Selected Published Papers
102. “The Interaction Between Nonexpected Utility and Asymmetric Market Fundamentals,”(sole-authored), 1994, Journal of Finance, Vol. 49, pp.325-343. (SSCI) (國科會A+級期刊)
101. “Can the Gains from International Diversification be Achieved Without Trading Abroad?,” (with V. Errunza and K. Hogan), 1999, Journal of Finance, pp. 2075-2108. (SSCI) (國科會A+級期刊)
100. “Betting Your Way Out of Losses: The Profitability of Gambling in Oil Futures Markets” (with K. Lin, S. Chen and H. Lin), 2026, Applied Economics, pp. 1-21. (SSCI)
99. “How do seeking-safety CEOs treat their employees?” (with C. Tsai and F. Tsai ), 2026, Review of Quantitative Finance and Accounting, pp. 1-37. (國科會ATier-2級期刊)
98. “Svix, VIX, and Cryptocurrency Market Return” (with I. Chiu and K. Yen), 2025, Quarterly Review of Economics and Finance, pp. 1-7. (國科會A-級期刊)
97. “Pricing Vulnerable Options when Debts Have Performance-Sensitivity Provisions ” (with Y. Liu and I. Jiang), 2025 , International Review of Economics and Finance, pp.1-20. (國科會A-級期刊)
96. “Hedge and Price American Options with Static Hedging Portfolio Method under Stochastic Volatility” (with T. Chen, Y. Ko and J. Wang), 2025, The Journal of Derivatives, pp. 142-175. (SSCI)
95. “Firm-Specific News Sentiment and Stock Returns: The Impact of Relevance and Time Frames” (with I. Chiu and Y. Huang), 2025, Applied Economics Letters, pp.1-10. (SSCI)
94. “Optimizing Investment Strategies: Unraveling the Interplay of Managerial Discretion, Debt Constraints, and Growth Uncertainty” (with Y. Liu, I. Jiang and K. Hou ), 2025, Review of Quantitative Finance and Accounting, pp. 1-34. (國科會ATier-2級期刊)
93. “Finance-Specific Large Language Models: Advancing Sentiment Analysis and Return Prediction with LlaMA 2” (with I. Chiu), 2025, Pacific-Basin Finance Journal, pp.1-28 (國科會ATier-2級期刊)
92. “Optimal Timing and Proportion in Two Stages Learning Investment” (with Y. Liu and I. Jiang), 2025, Review of Quantitative Finance and Accounting, pp. 1001–1027 (國科會ATier-2級期刊)
91. “The effect of cutting interest rates on corporate investments: A real options model” (with N. Han and I. Wu), 2024, Applied Stochastic Models in Business and Industry , pp.512-526. (SCI)
90. “Strategic Asset Allocation with Distorted Beliefs” (with S. Chung, T. Wei and C. Yeh), 2024, International Review of Economics and Finance, pp.804-831. (SSCI) (國科會A-級期刊)
89. “Stock market alphas help predict macroeconomic innovations” (with J. Yeh), 2024, Macroeconomic Dynamics, pp.612-646. (SSCI)
88. “An application of damped diffusion for modeling volatility dynamics” (with Y. Ko and J. Wang) , 2023, Journal of Financial Econometrics, pp.779-809. (SSCI) (國科會ATier-1級期刊)
87. “The annuity puzzle and consumption hump under ambiguous life expectancy” (with N. Han) , 2021, Insurance: Mathematics and Economics, pp.76-88. (SSCI) (科技部ATier-2級期刊)
86. “Corporate Debt and Cash Decisions: A Nonlinear Panel Data Analysis” (with B. Chang) , 2021, Quarterly Review of Economics and Finance, pp.15-37. (科技部A-級期刊)
85. “The Impact of Appointment-Based CEO Connectedness on Firms’ Performance and Profitability” (with Y. Chien), 2020, North American Journal of Economics and Finance, pp.1-18. (SSCI)
84. “Managerial Optimism, CEO Retention, and Corporate Performance: Evidence from Bankruptcy-filing Firms” (with W. Tsai), 2020, Journal of Economics and Finance, pp.506-527. (科技部B+級期刊)
83. “The Volatility Information Implied in the Term Structure of VIX” (with K. Chang, Y. Wang and K. Yen), 2019,Journal of Futures Markets, pp.56-71. (SSCI) (科技部ATier-1級期刊)
82. “Implications of Default Information Leakage on Recoveries,” (with W. Tsai), 2019, Journal of Fixed Income, pp. 22-36. (科技部ATier-2級期刊)
81. “Revisiting Generalized Almost Stochastic Dominance” (with J. Chang and W. Liu), 2019, Annals of Operation Research, pp.175-192. (SSCI).
80. “Artificial Momentum, Native Contrarian, and Transparency in China” (with H. Lin and J. Huang), 2018, Computational Economics, pp. 263–294. (SSCI).
79. “Limit Hits and Informationally Related Stocks” (with L. Chang and J. Guo), 2017, Journal of Financial Markets, pp. 31-47. (SSCI) (科技部ATier-1級期刊)
78. “Optimal Consumption, Portfolio, and Life Insurance Policies under Interest Rate and Inflation Risks” (with N. Han) , 2017, Insurance: Mathematics and Economics, pp.54-67. (SSCI) (科技部ATier-2級期刊)
77. “Rainbow Trend Options: Valuation and Applications” (with Y. Ko, H. Wang and J. Wang), 2017, Review of Derivatives Research, pp.1-43. (SSCI) (科技部A-級期刊)
76. “The Impact of News Articles and Corporate Disclosure on Credit Risk Valuation” (With H. Lu and F. Tsai), 2016, Journal of Banking and Finance, pp.100-116. (SSCI) (科技部ATier-1級期刊)
75. “Rollover Effects in Stock Index Futures Contracts”(with B. Chang and J. Chang), 2016, Advances in Financial Planning and Forecasting, pp.287-316. (科技部B+級期刊)
74. “A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options” (With L. Chang and J. Guo), 2015, Journal of Futures Markets, pp.887-901. (SSCI) (科技部ATier-2級期刊)
73. “Credit Contagion and Competitive Effects of Bond Rating Downgrades along the Supply Chain ” (With L. Chang and F. Tsai), 2015, Finance Research Letters, pp.232-238. (SSCI) (科技部A-級期刊)
72. “The Investment Management for a Downside-Protected Equity-Linked Annuityunder Interest Rate Risk” (with N. Han), 2015, Finance Research Letters, pp.113-124. (SSCI) (科技部A-級期刊)
71. “Searching for Landmines in Equity Markets” (with B. Chang and J. Chang), 2014, Annals of Financial Economics, pp.1-24. (SSCI)
70. “Option Pricing with Stochastic Liquidity Risk: Theory and Evidence” (with S. Feng and Y. Wang), 2014, Journal of Financial Markets, pp.77-95. (SSCI)(科技部ATier-1級期刊)
69. “A Lattice Model for Option Pricing under GARCH-Jump Process” (with B. Lin, J. Wang and P. Wu), 2013, Review of Derivatives Research, pp.295-329. (SSCI) (科技部A-級期刊)
68. “Foreign Direct Investment in Emerging Markets: Bondholders’ Perspective” (with C. Chiou and P. Shu), 2013, Emerging Markets Finance and Trade, pp.5-16. (SSCI)
67. “Optimal Asset Allocation for DC Pension Plans under Inflation,” (with N. Han), 2012, Insurance: Mathematics and Economics, pp.172-181. (SSCI) (科技部ATier-2級期刊)
66. “Cross-Market Hedging Strategies for Credit Default Swaps under Markov Regime Framework” (with J. Chang and F. Tsai), 2012, Journal of Fixed Income, pp.44-56 . (SSCI) (科技部ATier-2級期刊)
65. “Credit Rating Change Modeling Using News and Financial Ratios,” (with H. Lu, F. Tsai, H. Chen and S. Li), 2012, ACM Journal, pp. 14:1-14:30.
64. “Managerial Personal Diversification and Portfolio Equity Incentives,” (with Y. Liu and C. Tsai), 2012, Journal of Corporate Finance, pp.38-64. (SSCI) (科技部ATier-1級期刊)
63. “A Note on Endogenous Propagation in One-Sector Business Cycle Models with Dynamic Complementarities,” (with S. Wu), 2012, Macroeconomic Dynamics, pp.1136-1159. (SSCI)
62. “Ambiguity, Parameter Uncertainty and Portfolio Decision.” (with L. Chang), 2012, Archives Des Sciences, pp. 68-72. (SCI)
61. “Optimal Portfolio-Consumption Choice under Stochastic Inflation with Nominal and Indexed Bonds,” (with Y. Chou and N. Han), 2011, Applied Stochastic Models in Business and Industry, pp.691-706. (SCI)
60. “Determinants of Futures Contract Success: Empirical Examinations for the Asian Futures Markets,” (with B. Lin, Y. Huang and J. Chou), 2011, International Review of Economics and Finance, pp.452-458. (SSCI) (科技部A-級期刊)
59. “Loss Aversion and the Term Structure of Interest Rates,” (with J. Wang), 2011, Applied Economics, pp. 1-18. (SSCI)
58. “Pricing Vulnerable American-Style Exchange Options with Correlated Credit Risk. ”ith L. Chang), 2011, International Research Journal of Finance and Economics, pp.194-208.
57. “Geographic Effect of Futures Hedge Performance,” (with T. Pan and S. Huang), 011, Review of Securities and Futures Markets, pp. 49-78. (TSSCI)
56. “Tight Bounds on American Option Prices,” (with S. Chung and J. Wang), 2010, Journal of Banking and Finance, pp. 77-89. (SSCI) (科技部ATier-1級期刊)
55. “On the Currency Effect to Home Bias Puzzle,” (with M. Lo and H. Yu), 2010, Applied Economics Letters, pp. 815-821. (SSCI)
54. “Financial Text Mining: Supporting Decision Making Using Web 2.0 Content,” (with H. Lu, H. Chen, T. Chen and S. Li), 2010, IEEE Intelligent Systems, pp. 78-82. (SCI)
53. “Liquidity Spreads in the Corporate Bond Market: Estimation Using a Semi-parametric Model,” (with J. Chang), 2010, Journal of Applied Statistics, pp. 359-374. (SCI)
52. “New Insights into India’s Single Stock Futures Markets,” (with L. So), 2009, Review of Futures Markets, pp.17-28. (科技部B級期刊)
51. “Analytical Valuation of Catastrophe Equity Options with Negative Exponential Jumps,” (with L. Chang), 2009, Insurance: Mathematics and Economics, pp. 59-69. (SSCI) (科技部ATier-2級期刊)
50. “A Generalization of the Brone-Adesi and Whaley Approach for the Analytic Approximation of American Options,” (with J. Guo and L. So), 2009, Journal of Futures Markets, pp. 478-493. (SSCI) (科技部ATier-2級期刊)
49. “Effect of Wind on Stock Market Returns: Evidence from European Markets,” (with H. Shu), 2009, Applied Financial Economics, pp. 893-904. (科技部B級期刊)
48. “Pricing Catastrophe Derivatives Using A Recursive Evaluation Approach,” (with Y. Liu, I. Jiang, and C. Kuei), 2008, Asia-Pacific Journal of Financial Studies, pp. 569-598. (SSCI) (科技部B+級期刊)
47. “A Generalization of Rubinstein’s “Pay Now, Choose Later”,” (with J. Guo), 2008, Journal of Futures Markets, pp. 488-515. (SSCI) (科技部ATier-2級期刊)
46. “Pricing Vulnerable American Options with Correlated Credit Risk” (with L. Chang), 2007, Review of Derivatives Research, pp.137-165. (EconLit) (科技部A-級期刊)
45. “Pricing American Options on Foreign Currency with Stochastic Volatility, Jumps, and Stochastic Interest Rates,” (with J. Guo), 2007, Journal of Futures Markets, pp.867-892. (SSCI ) (科技部ATier-2級期刊)
44. “A Note on the Discontinuity Problem in Heston’s Stochastic Volatility Model,” (with J. Guo), 2007, Applied Mathematical Finance, pp.339-346. (科技部B級期刊)
43. “The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht ” (with J. Chang, C. Lee and H. Lu), 2007, Review of Pacific Basin Financial Markets and Policies, pp.265-288.
42. “The Profitability and The Determinants of Momentum Investment Strategy,” (with C. Lin and Y. Liu), 2007, Sun Yat- Sen Management Review, pp. 515-546. (TSSCI)
41. “Contributions to International Finance Journals by Taiwanese Universities and Colleges,” (with S. Chang and Y. Liu), 2007, Review of Securities and Futures Markets, pp. 1-22. (TSSCI)
40. “Intertemporal Risk and Currency Risk,” (with J. Chang), 2006, Encyclopedia of Finance, chapter 4. (Springer)
39. “Estimated Inflation Rate, Consumption and Portfolio Decision,” (with N, Han), 2006, Economics Letters, pp.402-408. (SSCI)
38. “Optimal Timing to Invest in E-commerce,” (with J. Chang), 2006, Psychology and Marketing, pp.335-348. (SSCI)
37. “A Heterogeneous Model of Disposition Effect,” (with H. Yu), 2006, Applied Economics, pp.2147-2157. (SSCI)
36. “Sharpe Timing Ratio,” (with Y. Jan), 2006, Journal of Investing, pp.75-79. (FLI) (科技部B+級期刊)
35. “Valuation of Weather Derivatives,“ (with Y. Liu), 2006, Journal of Financial Studies, pp.1-34. (TSSCI)
34. “Pricing Foreign Equity Options under Levy Processes,” (with S. Huang), 2005, Journal of Futures Markets, pp.917-944. (SSCI) (科技部ATier-2級期刊)
33. “Pricing Vulnerable Options in Incomplete Markets,” (with Y. Liu), 2005, Journal of Futures Markets, pp.135-170. (SSCI) (科技部ATier-2級期刊)
32. “Trade, R&D Spending and Financial Development,” (with Y. Chang and C. Lu), 2005, Applied Financial Economics, pp.1-11. (科技部B級期刊)
31. “Valuation of Intellectural Property: A Real Option Approach,” (with J. Chang and F. Tsai), 2005, Journal of Intellectural Capital, pp.339-356.
30. “Capital Flow, Nontradable Consumption and Home Bias,” (with H. Yu), 2005, Economics Bulletin, pp.1-15.
29. “Asset Price under Prospect Theory and Habit Formation,” (with J. Wang), 2005, Review of Pacific Basin Financial Markets and Policies, pp.1-29. (科技部B級期刊)
28. “Hedging with Foreign-listed Single Stock Futures,” (with C. Lee and L. So), 2005, Advances in Quantitative Analysis of Finance and Accounting, pp.129-152. (科技部B級期刊)
27. “An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence,” (with J. Chang, V. Errunza and K. Hogan), 2005, European Financial Management, pp.173-194.(SSCI) (科技部ATier-2級期刊)
26. “An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance,” (with J. Chang and C. Lee), 2004, Review of Quantitative Finance and Accounting, Vol.20, No.4, pp.415-433. (科技部A-級期刊)
25. “Short-run and Long-run Persistence in Mutual Funds,” (with Y. Jan), 2004, Journal of Investing, pp.67-71. (科技部B+級期刊)
24. “Mutual Fund Attributes and Performance,” (with Y. Jan), 2003, Financial Services Review, pp.165-178. (科技部B級期刊)
23. “Impact of Foreign Listed Single Stock Futures on the Domestic Underlying Stock Markets,” (with C. Lee and L. So), 2003, Applied Economics Letters, pp.567-574. (SSCI)
22. “Long Memory in Currency Futures Volatility,” (with C. Chung and Y. Liu), 2003, Research in Finance, pp.139-158. (科技部B級期刊)
21. “Pricing Convertible Bonds Subject to Default Risk,” (with J. Wang), 2002, Journal of Derivatives, pp.75-87. (科技部ATier-2級期刊)
20. “Intertemporal Hedge for Inflation Risk,” (with J. Chang), 2002, Applied Economics Letters, pp.241-243. (SSCI)
19. “Analyzing Taiwan’s Short-Term Interest Rate Using Regime Switching Models,” (with C. Lin and C. Kuan), 2002, Academia Economic Papers, pp.29-56. (TSSCI)
18. “Use of Deviations of Purchasing Power Parity and Interest Rate Parity to Clarify 1997 Asian Financial Crisis,” (with Y. Jan), 2002, Review of Pacific Basin Financial Markets and Policies, pp.195-218. (科技部B級期刊)
17. “The World Price of Exchange Risk in the Pacific Basin Equity Markets,”（with . Chou and Y. Jan), 2002, Applied Financial Economics, pp.361-370. (科技部B級期刊)
16. “Inflation, Asset Returns and Exchanges Rates in a Monetary Economy with Financial Leverage,” (with W. Hsiao and S. Wu), 2002, Taiwan Academy of Management Journal, pp.23-52.
15. “A General Model for Short-term Interest Rates,” (with C. Chung), 2000, Applied Economics, pp.111-121. (SSCI)
14. “Market Segmentation and Noise Trader Risk,” (with V. Errunza and K. Hogan), 2000, International Journal of Theoretical and Applied Finance, pp.85-100.
13. “An International Asset Pricing Model with Time-Varying Hedging Risk,” (with J. Chang), 2000, Review of Quantitative Finance and Accounting, pp.235-257. (科技部ATier-2級期刊)
12. “Pacific Basin Stock Markets and International Capital Asset Pricing Model,” (with P. Chou and Y. Jan), 2000, Global Finance Journal, pp.1-16. (科技部B+級期刊)
11. “Volatility and Maturity Effects in the Nikkei Stock Index Futures.”(with Y. Chen and J. Duan), 1999, Journal of Futures Markets, pp. 895-910. (SSCI)(科技部ATier-2級期刊)
10. “Asset Pricing Model without Consumption Data: An Empirical Study of Pacific Basin Equity Markets”, (with P. Chou and Y. Jan), 1999, International Journal of Business, pp. 1-21.
9. “Interaction and Integration among Asia Pacific Bond Markets”, (with S. Yeh), 1999, Pan-Pacific Management Review, pp. 15-28.
8. “Long Memory in US/NT Exchange Rates,” (with C. Chung and T. Lee), 1998, Journal of Management, pp.455-472. (In Chinese)(TSSCI)
7. “Regulations, Lender Identity and Bank Loan Pricing,” (with A. Chen and S. Mazumdar), 1996, Pacific-Basin Finance Journal, pp.1-14. (科技部ATier-2級期刊)
6. “Price Movements and Price Discovery in the Municipal Bond Index and the Index Futures Markets,” (with H. Zhang), 1995, Journal of Futures Markets, pp.489-506.(SSCI) (科技部ATier-2級期刊)
5. “On Mean-Standard Deviation Frontier of Stochastic Discount Factor in the Presence of Regime Shifts,” 1995, Research in Finance, Vol.2, pp.143-160. (科技部B級期刊)
4. “Pricing Deposit Insurance in Taiwan,” (with J. Duan and T. Liaw), 1995, Advances in Pacific Basin Business, Economics, and Finance, Vol.1, pp.311-319. (FLI)
3. “Loan Covenants and Corporate Debt Policy under Bank Regulations,” (with A. Chen and S. Mazumdar), 1995, Journal of Banking and Finance, pp.1419-1436. (SSCI) (科技部ATier-1級期刊)
2. “Valuation of Parent Guarantees of Subsidiary Debt: Ownership, Risk and Leverage Implications,” (with A. Chen and S. Mazumdar), 1994, Pacific-Basin Finance Journal, Vol. 2, pp. 391-404. (科技部ATier-2級期刊)
1. “The Impact of the EMS on Exchange Rate Predictability,” (with V. Errunza and K. Hogan), 1993, Journal of Multinational Financial Management, Vol. 2, pp.73-94. (科技部B+級期刊)