 19, 330-349. (SSCI).

27. 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)

28. 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)

29. 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)

30. 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)

31. 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)

32. 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)

33. H.-Y. Chen, P.-H. Chou, C.-H. Hsieh, 2018, Persistency of momentum effect, European Financial Management 24, 856-892.

34. T.-Y. Chen, P.-H. Chou,  2018, Median momentum, European Financial Management 25, 1080-1118. (SSCI).

35. P.-H. Chou, K.-C. Ko, N.-T. Yang, 2019, Asset growth, style investing, and momentum, Journal of Banking and Finance 98, 108-124. (SSCI)

36. T.-Y. Chen, P.-H. Chou, N.-T. Yang, 2020, Momentum and reversals: Are they really separate phenomena?  Finance Research Letters 32, Article 101102. (SSCI)

37. T.-Y. Chen, P.-H. Chou, K.-C. Ko, and S. G. Rhee, 2021, Non-parametric momentum based on ranks and signs, Journal of Empirical Finance 60, 94-109. (SSCI)

38. T.-Y. Chen, P.-H. Chou, C.-H. Hsieh, and S. G. Rhee, 2021, Momentum life cycle, revisited, Journal of Banking and Finance 127, 106-119. (SSCI)

B. Domestic Journals

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 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.

5. 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).

6. 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).

7. 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.

8. 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).

9. 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).

10. 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).

11. 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.

12. 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)

13. 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)

14. 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)

15. 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)

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. 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)

18. 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)

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.
• 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, Monetary Watch and Credit Rating, Vol. 38, 15-22.

· Pin-Huang Chou, Kuan-Cheng Ko, and K C John Wei, 2024, Sources of the Liquidity Premium: Risk or Mispricing? Chapter 65, Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives (editors: C.F. Lee, Alice Lee, and John Lee).

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.
• Financial Econometrics with Applications in Eviews, with Huimin Chung and Er-Yin Sun, 2009.
• Econometrics: Theory, Concept and Applications, Best-Wise Publishing Co., 2010; 2^nd edition, Yeh-Yeh Publishing, 2022.
• Translation: Green Economics: Theory, Policy and Practice (author: Molly Scott Cato), Best-Wise Publishing Co., 2011.
• Translation and annotation: Bhavagad Gita, Revelation Publishing Co., 2018.
• Buddhist Economics, 2022, San-Chou Publishing Co.

Other Selected 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

1. Associate editor, Journal of Banking and Finance (2012-2015);

2. Associate editor, Pacific-Basin Finance Journal (2016-present).

3. Associate editor, Asia-Pacific Journal of Accounting and Economics (2020/10-2023/10).

4. Associate editor, Heliyon (An open access journal from Elsevier) (2018/9-2020/9).

5. Editorial board, Journal of Financial Studies, (TSSCI) 1999-present.

6. Editorial board, Management Review. (TSSCI) 2002-present.

7. Editorial board, Journal of Management and Systems. (TSSCI) 2005-preseent.

8. Editor (finance field), Journal of Management and Systems. (TSSCI) 2018-preseent.

9. Editorial board, Chiao Da Management Review.  (TSSCI) 2004-2018.

10. Editorial board, Review of Securities and Futures Markets. (TSSCI) 2016-present.

11. Guest editor for Review of Securities and Futures Markets (special issue on behavioral finance) 2017, 2019; Journal of Financial Studies (special issue on behavioral finance) 2020.

12. Ad Hoc Journal Referee for: Journal of Banking and Finance, European Financial Management, International Review of Financial Analysis, Financial Review, Finance Research Letters, Pacific Basin Finance Journal, International Review of Finance, Review of Securities and Futures Markets, Journal of Financial Studies, Academia Economic Papers, Emerging Markets Trade and Finance, Quantitative Finance, International Review of Economics and Finance, etc.

13. Review committee for: The Conferences on the Theories and Practices of Securities Markets 1999-present; The 2009 Annual Meetings of the Taiwan Finance Association.

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.
• Best annual paper award, 2007, Review of Securities and Futures Markets. Paper title: Investor sentiment and stock returns in Taiwan.
• Best paper award, 2009, Management Review. Paper title: Disposition effect, escalated commitment, and fund performance.
• Runner-up Award, 2010, Finance and Corporate Governance Conference, Melbourne, Australia. Paper title: Firm characteristics, alternative factors, and asset-pricing anomalies: Evidence from Japan
• Best paper award, 2017, Culture and Market Efficiency, Review of Securities and Futures Markets.
• Best paper award, 2018, Culture and Market Efficiency, 8^th UMC Management Paper Awards.

Grants

1. 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.
2. Bootstrap tests for multivariate event studies, National Science Council, Taiwan. Grant no: NSC 87-2416-H008-018
3. Hedging effectiveness and information transmission of index futures: The case of Taiwanese indexes, National Science Council, Taiwan. Grant no: NSC 87-2418-004-E24.
4. Alternative tests for event studies: A bootstrap approach, National Science Council, Taiwan. Grant no: NSC 88-2416-H-008-009.
5. On the performance of trading strategies, National Science Council, Taiwan. Grant no: NSC 89-2416-H-0088-008.
6. Coordinating spot and futures price limits, National Science Council, Taiwan.
7. A comparison of regulations on day trades, SEC in Taiwan.
8. Assessing the size and power of efficiency tests under perfect ex ante efficiency, Grant no:  90-2416-H-008-003. National Science Council, Taiwan.
9. A further examination of the relation between beta and market value. Grant no:  91-2416-H-008-010. National Science Council, Taiwan.
10. Prospect theory and risk-return relation revisited. Grant no: 92-2416-H-008-023. National Science Council, Taiwan.
11. Macroeconomic factors, market sentiment, and asset pricing. Grant no: 92-2416-H-008-033-EF. National Science Council, Taiwan.
12. On the role of industry in the cross-section and time series of stock returns. Grant no: 93-2416-H-008-019. Grant no: 94-2416-H-008-003.National Science Council, Taiwan.
13. Examining market reactions to the passage of Financial Holding Company Act: A multivariate event study approach. Grant no: 94-2416-H-008-031. National Science Council, Taiwan.
14. On econometric and theoretical issues regarding size and book-to-market anomalies. Grant no: 95-2416-H-008-015-MY3. National Science Council, Taiwan.
15. On econometric and behavioral issues of volatility smiles. Grant no: 95-2416-H-008-014-MY3. National Science Council, Taiwan.

16. Factors, characteristics, and stock returns: Behavioral and econometric issues. Grant no: 98-2410-H-008-041-MY3. National Science Council, Taiwan.

17. Default risk and stock returns: Factors, characteristics and econometric issues. Grant no: 99-2410-H-008-041-MY3. National Science Council, Taiwan.

18. A reexamination of short-term momentum and long-term reversals, Grant no: NSC 101-2410-H-008-027-MY3

19. An anatomy of cross-sectional variations in stock returns, Grant no: NSC 102-2410-H-008-014-MY3

20. An ethics-augmented asset-pricing model: Theory and evidence, Grant no: MOST 105-2410-H-008-027-MY3

21. Robust and excess momentum strategies: Performance and driving forces. Grant no: MOST 107-2410-H-008-013-MY3

22. Differences of opinion, salience, and asset-pricing anomalies. Grant no: MOST 109-2410-H-008-009-MY3

23. Corporate social responsibility, investor heterogeneity, and asset pricing, Grant no: NSTC 112-2410-H-008-047-MY3