Details about David S. Sun

Access statistics for papers by David S. Sun.

Last updated 2019-07-09. Update your information in the RePEc Author Service.

Short-id: psu248

Working Papers

2014

1. Diversifying Risks in Bond Portfolios: A Cross-border Approach
   MPRA Paper, University Library of Munich, Germany
2. Forgive, or Award, Your Debtor? - A Barrier Option Approach
   MPRA Paper, University Library of Munich, Germany

2012

3. Behavioral investment strategy matters: a statistical arbitrage approach
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach, Emerging Markets Finance and Trade, Taylor & Francis Journals (2013) View citations (1) (2013)

2011

4. Does trading remove or bring frictions?
   MPRA Paper, University Library of Munich, Germany
5. Search costs and investor trading activity: evidences from limit order book
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Search Costs and Investor Trading Activity: Evidence from Limit Order Books, Emerging Markets Finance and Trade, Taylor & Francis Journals (2012) View citations (4) (2012)
6. Searching out of Trading Noise: A Study of Intraday Transactions Cost
   MPRA Paper, University Library of Munich, Germany

2010

7. What Causes Herding:Information Cascade or Search Cost ?
   MPRA Paper, University Library of Munich, Germany View citations (1)

2009

8. Price informativeness and predictability: how liquidity can help
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Price informativeness and predictability: how liquidity can help, Applied Economics, Taylor & Francis Journals (2011) (2011)

2008

9. Long run credit risk diversification: empirical decomposition of corporate bond spreads
   MPRA Paper, University Library of Munich, Germany View citations (1)

2007

10. Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
    MPRA Paper, University Library of Munich, Germany View citations (1)
11. Liquidity-adjusted benchmark yield curves: a look at trading concentration and information
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information, Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd. (2007) View citations (3) (2007)

Journal Articles

2013

1. Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach
   Emerging Markets Finance and Trade, 2013, 49, (S3), 47-61 View citations (1)
   See also Working Paper Behavioral investment strategy matters: a statistical arbitrage approach, MPRA Paper (2012) (2012)

2012

2. Does Trading Remove or Cause Friction?
   Emerging Markets Finance and Trade, 2012, 48, (S4), 33-53 View citations (2)
3. Search Costs and Investor Trading Activity: Evidence from Limit Order Books
   Emerging Markets Finance and Trade, 2012, 48, (3), 4-30 View citations (4)
   See also Working Paper Search costs and investor trading activity: evidences from limit order book, MPRA Paper (2011) View citations (1) (2011)

2011

4. Price informativeness and predictability: how liquidity can help
   Applied Economics, 2011, 43, (17), 2199-2217
   See also Working Paper Price informativeness and predictability: how liquidity can help, MPRA Paper (2009) (2009)

2009

5. Are credit spreads too low or too high? A hybrid barrier option approach for financial distress
   Journal of Futures Markets, 2009, 29, (12), 1161-1189

2007

6. Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information
   Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2007, 10, (04), 491-518 View citations (3)
   See also Working Paper Liquidity-adjusted benchmark yield curves: a look at trading concentration and information, MPRA Paper (2007) View citations (2) (2007)