教授

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姓名:葉宗穎
職稱:教授
學歷:國立台灣大學財金所博士
專長:財務工程、財務計量、行為財務
電話:+886-4-22855308
信箱:cyyeh1@dragon.nchu.edu.tw
研究室:社管大樓507
主要學歷
畢/肄業學校 國別 主修學門系所 學位 起訖年月
國立台灣大學 台灣 財務金融系 博士 2000/09 至 2008/12
國立台灣大學 台灣 經濟研究所 碩士 1998/09 至 2000/06
私立輔仁大學 台灣 經濟系 學士 1994/09 至 1998/06

 


主要學歷
畢/肄業學校 國別 主修學門系所 學位 起訖年月
國立台灣大學 台灣 財務金融系 博士 2000/09 至 2008/12
國立台灣大學 台灣 經濟研究所 碩士 1998/09 至 2000/06
私立輔仁大學 台灣 經濟系 學士 1994/09 至 1998/06

 

校內經歷

服務部門/系所 職稱 起訖年月
財務金融學系 教授 2017至迄今
財務金融學系 副教授 2013至2017
財務金融學系 助理教授 2010至2013

 

校外經歷
服務機關 服務部門/系所 職稱 起訖年月
國立台灣大學 財務金融學系 博士後研究 2009/02至 2009/07
東海大學 財務金融學系 助理教授 2009/08至 2010/07
University of Toronto Department of Finance 訪問學者 2005/10至 2006/10
著作與研究成果
期刊論文
  1.  Jjao-Hui, Yang , Wei, Wang, Kai-Li Wang, Chung-Yung Yeh, 2017, “Capital Intensity, Natural Resources and Institution Risk Preference of Chinese Outward Direct Investment,” International Review of Economics and Finance (SSCI), forthcoming.,
  2. Lin, S.Y., Chung-Ying Yeh, and J. Hsu, 2017, “What Drive the Yield Spread between Dim Sum Bonds and Domestic Corporate Bonds,” Journal of Futures and Options (TSSCI, Corresponding author), 10, 81-117.
  3. Chung, C.F. and C.Y. Yeh, 2017, “Strategic Asset Allocation with Narrow Framing/Loss Aversion,” Review of Securities and Futures Market (TSSCI, Corresponding author), 29:2, 107-156
  4. Chung, S.L., C.W. Kao, Chunchi Wu, and C.Y. Yeh, 2015, “Counterparty Risk in the Municipal Bond Market,” Journal of Fixed Income (SSCI), 25, 7-33. (Leading article)
  5. Yeh, C.Y., H., Hsu, K., Wang, and C., Lin, 2015, “Explaining Default Risk anomaly by the Two-Beta Model,” Journal of Empirical Finance (SSCI, Corresponding author), 30, 16-30.
  6. Yeh, S.K., Ren-Raw Chen, C.Y. Yeh, and B.H. Lin, 2015, “Investigate the Liquidity Discount on the Assets of Taiwan’s Listed Market,” Review of Securities and Futures Market (TSSCI), 27, 1-32. (Leading article, Best Paper Award)
  7. Yeh, C.Y., S.K. Yeh, and Ren-Raw Chen, 2014, “Liquidity Discount in the Opaque Market: the Evidence from Taiwan’s Emerging Stock Market,” Pacific-Basin Finance Journal (SSCI, Corresponding author), 29, 297-309
  8. Chung, S.L., C.H., Hung, and C.Y. Yeh, 2012, “When Does Investor Sentiment Predict Stock Returns,” Journal of Empirical Finance (SSCI, Corresponding author), 19, 217-240. (Most cited paper, Corresponding author)
  9. Chung, S.L., C.M., Chu, H.H., Lee, and C.Y. Yeh, 2011, “Applying Control Variate Technique to the Monte Carlo Simulation of Option Prices,” Journal of Futures and Options (TSSCI), 4, 35-68.
  10. Yeh, C.Y., S., Yeh, and H.S., Ju, 2013, “Pricing Stock Options by Bivariate Binomial Lattices,” Journal of Financial Studies (TSSCI, Econlit), 21, 53-81.
  11. Chung, S.L. and C.Y. Yeh, 2011, “Predicting Market Regimes and Stock Returns Using Investor Sentiment,” Review of Securities and Futures Market (TSSCI), 23:2, 1-28. (Best Paper Award)
  12. Chung, S.L., K., Ko, M., Schackleton, and C.Y. Yeh, 2010, “Efficient Quadrature and Node Positioning for Exotic Option Valuation,” Journal of Futures Markets (SSCI), 30, 1026–1057.
  13. Duan, Jin-Chuan. and C.Y. Yeh, 2010, “Jump and Volatility Risk Premiums Implied by VIX,” Journal of Economic Dynamics and Control (SSCI), 34, 2232-2244. (Leading article)
  14. Chung, S.L., P.T. Shih, and C.Y. Yeh, 2008, “Binomial Option Pricing Models with Monotonic and Smooth Convergence Property,” Journal of Futures and Options (TSSCI), 2, 47-71.
  15. Duan, Jin-Chuan., and C.Y. Yeh, 2013, “Price and Volatility Dynamics Implied by the VIX Term Structure,” submitted, under review. (芝加哥選擇權交易所(CBOE)列為專家參考 文獻)(working paper)
  16. Chung, S.L., M.W., Hung and C.Y. Yeh, 2016, “Strategic Asset Allocation with Distorted Beliefs,” European Financial Management (SSCI) R&R. (working paper)
  17. Liu, Sheen, Wu, Chunchi, Chung-Ying Yeh, and Woongsun Yoo, 2016, “What Drives Systemic Credit Risk: Evidence from the US State CDS Market,” submitted, under review.(working paper)
  18. Chen, Yao-Tsung, Chunchi Wu, and Chung-Ying Yeh , 2016, “Liquidity Risk and Expected Municipal Bond Returns,” submitted, under review. (working paper)
  19. Chen, Chan-Chih, and Chung-Ying Yeh, 2016 “Ambiguity Aversion and Capital Structure,” submitted, under review. (working paper)
  20. Zhang, Bing, and Chung-Ying Yeh, 2017, “What Drives the Low-Nominal-Price Return Premium in China’s Stock Market,” National Chung Hsing University.(working paper)
研討會論文
  1. “Jump and Volatility Risk Premiums Implied by VIX,” (with Jin-Chuan Duan) presented at the Northern Finance Association 2007 Meeting in Toronto, the 17th Annual Derivatives Securities and Risk Management Conference in Arlington, Virginia, the 2007 Far Eastern Meeting of the Econometric Society, the 2007 International Symposium on Financial Engineering and Risk Management, the 2th Annual Conference of Risk Management Institute, National University of Singapore, the 2008 NTU International Conference on Finance, National Taiwan University, the seminar at National University of Singapore, Soochow University, National Tsing-Hua University, National Chiao-Tung University and National Chi-Nan University.
  2. “Strategic Asset Allocation Under Narrow Framing/Loss Aversion and Volatility Feedback Effect,'' (with Ching-Fan Chung) presented at the 13th Conference on the Theories and Practices of Securities and Financial Markets , Kaohsiung, Taiwan, the 3th Annual Conference of Risk Management Institute, National University of Singapore, the seminar at National Taiwan University, National Central University, and National Chung-Cheng University
  3. “Investor Sentiment, Regimes and Stock Returns,” (with San-Lin Chung) presented at the 2009 International Conference of Quantitative Finance and Risk Management, National Chiao-Tung University, the 7th NTU International Conference on Economics, Finance, and Accounting, and the 2009 International Conference of Taiwan Finance Association.
  4. “Dynamic Asset Allocation with Distorted Beliefs,” (with San-Lin Chung), presented at the 2009 European Financial Management Association Annual Conference, Milan, Italy.
  5. “When Does Investor Sentiment Predict Stock Returns,” (with San-Lin Chung and Daniel Hung) resented at the 2010 European Financial Management Association Annual Conference, Aarhus, Denmark, and the 2010 Financial Management Association Annual Conference, New York.
  6. “Price and Volatility Dynamics Implied by the VIX Term Structure” (with Jin-Chuan Duan), presented at SMU-ESSEC Symposium on Empirical Finance & Financial Econometrics, 2011, Singapore, Fourth Annual Society for Financial Econometrics Conference, 2011, University of Chicago; the 2012 Financial Management Association Annual Conference, Atlanta.
  7. “Counterparty Risk in the Municipal Bond Market,” (with Chung, S.L., C.W. Kao, Chunchi Wu), presented at (i) the 2013 International Conference on Corporate Finance and Financial Markets, Hong Kong, (ii) 2013 the 10th International Conference on Economics, Finance and Accounting (2013 IEFA), (iii) the 5th Conference on Cross-Strait Banking and Finance (2013 CSBF)
  8. “Explaining Default Risk anomaly by Two-Beta Model” (with H., Hsu, K., Wang, and C., Lin), the IFABS 2013 Conference in Nottingham, United Kingdom.
  9. “What Drives Systemic Credit Risk: Evidence from the US State CDS Market,” (with Wu, Chunchi, and Woongsun Yoo), accepted by (i) the 2015 SFS Finance Cavalcade, (ii) the 2015 Financial Management Association Annual Conference, Florida.
  10. “What Drives the Low-Nominal-Price Return Premium in China Stock Market,” (with Bing Zhang), the IFABS 2017 Conference in Ninbo, China
專書篇章
國科會計畫
  • 100年度, 計畫主持人, 測量誤差與選擇權價格:兩個實證研究, 2011年08月
  • 99年度, 計畫主持人, 具有交易干擾之結構型信用風險模型的設定分析, 2010年08月
  • 99年度, 計畫主持人, 由投資人情緒,損失趨避,不確定性來探討賣權報酬的迷惑, 2010年08月
其他計畫

 

校內榮譽
獲獎年度 獎項名稱 授獎單位
105 . 中興大學 105 年度傑出青年教師獎  
 
校外榮譽
獲獎年度 獎項名稱 授獎單位
  “Investigate the Liquidity Discount on the Assets of Taiwan’s Listed Market,”第七屆聯電經營 管理論文獎優等獎 (Best Paper Award)  
2012 . “Price and Volatility Dynamics Implied by the VIX Term Structure”(2012) (with Jin-Chuan Duan) 一文在波動度衍生性金融商品的研究成果被芝加哥選擇權交易所(CBOE)列為專家參考文獻: 芝加哥選擇權交易所(CBOE)
2011 2011年度證券市場發展季刊(TSSCI)優秀論文獎(Best Paper Award) 證券暨期貨發展基金會
2008 第六屆證券暨期貨金椽獎佳作 證券暨期貨發展基金會