Mendoza Directory

Faculty & Research

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Roger D. Huang

Professor
Martin J. Gillen Dean and Kenneth R. Meyer Professor of Global Investment Management

BIO

Dr. Roger D. Huang is the Martin J. Gillen Dean for the Mendoza College of Business at the University of Notre Dame and the Kenneth R. Meyer Professor of Global Investment Management. He holds a B.S. in Industrial Management from Purdue, as well as master and doctorate degrees in finance from the Wharton School at the University of Pennsylvania.

Dr. Huang teaches global finance in the Executive MBA program and multinational financial management in the MBA program. His areas of research expertise are international financial management and financial market microstructure.

Dr. Huang joined the Notre Dame faculty in 2000 after previously teaching and conducting research at Vanderbilt University, the University of Florida, MIT and Purdue University. He was voted the best teacher in the Executive MBA program four times, as well as the best teacher in the MBA program; he also has received the Teaching Excellence Award on three occasions.

He has written extensively on the subjects of world financial markets and trading. Dr. Huang previously served on the board of Bon Secours Health System, Inc., as well as the Nasdaq Review Council, and has received numerous fellowships and grants.

AREAS OF EXPERTISE

EDUCATION

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).