PUBLICATIONS
"Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan,"
(with Cheng-Yi Shiu),
Financial Management, October (4th Quarter/Autumn), 2009, 567 - 602.
"Does the Market Dole Out Collective Punishment? An Empirical Analysis of Industry, Geography, and Arthur Andersen’s Reputation,"
(with Hang Li),
Journal of Banking and Finance, 33, July (3rd Quarter/Summer), 2009, 1255 - 1265.
"A Functional Approach to the Price Impact of Stock Trades and the Implied True Price,"
(with Christopher Ting),
Journal of Empirical Finance, 15, January (1st Quarter/Winter), 2008, 1-16.
"The Supply and Demand of Immediacy: Evidence from the NYSE,"
(with Hans R. Stoll),
Oxford University Press, 2005, 256-285.
"Trading Activity and Stock Price Volatility: Evidence from the London Stock Exchange,"
(with Ronald Masulis),
Journal of Empirical Finance, 10, May, 2003, 249-269.
"Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings,"
(with Hans Heidle),
Journal of Financial and Quantitative Analysis, 37, September, 2002, 391-424.
"Information-Based Trading in Treasury Note Interdealer Broker Market,"
(with Jun Cai,
Xiaozu Wang),
Journal of Financial Intermediation, 11, July (3rd Quarter/Summer), 2002, 269-296.
"The Quality of ECN and Nasdaq Market Maker Quotes,"
Journal of Finance, 57, June, 2002, 1285-1319.
"The Impact of the Federal Reserve Bank's Open Market Operations,"
(with Campbell R. Harvey,
),
Journal of Financial Markets, 5, April (2nd Quarter/Spring), 2002, 223-257.
"Tick Size, Bid-Ask Spreads and Market Structure,"
(with Hans R. Stoll),
Journal of Financial and Quantitative Analysis, 36, December, 2001, 503-522.
"Exchange Rates and Firm's Liquidity: Evidence From ADRs,"
(with Hans R. Stoll),
Journal of International Money and Finance, 20, June, 2001, 297-325.
"Do Market Makers Suffer from Splitting Headaches?"
(with H. Martin Weingartner),
Journal of Financial Services Research, 17, August, 2000, 103-124.
"FX Spreads and Dealer Competition Across the 24 Hour Trading Day,"
(with Ronald W. Masulis),
Review of Financial Studies, 12, 1999, 61-93.
"Is It Time to Split the S&P 500 Futures Contract?"
(with Hans R. Stoll),
Financial Analysts Journal, 54, 1998, 23-35.
"Management and Control of Foreign Exchange Risk by Laurent L. Jacque,"
Journal of Finance, 52, 1997, 2211-2214.
"The Components of the Bid-Ask Spread: A General Approach,"
(with Hans R. Stoll),
Review of Financial Studies, 10, 1997, 995-1034.
"An Analysis of Nonlinearities in Term Premiums and Forward Rates,"
(with Charles S.Y. Lin),
Journal of Empirical Finance, 3, 1996, 347-368.
"Competitive Trading of NYSE Listed Stocks: Measurement and Interpretation of Trading Costs,"
(with Hans R. Stoll),
Financial Markets, Institutions and Instruments, 5, 1996, 1-55.
"Dealer versus Auction Markets: A Paired Comparison of Execution Costs on Nasdaq and the NYSE,"
(with Hans R. Stoll),
Journal of Financial Economics, 41, 1996, 313-357.
"Energy Shocks and Financial Markets,"
(with Ronald W. Masulis,
Hans R. Stoll),
Journal of Futures Markets, 16, 1996, 1-27.
"Data Frequency and the Number of Factors in Stock Returns,"
(with Hoje Jo Jo),
Journal of Banking and Finance, 19, 1995, 987-1004.
"Following the Pied Piper: Do Individual Returns Herd Around the Market?"
(with William G. Christie,
),
Financial Analysts Journal, 51, 1995, 31-37.
"Market Microstructure and Stock Return Predictions,"
(with Hans R. Stoll),
Review of Financial Studies, 7, 1994, 179-213.
"Market Structures and Liquidity: A Transactions Data Study of Exchange Listings,"
(with William G Christie,
),
Journal of Financial Intermediation, 3, 1994, 300-326.
"The Changing Functional Relation Between Stock Returns and Dividend Yields,"
(with William G. Christie,
),
Journal of Empirical Finance, 1, 1994, 161-191.
"Information and Volatility in the FX Markets,"
(with Campbell R. Harvey,
),
Finanzmarkt und Portfolio Management, 6, 1992, 14-22.
"The Design of Trading Systems: Lessons from Abroad,"
(with Hans R. Stoll),
Financial Analysts Journal, 48, 1992, 49-54.
"Transformed Securities and Alternative Factor Structures,"
(with Hoje Jo Jo),
Journal of Finance, 47, 1992, 397-405.
"Major World Equity Markets: Current Structure and Prospects for Change,"
(with Hans R. Stoll),
Monograph Series in Finance and Economics, 1991, 1-55.
"Volatility in the Foreign Currency Futures Market,"
(with Campbell R. Harvey,
),
Review of Financial Studies, 4, 1991, 543-569.
"Financial Asset Substitution and International Asset Pricing,"
(with Tsong-Yue Lai),
Advances in Financial Planning and Forecasting: International Dimensions, 4, 1990, 171-195.
"Risk and Parity in Purchasing Power,"
Journal of Money, Credit, and Banking, 22, 1990, 338-356.
"Time-Varying Return and Risk in the Corporate Bond Market,"
(with Eric Chang,
),
Journal of Financial and Quantitative Analysis, 25, 1990, 323-340.
"An Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts,"
Journal of Finance, 44, 1989, 183-194.
"On the Determinants of Individual Demand for Pension Annuities,"
(with Sheng-Cheng Hu,
),
Journal of Economics and Business, 40, 1988, 253-263.
"Tests of Market Models: Heteroskedasticity or Misspecifications?"
(with Hoje Jo),
Journal of Banking and Finance, 12, 1988, 439-455.
"Expectations of Exchange Rates and Differential Inflation Rates: Further Evidence on Purchasing Power Parity in Efficient Markets,"
Journal of Finance, 42, 1987, 69-79.
"Does Monetization of Federal Debt Matter? Evidence From the Financial Markets,"
Journal of Money, Credit, and Banking, 18, 1986, 275-289.
"Common Stock Returns and Presidential Elections,"
Financial Analysts Journal, 41, 1985, 58-61.
"Debt and Equity Yields, 1926-1980,"
(with Patric Hendershott,
),
University of Chicago Press, 1985, 117-163.
"Financial Asset Returns, Inflation, and Market Expectations,"
Research in Finance, 5, 1985, 25-55.
"Methodological and Empirical Comparisons of Statistical Classifications of Bond Ratings,"
(with Tsong-Yue Lai),
Advances in Financial Planning and Forecasting, 1, 1985, 145-166.
"Exchange Rate and Relative Monetary Expansions: The Case of Simultaneous Hyperinflation and Rational Expectations,"
European Economic Review, 24, 1984, 189-195.
"Some Alternative Tests of Forward Exchange Rates as Predictors of Future Spot Rates,"
Journal of International Money and Finance, 3, 1984, 153-167.
"Stock Market Returns and Real Activity: A Note,"
(with William Kracaw),
Journal of Finance, 39, 1984, 267-273.
"Tests of Variance Bounds Implied by Cagan's Hyperinflation Model,"
International Economic Review, 25, 1984, 545-561.
"The Information Content of Policy Decisions and the Capital Market,"
International Journal of Policy Analysis and Information Systems, 6, 1982, 147-154.
"The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility,"
Journal of Finance, 36, 1981, 31-41.
PRESENTATIONS
Roger D Huang,
Florida International University Finance Seminar, Miami, Florida, "Liquidity, Investability, and Realized Foreign Investment in Emerging Markets," (February26, 2010).
Roger D Huang,
China University of Technology, Taiwan, "Aftermath of the 2007 Global Crisis: Déjà Vu or Jamais Vu?" (January8, 2010).
Roger D Huang,
National Central University, Taiwan, "Liquidity, Investability, and Realized Foreign Investment in Emerging Markets," (January8, 2010).
Roger D Huang,
Yuan Ze Finance Seminar, Taiwan, "Liquidity, Investability, and Realized Foreign Investment in Emerging Markets," (January7, 2010).
Roger D Huang,
Yuan Ze University, Taiwan, "Aftermath of the 2007 Global Crisis: Déjà Vu or Jamais Vu?" (January5, 2010).
Roger D Huang,
Accounting and Finance Conference, Xiamen, China, "Does the Market Dole Out Collective Punishment? An Empirical Analysis of Industry, Geography, and Arthur Andersen's Reputation," (July9, 2008).
Roger D Huang,
AMF/SEC Conference, Paris, France, "Liquidity, Investability, and Realized Foreign Investment in Emerging Markets," (May14, 2007).
Roger D Huang,
,
Conference on Business Ethics, Shanghai, China, "Fairness and the Renminbi-Dollar Exchange Rate: A Joint Market and Ethical Framework and Some Recommendations," (September22, 2006).
Roger D Huang,
Pennsylvania State University Finance Seminar, University Park, Pennsylvania, "Overseas Monitors in Emerging Financial Markets: Evidence from Foreign Ownership in Taiwan," (September26, 2005).
Roger D Huang,
Indiana University Finance Seminar, Bloomington, Indiana, "Overseas Monitors in Emerging Financial Markets: Evidence from Foreign Ownership in Taiwan," (September23, 2005).
Roger D Huang,
Western Finance Association Conference, Western Finance Association Conference, Portland, Oregon, "Overseas Monitors and Emerging Financial Markets: An Analysis of Foreign Investment Flows and Equity Ownership in Taiwan," (June20, 2005).
Roger D Huang,
Financial Markets Research Center Conference, Vanderbilt University, Nashville, Tennessee, "Overseas Monitors and Emerging Financial Markets: An Analysis of Foreign Investment Flows and Equity Ownership in Taiwan," (May19, 2005).
Roger D Huang,
University of Notre Dame Finance Seminar, "Overseas Monitors and the Home Bias: An Analysis of Foreign Investment Flows and Equity Ownership in Taiwan," ( 2004).
Roger D Huang,
Conference on the Theories and Practices of Securities and Financial Market, Kaoshiung, Taiwan, "Overseas Monitors and the Home Bias: An Analysis of Foreign Investment Flows and Equity Ownership in Taiwan," (December17, 2004).
Roger D Huang,
Michigan State University Finance Seminar, Michigan State University, "Overseas Monitors and the Home Bias: An Analysis of Foreign Investment Flows and Equity Ownership in Taiwan," (October22, 2004).
Roger D Huang,
Western Finance Association Conference, Western Finance Association Conference, Vancouver, Canada, "Do Individual NYSE Specialists Subsidize Illiquid Stocks?" (June26, 2004).
Roger D Huang,
Third Wuhan International Conference on E-Business: Global Business Interface, Wuhan, China, "Reflections on a Globalized Market," (June4, 2004).
Roger D Huang,
Zhongnan University of Economics & Law Finance Seminar, Zhongnan University of Economics & Law Finance, Xinhua School of Banking and Insurance, "Universal Financial Principles," (June4, 2004).
Roger D Huang,
Financial Markets Research Center Conference, Vanderbilt University, Nashville, Tennessee, "Do Individual NYSE Specialists Subsidize Illiquid Stocks?" (April22, 2004).
Roger D Huang,
New York Stock Exchange Finance Seminar, New York Stock Exchange, "Do Individual NYSE Specialists Subsidize Illiquid Stocks?" (March5, 2004).
Roger D Huang,
University of Notre Dame Finance Seminar, University of Notre Dame, "Do Individual NYSE Specialists Subsidize Illiquid Stocks?" (December10, 2003).
Roger D Huang,
Southern Methodist University Finance Seminar, Southern Methodist University, "Selective disclosure and opportunistic trading: An analysis of discretionary earnings announcements," (April19, 2002).
Roger D Huang,
Vanderbilt University Finance Seminar, Vanderbilt University, "Selective disclosure and opportunistic trading: An analysis of discretionary earnings announcements," (February6, 2002).
Roger D Huang,
University of Notre Dame Finance Seminar, University of Notre Dame, "Selective disclosure and opportunistic trading: An analysis of discretionary earnings announcements," (December19, 2001).
Roger D Huang,
City University of Hong Kong Finance Seminar, City University of Hong Kong, "The Quality of ECN and Nasdaq Market Maker Quotes," (August7, 2001).
Roger D Huang,
University of Georgia Finance Seminar, University of Georgia, "Price Discovery by ECNs and Nasdaq Market Makers," (December1, 2000).
Roger D Huang,
Commodities Futures Trading Commission Finance Seminar, Commodities Futures Trading Commission, "Price Discovery by ECNs and Nasdaq Market Makers," (November15, 2000).
Roger D Huang,
Michigan State University Finance Seminar, Michigan State University, "Price Discovery by ECNs and Nasdaq Market Makers," (November10, 2000).
Roger D Huang,
Federal Reserve Bank of Atlanta Financial Markets 2000: E-Finance, Federal Reserve Bank of Atlanta, The Cloister, Sea Island, Georgia, "Tick Size, Bid-Ask Spreads and Market Structure," (October15, 2000).
Roger D Huang,
University of Notre Dame Finance Seminar, University of Notre Dame, "Inventory Risk-Sharing and Public Information-Base," (August30, 2000).
Roger D Huang,
Western Finance Association Conference, Sun Valley, Idaho, "Price Discovery by ECNS and Nasdaq Market Makers," (June26, 2000).