B.Econ.Finance (Nanjing University of Aeronautics and Astronautics); PhD Finance (NUS)
Department of FinanceRoom 1232, 12/F
Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T., Hong Kong
+852 3943 7759
Prof. Si Cheng joined The Chinese University of Hong Kong (CUHK) Business School in 2016 as an Assistant Professor of Finance. Her research interests mainly lie in the field of empirical asset pricing, with an emphasis on investment and financial institutions. She received her PhD in Finance from National University of Singapore. Her papers appear in Journal of Financial and Quantitative Analysis, Management Science, and Review of Asset Pricing Studies.
Empirical Asset Pricing
- Publications & Working Papers
- Doron Avramov, Si Cheng, and Allaudeen Hameed (2019), “Mutual Funds and Mispriced Stocks,” Management Science, forthcoming.
- Si Cheng, Massimo Massa, and Hong Zhang (2018), “The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs,” Review of Asset Pricing Studies, forthcoming.
- Doron Avramov, Si Cheng, and Allaudeen Hameed (2016), “Time-Varying Liquidity and Momentum Profits,” Journal of Financial and Quantitative Analysis, 51, 1897-1923.
- Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam, and Sheridan Titman (2017), “Short-Term Reversals: The Effects of Past Returns and Institutional Exits,” Journal of Financial and Quantitative Analysis, 52, 143-173.
- Doron Avramov, Si Cheng, Amnon Schreiber, and Koby Shemer (2017), “Scaling Up Market Anomalies,” Journal of Investing, 26, 89-105.
- “Revisiting Beta and Idiosyncratic Volatility Anomalies: Evidence based on Exchange-Traded Funds”, General Research Fund awarded by Research Grants Council, 2019-2021
- Awards & Honours
- Best Paper in Investments at the Financial Management Association (FMA) European Conference, Helsinki, 2016
- SGF Best Paper Award at the Annual Conference of the Swiss Society for Financial Market Research, Zurich, 2014
- Outstanding Doctoral Student Paper in Investments at the Southwestern Finance Association (SWFA) Annual Meetings, New Orleans, 2012