柯冠成

                                     
Kuan-Cheng Ko
 

Title: Distinguished Professor

Research Expertise: Empirical Asset Pricing; Investment; Behavioral Finance

Diploma: Ph.D. of Finance, National Central University, Taiwan

E-mail: kcko@ncnu.edu.tw

Office Tel No.: 049-2910960 ext 4615

Office Hours: Tuesday 10:00~12:00 (By Appointment via Email)

Office: R5091, Management Building

 


Working Experience

Distinguished Professor of Finance, National Chi Nan University (08/2019-present)

Visiting Professor of Finance, University of Hawaii at Manoa (02/2017-07/2017)

Professor of Finance, National Chi Nan University (08/2016-present)

Chair of Department of Banking and Finance, National Chi Nan University (08/2012-07/2014)

Associate Professor of Finance, National Chi Nan University (08/2012-07/2016)

Assistant Professor of Finance, National Chi Nan University (08/2009-07/2012)


Education
Ph.D. in Finance, National Central University (09/2004-06/2008)
M.S. in Finance, National Central University (09/2002-06/2004)
B.S. in Quantitative Finance, National Tsing Hua University (09/1998-06/2002)

 

Research Areas
Empirical asset pricing; Investments; Behavioral finance


Refereed Journal Publications

(A) International journals:

  1. Chen, Tsung-Yu, Pin-Huang Chou, Kuan-Cheng Ko and S. Ghon Rhee, 2020. Nonparametric Momentum Based on Ranks and Signs. Journal of Empirical Finance, forthcoming. (SSCI)
  2. Xia, Chuanxin, Nien-Tzu Yang, Chaonan Lin and Kuan-Cheng Ko, 2020. Multi-market Trading, Price Delay, and Return Predictability. Finance Research Letters, forthcoming. (SSCI)
  3. Ko, Kuan-Cheng, Jun Nie, Rong Ran and Yuan Gu, 2020. Corporate Social Responsibility, Social Identity, and Innovation Performance in China. Pacific-Basin Finance Journal 63, 101415. (SSCI)
  4. Chou, Pin-Huang, Kuan-Cheng Ko and Nien-Tzu Yang, 2019. Asset Growth, Style Investing and Momentum. Journal of Banking and Finance 98, 108-124. (SSCI; corresponding author)
  5. Hao, Ying, Shaofei Wang, Robin K. Chou and Kuan-Cheng Ko, 2019. Boom Baby, Career Experience and Risk Taking: A Natural Experiment from Chinese CEOs’ Growth Path. International Review of Finance 19(2), 347-383. (SSCI)
  6. Hao, Ying, Robin K. Chou, Kuan-Cheng Ko and Nien-Tzu Yang, 2018. The 52-Week High, Momentum, and Investor Sentiment. International Review of Financial Analysis 57, 167-183. (SSCI; corresponding author)
  7. Yang, Nien-Tzu, Hsiang-Hui Chu, Kuan-Cheng Ko and Shiou-Wen Lee, 2018. Continuing Overreaction and Momentum in a Market with Price Limits. Pacific-Basin Finance Journal48, 56-71. (SSCI; corresponding author)
  8. Chang, Rosita P., Kuan-Cheng Ko, Shinji Nakano and S. Ghon Rhee, 2018. Residual Momentum in Japan. Journal of Empirical Finance 45, 283-299. (SSCI)
  9. Lin, Chaonan, Kuan-Cheng Ko,Lin Lin and Nien-Tzu Yang, 2017. Price Limits and the Value Premium in the Taiwan Stock Market. Pacific-Basin Finance Journal 41, 26-45. (SSCI; corresponding author)
  10. Lin, Chaonan, Kuan-Cheng Ko,Zhi-Xiang Feng and Nien-Tzu Yang, 2016. Market Dynamics and Momentum in the Taiwan Stock Market. Pacific-Basin Finance Journal 38, 59-75. (SSCI; corresponding author)
  11. Lin, Chaonan, Kuan-Cheng Ko, Yu-Lin Chen and Hsiang-Hui Chu, 2016. Information Discreteness, Price Limits and Earnings Momentum. Pacific-Basin Finance Journal 37, 1-22. (SSCI; corresponding author, Lead article)
  12. Hao, Ying, Hsiang-Hui Chu, Keng-Yu Ho and Kuan-Cheng Ko, 2016. The 52-Week High and Momentum Investing in Taiwan Stock Market: Anchoring or Recency Biases? International Review of Economics & Finance 43, 121-138. (SSCI; corresponding author)
  13. Hao, Ying, Hsiang-Hui Chu, Kuan-Cheng Ko and Lin Lin, 2016. Momentum Strategies and Investor Sentiment in the REIT Market. International Review of Finance 16(1), 41-71. (SSCI; corresponding author)
  14. Ko, Kuan-Cheng, Shinn-Juh Lin, Hsiang-Ju Su and Hsing-Hua Chang, 2014. Value Investing and Technical Analysis in Taiwan Stock Market. Pacific-Basin Finance Journal 26, 14-36. (SSCI; corresponding author)
  15. Chou, Pin-Huang, Robin K. Chou, Kuan-Cheng Ko and Chun-Yi Chao, 2013. What Affects the Cool-off Duration under Price Limits? Pacific-Basin Finance Journal 24, 256-278. (SSCI)
  16. Chu, Hsiang-Hui, Kuan-Cheng Ko, Shinn-Juh Lin and Hsiao-Wei Ho, 2013. Credit Rating Anomaly in Taiwan Stock Market. Asia-Pacific Journal of Financial Studies 42(3), 403-441. (SSCI; corresponding author)
  17. Chou, Pin-Huang, Po-Hsin Ho and Kuan-Cheng Ko, 2012. Do Industries Matter in Explaining Stock Returns and Asset-Pricing Anomalies? Journal of Banking and Finance 36(2), 355-370. (SSCI)
  18. Chou, Pin-Huang, Kuan-Cheng Ko, Szu-Tsen Kuo and Shinn-Juh Lin, 2012. Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies: Evidence from Japan. Quantitative Finance 12(3), 369-382. (SSCI)
  19. Chou, Pin-Huang, Kuan-Cheng Ko and Shinn-Juh Lin, 2010. Do Relative Leverage and Relative Distress Really Explain Size and Book-to-Market Anomalies? Journal of Financial Markets 13(1), 77-100. (SSCI)
  20. Chou, Pin-Huang, Robin K. Chou and Kuan-Cheng Ko, 2009. Prospect Theory and the Risk-Return Paradox: Some Recent Evidence. Review of Quantitative Finance and Accounting 33(3), 193-208. (Lead article)
  21. Chou, Pin-Huang and Kuan-Cheng Ko, 2008. Characteristics, Covariances, and Structural Breaks. Economics Letters 100(1), 31-34. (SSCI)

    (B)Local journals:
  22. Yang, Nien-Tzu, Kuan-Cheng Ko, Hsiang-Tai Lee and Kai-Zhe Lin, 2018. Economic States, Downside Risk and Momentum in the Taiwan Stock Market. Journal of Financial Studies26, 99-128. (TSSCI)
  23. Yang, Nien-Tzu, Kuan-Cheng Ko and Lin Lin, 2018. Residual Momentum and Investor Sentiment. Journal of Managementand Business Research35(4), 461-488. (TSSCI; corresponding author)
  24. Ko, Kuan-Cheng, Hsiang-Ju Su, Shinn-Juh Lin and Hsiang-Hui Chu, 2016. The Impact of Technical Analysis on Volatility and Size Effects in Taiwan Stock Market. Journal of Managementand Business Research 33(2), 281-309. (TSSCI)
  25. Ko, Kuan-Cheng, Huei-Jyun Jiang, Shinn-Juh Lin and Jung-Hsien Chang, 2012. Asset Growth and Stock Returns: Evidence from Taiwan Stock Market. Journal of Managementand Business Research 29(5), 465-487. (TSSCI)

 

(B)        Local Practitioner Journals:

  1. 柯冠成,2019。「臺灣期貨市場造市制度與功能」之研究。期貨人季刊,第70卷,48-57。

 

Books and Book Chapters

1.         Ko, Kuan-Cheng, 2008, Essays on Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies, National Central University. (Ph. D. dissertation)

2.         Ko, Kuan-Cheng, 2004, Prospect Theory and the Risk-Return Relationship: Evidence from Mutual Funds, National Central University. (Master thesis)

3.         Ko, Kuan-Cheng (with professors from Department of Finance at National Central University), 2004, Financial Case Book I, Taiwan Academy of Banking and Finance.

 

Awards and Honors

  1. National Chi Nan University Outstanding Teaching Award (2020)
  2. Fubon Best Paper Award for The 2020 International Conference of Taiwan Finance Association held in Puli, Taiwan, 2020 (Paper title: National Cultures and the Asset Growth Effect)
  3. NCNU Distinguished Scholar funded by MOST (2013, 2014, 2016, 2017, 2018, 2019)
  4. 2019 UMC Best Paper Award (Paper title: The Impact of Technical Analysis on Volatility and Size Effects in Taiwan Stock Market)
  5. 1st Best Paper Award forThe 4th Indonesian Finance Association (IFA) International Conference held in Lampung, Indonesia, 2018 (Paper title: Investor Gambling Preference and the Asset Growth Anomaly)
  6. 2017 Best Practical Paper Award of Journal of Management and Business Research (Paper title: The Impact of Technical Analysis on Volatility and Size Effects in Taiwan Stock Market)
  7. Fubon Best Paper Award for The 2016 International Conference of Taiwan Finance Association held in New Taipei City, Taiwan, 2016 (Paper title: Asset Growth, Style Investing and Momentum)
  8. National Chi Nan University Outstanding Researcher Award (2015)
  9. 2014 UMC Best Paper Award (Paper title: Asset Growth and Stock Returns: Evidence from Taiwan Stock Market)
  10. 2013 Best Paper Award of Journal of Management and Business Research (Paper title: Asset Growth and Stock Returns: Evidence from Taiwan Stock Market)
  11. Runner-up Paper Award for Finance and Corporate Governance Conference held in Melbourne, Australia, 2010
  12. PhD Travel Award for The 2008 Midwest Finance Association Annual Meeting held in San Antonio, Texas, USA, 2008

 

Ministry of Science and Technology (National Science Council) Grants

1.         Technical Analysis in Long and Short Terms and the Cross-Sectional Stock Returns: Underreaction or Overreaction?, MOST 108-2410-H-260-004-MY3 (Principal investigator, 08/2019-07/2022)

2.         Structural-Change Tests and Momentum Investing, MOST 108-2410-H-260-005-MY2 (Principal investigator, 08/2019-07/2021)

3.         Anchoring Biases and Return Predictability: The Roles of Individualism and Time-Series Momentum, MOST 108-2410-H-004-079-MY2 (Co-investigator, 08/2019-07/2021)

4.         Three Essays on the Asset Growth Anomalies, MOST 106-2410-H-260-012-MY2 (Principal investigator, 08/2017-07/2019)

5.         Anchoring Biases and Asset Pricing Anomalies, MOST 106-2410-H-004-027-MY2 (Co-investigator, 08/2017-07/2019)

6.         Price Limits, Investor Attention, Arbitrage Risk and Asset-Pricing Anomalies, MOST 104-2410-H-260-004-MY2 (Principal investigator, 08/2015-07/2017)

7.         Individualism, Gambling Preferences, and the Asset Growth Anomaly, MOST 104-2410-H-004-017-MY2 (Co-investigator, 08/2015-07/2017)

8.         The 52-week High, Low, and Momentum Investing: New Measure and New Evidence, MOST 103-2410-H-260-005-MY3 (Principal investigator, 08/2014-07/2017)

9.         An Anatomy of Cross-Sectional Return Dispersions, NSC 102-2410-H-008-014-MY3 (Co-investigator, 08/2013-07/2016)

10.       Moving Average Signals and Momentum Investing, NSC 102-2628-H-004-001 (Co-investigator, 08/2013-07/2014)

11.       Industry and Asset Pricing Anomalies in International Stock Markets, NSC 101-2410-H-260-016-MY2 (Principal investigator, 08/2012-07/2014)

12.       The 52-Week-High Anomaly: Factors or Characteristics?, NSC 100-2410-H-260-020 (Principal investigator, 08/2011-07/2012)

13.       Macroeconomic Factors, Firm Characteristics, and Stock Returns, NSC 99-2410-H-260-030 (Principal investigator, 08/2010-07/2011)

14.       Default Risk and Stock Returns: Characteristics, Factors and Econometric Issues, NSC 99-2410-H-008-038-MY3 (Co-investigator, 08/2010-07/2013)

15.       Is Credit-Risk Premium Driven by Relative Leverage and Relative Distress?, NSC 98-2410-H-260-068 (Principal investigator, 11/2009-10/2010)

Essays on Econometric Analysis of Asset-Pricing Anomalies, NSC 96-2420-H-008-023-DR (NSC Ph.D. Dissertation Award, 08/2007-07/2008)

 

Ministry of Education Grants

1.            Joint Program in Training Students with Skills of Finance and Information Management, MOE 103-03-05-002 (02/2013-01/2015)

 

Industrial Research Projects

1.         開放證券商從事避險基金之可行性分析(中華民國證券商業同業公會委託研究計劃,共同主持人,04/2020-09/2020)

2.         臺灣期貨市場造市制度與功能之研究(中華民國期貨業商業同業公會委託研究計劃,共同主持人,09/2018-01/2019)

3.         如何提升我國當日沖銷交易之發展-就交易成本問題之研究(中華民國證券商業同業公會委託研究計劃,主持人,10/2016-01/2017)

4.         台灣期貨市場交易人下單行為與違約風險相關性之研究(台灣期貨交易所股份有限公司委託計劃,研究助理,06/2006-01/2007)

Academic Services         

  1. Reviewer for
    • International journals: Asia-Pacific Journal of Accounting & Economics, Asia-Pacific Journal of Financial Studies, Emerging Markets Finance and Trade, Financial Review,International Review of Economics & Finance,Journal of Banking and Finance, Journal of Empirical Finance, North American Journal of Economics and Finance, Pacific-Basin Finance Journal, Quarterly Review of Economics & Finance, Review of Financial Economics, Review of Quantitative Finance and Accounting
    • Local TSSCI journals: Academia Economic Papers, Asia Pacific Management Review,International Journal of Commerce and Strategy, Journal of Business Administration, Journal of Cheng Shiu University, Journal of Financial Studies,Journal of Futures and Options,Journal of Management and Business Research, Journal of Management & Systems, Management Review, NTU Management Review, Review of Securities and Futures Markets, Sun Yat-Sen Management Review, Taiwan Economic Review, Taiwan Journal of Applied Economics
    • MOST (NSC) Research Projects (2011-2020)
    • MOE Teaching Practice Research Program (2018-2020)
    • MOST Ph.D. Dissertation Award (2014, 2020)
    • MOST College Student Research Projects (2012, 2013, 2016, 2018, 2019, 2020)
    • MOST College Student Research Creativity Award (2012, 2016)
    • Asian Finance Association Conference (2012, 2016, 2017, 2018)
    • International Conference of Taiwan Finance Association (2016, 2019, 2020)
    • Fubon Life Management Doctor and Master Thesis Award (2017-2020)
    • University System of Taipei Joint Research Program (2017)
  2. Session chair for
    • The 4th Indonesian Finance Association International Conference 2018
    • 2017 Asset Pricing Conference of Taiwan Finance Association
    • The 23th Conference on the Theories and Practices of Securities and Financial Markets
    • 2014 The Joint Annual Meeting of CTFA and FeAT
    • 2013 The Annual Meeting of CTFA
  3. Committeeman for
    • Program committee of 2013 The Annual Meeting of CTFA

 

Academic Speeches

1.         National Taiwan University, 06/12/2020

2.         National Chengchi University (Brownbag), 12/12/2019

3.         National Tsing Hua University, 04/26/2018

4.         National Taiwan University, 11/24/2017

5.         2017 Asset Pricing Conference of Taiwan Finance Association, 09/29/2017

6.         National Kaohsiung First University of Science and Technology, 09/26/2017

7.         National Dong Hwa University, 10/05/2016

8.         2016 Asset Pricing Conference of Taiwan Finance Association, 08/02/2016

9.         National Chung Cheng University, 11/27/2015

10.       National Changhua University of Education, 04/14/2015

11.       National Taiwan University, 11/14/2014

12.       National Central University, 10/28/2014

13.       Feng Chia University, 10/02/2014

14.       Ling Tung University (NSC workshop), 05/08/2014

15.       Tunghai University, 04/10/2014

16.       National Kaohsiung First University of Science and Technology, 02/26/2014

17.       Yuan Ze University (NSC workshop), 01/09/2014

18.       National Kaohsiung First University of Science and Technology (NSC workshop), 12/10/2013

19.       Center for Research in Econometric Theory and Applications, 11/29/2013

20.       National Chengchi University, 11/14/2013

21.       Ling Tung University, 05/16/2013

22.       National Chengchi University, 04/12/2013

23.       National United University, 04/10/2013

24.       Providence University, 12/13/2012

25.       National Chi Nan University, 06/07/2012

26.       National Taiwan University, 05/18/2012

27.       National Tsing Hua University, 11/24/2011

28.       National Dong Hwa University, 05/20/2011

29.       National Chi Nan University, 04/07/2011

30.       National Chengchi University, 04/16/2010