By Associate Professor Kingsley Yuen Lung Fong

Book Chapters

Fong KY; Zurbrugg R, 2000, 'Pacific rim futures markets and their intertemporal relationships', in Advances in Pacific Basin Financial Markets (2000), JAI Press Inc, Stamford Connecticut, pp. 197 - 220

Journal articles

Menkveld AJ; Dreber A; Holzmeister F; Huber J; Johannesson M; Kirchler M; Neusüß S; Razen M; Weitzel U; Abad-Díaz D; Abudy M; Adrian T; Ait-Sahalia Y; Akmansoy O; Alcock JT; Alexeev V; Aloosh A; Amato L; Amaya D; Angel JJ; Avetikian AT; Bach A; Baidoo E; Bakalli G; Bao L; Barbon A; Bashchenko O; Bindra PC; Bjønnes GH; Black JR; Black BS; Bogoev D; Correa SB; Bondarenko O; Bos CS; Bosch-Rosa C; Bouri E; Brownlees C; Calamia A; Cao VN; Capelle-Blancard G; Romero LMC; Caporin M; Carrion A; Caskurlu T; Chakrabarty B; Chen J; Chernov M; Cheung W; Chincarini LB; Chordia T; Chow SC; Clapham B; Colliard JE; Comerton-Forde C; Curran E; Dao T; Dare W; Davies RJ; Blasis RD; Nard GFD; Declerck F; Deev O; Degryse H; Deku SY; Desagre C; Dijk MAV; Dim C; Dimpfl T; Dong YJ; Drummond PA; Dudda T; Duevski T; Dumitrescu A; Dyakov T; Dyhrberg AH; Dzieliński M; Eksi A; Kalak IE; Ellen ST; Eugster N; Evans MDD; Farrell M; Felez-Vinas E; Ferrara G; Ferrouhi EM; Flori A; Fluharty-Jaidee JT; Foley SDV; Fong KYL; Foucault T; Franus T; Franzoni F; Frijns B; Frömmel M; Fu SM; Füllbrunn SC; Gan B; Gao G; Gehrig TP, 2024, 'Nonstandard Errors', Journal of Finance, 79, pp. 2339 - 2390, http://dx.doi.org/10.1111/jofi.13337

Le AT; Le TH; Liu WM; Fong KY, 2023, 'Dynamic limit order placement activities and their effects on stock market quality', Annals of Operations Research, 330, pp. 155 - 175, http://dx.doi.org/10.1007/s10479-021-04282-y

Fong K; Hong H; Kacperczyk M; Kubik JD, 2022, 'Do Security Analysts Discipline Credit Rating Agencies?', Review of Corporate Finance Studies, 11, pp. 815 - 848, http://dx.doi.org/10.1093/rcfs/cfac021

Boehmer E; Fong K; Wu JJ, 2021, 'Algorithmic Trading and Market Quality: International Evidence', Journal of Financial and Quantitative Analysis, 56, pp. 2659 - 2688, http://dx.doi.org/10.1017/S0022109020000782

Le AT; Le TH; Liu WM; Fong KY, 2021, 'Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model', Annals of Operations Research, 297, pp. 241 - 275, http://dx.doi.org/10.1007/s10479-019-03384-y

Le AT; Le TH; Liu WM; Fong KY, 2020, 'Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment', International Review of Financial Analysis, 72, http://dx.doi.org/10.1016/j.irfa.2020.101575

Fong K; Krug JD; Leung H; Westerholm JP, 2020, 'Determinants of household broker choices and their impacts on performance', Journal of Banking and Finance, 112, http://dx.doi.org/10.1016/j.jbankfin.2019.06.005

Cahill D; Fong K; Wee M; Yang JW, 2020, 'The role of implied volatility in liquidity provision', Australian Journal of Management, 45, pp. 45 - 71, http://dx.doi.org/10.1177/0312896219833423

Ainsworth AB; Fong KYL; Gallagher DR; Partington G, 2018, 'Taxes, order imbalance and abnormal returns around the ex-dividend day', International Review of Finance, 18, pp. 379 - 409, http://dx.doi.org/10.1111/irfi.12155

Fong KYL; Holden CW; Trzcinka CA, 2017, 'What are the best liquidity proxies for global research?', Review of Finance, 21, pp. 1355 - 1401, http://dx.doi.org/10.1093/rof/rfx003

Fong KYL; Foster FD; Gallagher DR; Lee AD, 2016, 'How has the Relevance of Institutional Brokerage Changed?', International Review of Finance, 16, pp. 499 - 524, http://dx.doi.org/10.1111/irfi.12092

Ainsworth A; Fong KYL; Gallagher DR; Partington G, 2016, 'Institutional trading around the ex-dividend day', Australian Journal of Management, 41, pp. 299 - 323, http://dx.doi.org/10.1177/0312896214539967

Fong KYL; Gallagher DR; Lee AD, 2014, 'Individual investors and broker types', Journal of Financial and Quantitative Analysis, 49, pp. 431 - 451, http://dx.doi.org/10.1017/S0022109014000349

Fong KYL, 2010, 'Limit Order Revisions', Journal of Banking and Finance, 34, pp. 1873 - 1885

Fong KY; Gallagher DR; Lau S; Swan PL, 2009, 'Do active fund managers care about capital gains tax efficiency?', Pacific Basin Finance Journal, 17, pp. 257 - 270

Fong KY; Gallagher DR; Lee AD, 2009, 'The Value of Alpha Forecasts in Portfolio Construction', Australian Journal of Management, 34, pp. 97 - 121

Fong KY; Gallagher DR; Lee AD, 2008, 'Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data', Accounting and Finance, 48, pp. 761 - 781

Ainsworth AB; Fong KY; Gallagher DR, 2008, 'Style drift and portfolio management for active Australian equity funds', Australian Journal of Management, 32, pp. 387 - 418

Fong KY; Gallagher DR; Lee AD, 2008, 'The state of origin of Australian equity: Does active fund manager location matter?', Australian Journal of Management, 32, pp. 503 - 523

Fong KY; Gallagher DR; Lee AD, 2007, 'Where Do Australian Active Equity Managers Outperform?', JASSA - Journal of the Securities Institute of Australia, 4, pp. 5 - 10

Fong KY; Gallagher DR; Ng A, 2006, 'The use of derivatives by investment managers and implications for portfolio performance and risk', International Review of Finance, 5, pp. 1 - 29, http://dx.doi.org/10.1111/j.1468-2443.2006.00049.x

Fong KY; Zurbruegg R, 2003, 'How much do locals contribute to the price discovery process?', Journal of Empirical Finance, 10, pp. 305 - 320

Henker T; Colwell DB; Fong KY; Ho J, 2003, 'Real Options Valuation of Australian Gold Mines and Mining Companies', The Journal of Alternative Investments, 6, pp. 23 - 38

Fong KY; Martens M, 2002, 'Overnight futures trading: now even Australia and US have common trading hours', Journal of International Financial Markets Institutions and Money, 12, pp. 167 - 182

Fong KY; Frino A, 2001, 'Stock market closure and intraday stock index futures market volatility: `contagin` bid-ask bias or both?', Pacific Basin Finance Journal, pp. 219 - 232

Conference Papers

Menkveld AJ; Dreber A; Holzmeister F; Huber J; Johanneson M; Kirchler M; Razen M; Weitzel U; Abad D; Abudy MM; Adrian T; Ait-Sahalia Y; Akmansoy O; Alcock J; Alexeev V; Aloosh A; Amato L; Amaya D; Angel JJ; Bach A; Baidoo E; Bakalli G; Barbon A; Bashchenko O; Bindra PC; Bjonnes GH; Black JR; Black BS; Bohorquez S; Bondarenko O; Bos CS; Bosch-Rosa C; Bouri E; Brownlees CT; Calamia A; Cao VN; Capelle-Blancard G; Capera L; Caporin M; Carrion A; Caskurlu T; Chakrabarty B; Chernov M; Cheung WMY; Chincarini LB; Chordia T; Chow SC; Clapham B; Colliard J-E; Comerton-Forde C; Curran E; Dao T; Dare W; Davies RJ; De Blasis R; De Nard G; Declerck F; Deev O; Degryse H; Deku S; Desagre C; Van Dijk MA; Dim C; Dimpfl T; Dong YJ; Drummond P; Dudda T; Dumitrescu A; Dyakov T; Dyhrberg AH; Dzieliński M; Eksi A; El Kalak I; ter Ellen S; Eugster N; Evans MDD; Farrell M; Félez-Viñas E; Ferrara G; FERROUHI EM; Flori A; Fluharty-Jaidee J; Foley S; Fong KYL; Foucault T; Franus T; Franzoni FA; Frijns B; Frömmel M; Fu S; Füllbrunn S; Gan B; Gehrig T; Gerritsen D; Gil-Bazo J; Glosten LR; Gomez T; Gorbenko A; Güçbilmez U; Grammig J; Gregoire V; Hagströmer B; Hambuckers J; Hapnes E; Harris JH; Harris L; Hartmann S; Hasse J-B; Hautsch N; He X-ZT; Heath D; Hediger S; Hendershott TJ; Hibbert AM; Hjalmarsson E; Hoelscher S; Hoffmann P; Holden CW; Horenstein AR; Huang W; Huang D; Hurlin C; Ivashchenko A; Iyer SR; Jahanshahloo H; Jalkh N; Jones CM; Jurkatis S; Jylha P; Kaeck A; Kaiser G; Karam A; Karmaziene E; Kassner B; Kaustia M; Kazak E; Kearney F; van Kervel V; Khan S; Khomyn M; Klein T; Klein O; Klos A; Koetter M; Krahnen JP; Kolokolov A; Korajczyk RA; Kozhan R; Kwan A; Lajaunie Q; Lam FYEC; Lambert M; Langlois H; Lausen J; Lauter T; Leippold M; Levin V; Li Y; Li MH; Liew CY; Lindner T; Linton OB; Liu J; Liu A; Llorente-Alvarez J-G; Lof M; Lohr A; Longstaff FA; Lopez-Lira A; Mankad S; Mano N; Marchal A; Martineau C; Mazzola F; Meloso DC; Mihet R; Mohan V; Moinas S; Moore D; Mu L; Muravyev D; Murphy D; Neszveda G; Neumeier C; Nielsson U; Nimalendran M; Nolte S; Nordén LL; O'Neill P; Obaid K; Ødegaard BA; Östberg P; Painter M; Palan S; Palit I; Park A; Pascual Gascó R; Pasquariello P; Pastor L; Patel V; Patton AJ; Pearson ND; Pelizzon L; Pelster M; Pérignon C; Pfiffer C; Philip R; Plíhal T; Prakash P; Press O-A; Prodromou T; Putnins TJ; Raizada G; Rakowski DA; Ranaldo A; Regis L; Reitz S; Renault T; Wang R; Renò R; Riddiough S; Rinne K; Rintamäki P; Riordan R; RITTMANNSBERGER T; Rodríguez Longarela I; Rösch D; Rognone L; Roseman B; Rosu I; Roy S; Rudolf N; Rush S; Rzayev K; Rzeźnik A; Sanford A; Sankaran H; Sarkar A; Sarno L; Scaillet O; Scharnowski S; Schenk-Hoppé KR; Schertler A; Schneider M; Schroeder F; Schürhoff N; Schuster P; Schwarz MA; Seasholes MS; Seeger N; Shachar O; Shkilko A; Shui J; Sikic M; Simion G; Smales LA; Söderlind P; Sojli E; Sokolov K; Spokeviciute L; Stefanova D; Subrahmanyam MG; Neusüss S; Szaszi B; Talavera O; Tang Y; Taylor N; Tham WW; Theissen E; Thimme J; Tonks I; Tran H; Trapin L; Trolle AB; Vaduva M; Valente G; Van Ness RA; Vasquez A; Verousis T; Verwijmeren P; Vilhelmsson A; Vilkov G; Vladimirov V; Vogel S; Voigt S; Wagner W; Walther T; Weiss P; van der Wel M; Werner IM; Westerholm PJ; Westheide C; Wipplinger E; Wolf M; Wolff CCP; Wolk L; Wong WK; Wrampelmeyer J; Wu Z-X; Xia S; Xiu D; Xu K; Xu C; Yadav PK; Yagüe J; Yan C; Yang A; Yoo W; Yu W; Yu S; Yueshen BZ; Yuferova D; Zamojski M; Zareei A; Zeisberger S; Zhang S; Zhang X; Zhong Z; Zhou ZI; Zhou C; Zhu X; Zoican M; Zwinkels RCJ; Chen J; Duevski T; Gao G; Gemayel R; Gilder D; Kuhle P; Pagnotta E; Pelli M; Sö nksen J; Zhang L; Ilczuk K; Bogoev D; Qian Y; Wika HC; Yu Y; Zhao L; Mi M; Bao L, 2023, 'Non-Standard Errors', in The Journal of Finance, Wiley

Preprints

Boehmer E; Fong KYL; Wu JJ, Algorithmic Trading and Changes in Firms’ Equity Capital, http://dx.doi.org/10.2139/ssrn.2050856

Boehmer E; Fong KYL; Wu JJ, Algorithmic Trading and Changes in Firmss Equity Capital, http://dx.doi.org/10.2139/ssrn.2348730

Fong KYL; Parwada JT; Yang JW, Algorithmic Trading and Mutual Fund Performance, http://dx.doi.org/10.2139/ssrn.3111598

Fong KYL; Yang JW, Algorithmic Trading and Mutual Fund Performance, http://dx.doi.org/10.2139/ssrn.2980774

Ainsworth AB; Fong KYL; Gallagher DR; Partington G, An Empirical Examination of Institutional Trading Around the Ex-Dividend Day in Australia, http://dx.doi.org/10.2139/ssrn.1102042

Swan PL; Fong K; Madhavan A, Are Upstairs Markets Pareto Improving?, http://dx.doi.org/10.2139/ssrn.424983

Fong KYL, Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?, http://dx.doi.org/10.2139/ssrn.2989367

Fong KYL; Gallagher DR; Lee AD, Brokerage Services and Individual Investor Trade Performance, http://dx.doi.org/10.2139/ssrn.1572146

Fong KYL; Foster FD; Gallagher DR; Lee AD, Brokers and Institutional Investor Trades, http://dx.doi.org/10.2139/ssrn.1937446

Leung H; Westerholm PJ; Fong KYL, Determinants of Household Broker Choice and the Impact on Performance, http://dx.doi.org/10.2139/ssrn.2720267

Swan PL; Fong KYL; Lau S; Gallagher DR, Do Active Fund Managers Care about Capital Gains Tax Efficiency?, http://dx.doi.org/10.2139/ssrn.968871

Fong KYL; Gallagher DR; Lee AD, Do Institutions Really Exploit Individuals? The Intraday Losses and Offsetting Returns of Discount and Premium Retail Investors, http://dx.doi.org/10.2139/ssrn.1246890

Fong KYL; Hong HG; Kacperczyk MT; Kubik JD, Do Security Analysts Discipline Credit Rating Agencies?, http://dx.doi.org/10.2139/ssrn.1970963

Swan PL; Fong KYL; Gardner P; Gallagher DR, Follow the Leader: The Cause and Consequences of Fund Managers Trading in Signal-Strength Sequence, http://dx.doi.org/10.2139/ssrn.508822

Leung H; Krug JD; Schiereck D; Westerholm PJ; Fong KYL, Impact of Gender, Age, Income and Education on Household Broker Choice, http://dx.doi.org/10.2139/ssrn.2648301

Ainsworth AB; Fong KYL; Gallagher DR; Partington G, Institutional Trading Around the Ex-Dividend Day, http://dx.doi.org/10.2139/ssrn.1253282

Boehmer E; Fong KYL; Wu JJ, International Evidence on Algorithmic Trading, http://dx.doi.org/10.2139/ssrn.2022034

Fong KYL; Liu W-MR, Limit Order Revisions, http://dx.doi.org/10.2139/ssrn.890463

Sarich K; Wee M; Yang JW, Market Sentiment and Liquidity Provision, http://dx.doi.org/10.2139/ssrn.2909722

Ainsworth AB; Fong KYL; Gallagher DR, Style Drift and Portfolio Management for Active Australian Equity Funds, http://dx.doi.org/10.2139/ssrn.1004670

Ainsworth AB; Fong KYL; Gallagher DR; Partington G, Taxes, Price Pressure and Order Imbalance around the Ex-Dividend Day, http://dx.doi.org/10.2139/ssrn.1314087

Fong KYL; Lee AD; Gallagher DR, The Performance of Trades Executed Using Multiple Brokers, http://dx.doi.org/10.2139/ssrn.1005561

Fong KYL; Ng A; Gallagher DR, The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk, http://dx.doi.org/10.2139/ssrn.756184

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