Cheng, Si（程斯）

Biography

Prof. Si Cheng joined The Chinese University of Hong Kong (CUHK) Business School in 2016 as an Assistant Professor of Finance. Her research is in empirical asset pricing, and centres on two main themes: investment and delegated asset management. She received her PhD in Finance from National University of Singapore. Her papers appear in Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Management Science, and Review of Asset Pricing Studies. She is also a Chartered Financial Analyst (CFA) charterholder and a member of The Hong Kong Society of Financial Analyst.

Teaching Area

Financial Management

Research Interests

Empirical Asset Pricing
Investment
Delegated Asset Management
Fintech
International Finance

• Publications & Working Papers
  • Doron Avramov, Si Cheng, Abraham Lioui, and Andrea Tarelli (2021), “Sustainable Investing with ESG Rating Uncertainty,” Journal of Financial Economics, forthcoming.
  • Doron Avramov, Si Cheng, and Lior Metzker (2021), “Machine Learning versus Economic Restrictions: Evidence from Stock Return Predictability,” Management Science, accepted.
  • Kalok Chan, Si Cheng, and Allaudeen Hameed (2021), “Investor Heterogeneity and Liquidity,” Journal of Financial and Quantitative Analysis, accepted.
  • Doron Avramov, Si Cheng, and Allaudeen Hameed (2020), “Mutual Funds and Mispriced Stocks,” Management Science, 66(6), 2372-2395.
  • Si Cheng, Massimo Massa, and Hong Zhang (2019), “The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs,” Review of Asset Pricing Studies, 9(2), 296-355.
  • 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(1), 143-173.
  • Doron Avramov, Si Cheng, Amnon Schreiber, and Koby Shemer (2017), “Scaling Up Market Anomalies,” Journal of Investing, 26(3), 89-105.
  • Doron Avramov, Si Cheng, and Allaudeen Hameed (2016), “Time-Varying Liquidity and Momentum Profits,” Journal of Financial and Quantitative Analysis, 51(6), 1897-1923.

• Grants
  • “Mutual Fund Liquidity Management: Evidence from Direct and Spillover Cost”, General Research Fund awarded by Research Grants Council, 2021-2022
  • “Revisiting Beta and Idiosyncratic Volatility Anomalies: Evidence based on Exchange-Traded Funds”, General Research Fund awarded by Research Grants Council, 2019-2021

• Awards & Honours
  • IQ-KAP Research Prize, DekaBank, Frankfurt, 2020
  • 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