Wing-keung Wong | Hong Kong Baptist University (original) (raw)
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Papers by Wing-keung Wong
SSRN Electronic Journal, 2000
Managerial and Decision Economics, 1991
The Engineering Economist, 1996
In this paper we extend Thompson's [17] work using time series models within the discounted cash ... more In this paper we extend Thompson's [17] work using time series models within the discounted cash flow framework to estimate the cost of equity capita] for a firm. In particular we do the following: First, we prove the existence and uniqueness of a solution for the cost of equity capital. Secondly, we verify that the cost of equity function is continuously differentiable and derive the formula for its reliability. Formulas for both the cost and its reliability are in terms of infinite sums or infinite dimension matrices. Thirdly, we derive estimators of the cost of equity capital and its reliability which are in terms of finite sums and easy to calculate. We show that these estimated converge to the cost of equity capital and its reliability. Finally, our procedure for estimation applies to a wide variety of time series models that may be used to forecast dividends.
SSRN Electronic Journal, 2000
ABSTRACT This paper aims to assess the role of gold quoted in Paris in the diversification of Fre... more ABSTRACT This paper aims to assess the role of gold quoted in Paris in the diversification of French portfolios from 1949 to 2012 using the stochastic dominance (SD) approach. The principal advantage of this method is that there is no restriction on the distribution of the returns. Our results show that stock portfolios including gold stochastically dominate those without gold at the second and third orders. This implies that risk-averse investors would be better off by including gold in their stock portfolios to maximize their expected utilities. The study on sub-periods shows that this result holds especially in unstable or crisis times. However, these results do not hold for bond or risk-free portfolios, for which the portfolios without gold dominate those with gold. To check the robustness of our results, our SD analysis of a mixed portfolio (50% stocks, 30% bonds and 20% the risk-free asset) provides results similar to those for portfolios with stocks only, except from 1971 to 1983. Portfolios including gold quoted in London show results similar to those from Paris. The results of mean-variance performance measures confirm the findings of previous studies that gold is good for the diversification of stock portfolios but not for bond portfolios.
Personality and Individual Differences, 1997
Contemporary Accounting Research, 1990
Abstract. This paper describes an extension of the Tsui, Matsumura, and Tsui (1985) procedure, wh... more Abstract. This paper describes an extension of the Tsui, Matsumura, and Tsui (1985) procedure, which is based on a multinomial distribution model within the dollar-unit sampling framework, with a Dirichlet prior distribution. The extended model and a different Dirichlet prior are used in this study to generate upper and lower bounds and two-sided confidence intervals for situations in which both understatement and overstatement errors are possible. The reported simulation study indicates that the achieved confidence levels of the proposed estimates are usually close to or greater than the nominal levels in repeated sampling for the populations studied.Résumé. Les auteurs décrivent une extension du procédé de Tsui, Matsumura et Tsui (1985) basée sur un modèle de distribution multinômiale dans le contexte de l'échantillonnage en unités monétaires, avec une distribution a priori de Dirichlet. Les auteurs utilisent l'extension du modèle et une distribution a priori de Dirichlet différente pour obtenir des limites supérieures et inférieures, et des intervalles de confiance bilatéraux pour les cas où des erreurs de sous-évaluation aussi bien que de surévaluation sont envisageables. L'étude de simulation qui fait l'objet du compte rendu montre que les niveaux de confiance obtenus relativement aux estimations proposées se rapprochent habituellement des valeurs nominales où les excèdent lorsqu'on procède à des échantillonnages répétés des populations à l'étude.
Applied Economics, 2009
The establishment of the ,Euro could ,present a challenge ,to the hegemony ,of the ,US dollar as ... more The establishment of the ,Euro could ,present a challenge ,to the hegemony ,of the ,US dollar as the ,predominant ,international currency. No other ,currency has been able to rival the international role of the ,greenback since World War II. The fact that the unipolar international monetary system, dominated by the US dollar, can be unstable in the presence of
Journal of International Consumer Marketing
A cursory observation of the Singapore equities market based on the SES All-Share index suggests ... more A cursory observation of the Singapore equities market based on the SES All-Share index suggests that the market possibly moves in 13-year cycles with the first cycle being between January 1975 to December 1987 and the second cycle being between January 1988 to December 2000. We find evidence using support from spectrum analysis for this 13-year cycle.
Recent years have witnessed the advancement of automated algorithmic trading systems as instituti... more Recent years have witnessed the advancement of automated algorithmic trading systems as institutional solutions in the form of autobots, black box or expert advisors. However, little research has been done in this area with sufficient evidence to show the efficiency of these systems. This paper builds an automated trading system which implements an optimized genetic-algorithm neural-network (GANN) model with cybernetic concepts and evaluates the success using a modified value-at-risk (MVaR) framework. The cybernetic engine includes a circular causal feedback control feature and a developed golden-ratio estimator, which can be applied to any form of market data in the development of risk-pricing models. The paper applies the Euro and Yen forex rates as data inputs. It is shown that the technique is useful as a trading and volatility control system for institutions including central bank monetary policy as a risk-minimizing strategy. Furthermore, the results are achieved within a 30-s...
Journal of Retailing and Consumer Services, 2014
ABSTRACT This paper aims at examining the sustainability of smartcard payment in retailing and co... more ABSTRACT This paper aims at examining the sustainability of smartcard payment in retailing and consumer services. The analytical results of our survey data suggest that usefulness, ease of use, convenience, automatic add-value service, security, reliability, and participation of popular service providers have considerable effects on continuous use of smartcard payment. The present work empirically identifies and justifies the key determinants of sustainable smartcard payment from the consumer perspective. The findings provide managerial insights for the implementation of cutting-edge technology to enhance sales and service operations and make important contributions to research and practice in technology-based service innovation and service operations management.
Communications in Statistics - Simulation and Computation, 1998
Three-moment chi-square and four moment F approximations are given which can be used for testing ... more Three-moment chi-square and four moment F approximations are given which can be used for testing a unit root in an AR(1) model when the innovations have one of a very wide family of symmetric distributions (Student's t).
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
Managerial and Decision Economics, 1991
The Engineering Economist, 1996
In this paper we extend Thompson's [17] work using time series models within the discounted cash ... more In this paper we extend Thompson's [17] work using time series models within the discounted cash flow framework to estimate the cost of equity capita] for a firm. In particular we do the following: First, we prove the existence and uniqueness of a solution for the cost of equity capital. Secondly, we verify that the cost of equity function is continuously differentiable and derive the formula for its reliability. Formulas for both the cost and its reliability are in terms of infinite sums or infinite dimension matrices. Thirdly, we derive estimators of the cost of equity capital and its reliability which are in terms of finite sums and easy to calculate. We show that these estimated converge to the cost of equity capital and its reliability. Finally, our procedure for estimation applies to a wide variety of time series models that may be used to forecast dividends.
SSRN Electronic Journal, 2000
ABSTRACT This paper aims to assess the role of gold quoted in Paris in the diversification of Fre... more ABSTRACT This paper aims to assess the role of gold quoted in Paris in the diversification of French portfolios from 1949 to 2012 using the stochastic dominance (SD) approach. The principal advantage of this method is that there is no restriction on the distribution of the returns. Our results show that stock portfolios including gold stochastically dominate those without gold at the second and third orders. This implies that risk-averse investors would be better off by including gold in their stock portfolios to maximize their expected utilities. The study on sub-periods shows that this result holds especially in unstable or crisis times. However, these results do not hold for bond or risk-free portfolios, for which the portfolios without gold dominate those with gold. To check the robustness of our results, our SD analysis of a mixed portfolio (50% stocks, 30% bonds and 20% the risk-free asset) provides results similar to those for portfolios with stocks only, except from 1971 to 1983. Portfolios including gold quoted in London show results similar to those from Paris. The results of mean-variance performance measures confirm the findings of previous studies that gold is good for the diversification of stock portfolios but not for bond portfolios.
Personality and Individual Differences, 1997
Contemporary Accounting Research, 1990
Abstract. This paper describes an extension of the Tsui, Matsumura, and Tsui (1985) procedure, wh... more Abstract. This paper describes an extension of the Tsui, Matsumura, and Tsui (1985) procedure, which is based on a multinomial distribution model within the dollar-unit sampling framework, with a Dirichlet prior distribution. The extended model and a different Dirichlet prior are used in this study to generate upper and lower bounds and two-sided confidence intervals for situations in which both understatement and overstatement errors are possible. The reported simulation study indicates that the achieved confidence levels of the proposed estimates are usually close to or greater than the nominal levels in repeated sampling for the populations studied.Résumé. Les auteurs décrivent une extension du procédé de Tsui, Matsumura et Tsui (1985) basée sur un modèle de distribution multinômiale dans le contexte de l'échantillonnage en unités monétaires, avec une distribution a priori de Dirichlet. Les auteurs utilisent l'extension du modèle et une distribution a priori de Dirichlet différente pour obtenir des limites supérieures et inférieures, et des intervalles de confiance bilatéraux pour les cas où des erreurs de sous-évaluation aussi bien que de surévaluation sont envisageables. L'étude de simulation qui fait l'objet du compte rendu montre que les niveaux de confiance obtenus relativement aux estimations proposées se rapprochent habituellement des valeurs nominales où les excèdent lorsqu'on procède à des échantillonnages répétés des populations à l'étude.
Applied Economics, 2009
The establishment of the ,Euro could ,present a challenge ,to the hegemony ,of the ,US dollar as ... more The establishment of the ,Euro could ,present a challenge ,to the hegemony ,of the ,US dollar as the ,predominant ,international currency. No other ,currency has been able to rival the international role of the ,greenback since World War II. The fact that the unipolar international monetary system, dominated by the US dollar, can be unstable in the presence of
Journal of International Consumer Marketing
A cursory observation of the Singapore equities market based on the SES All-Share index suggests ... more A cursory observation of the Singapore equities market based on the SES All-Share index suggests that the market possibly moves in 13-year cycles with the first cycle being between January 1975 to December 1987 and the second cycle being between January 1988 to December 2000. We find evidence using support from spectrum analysis for this 13-year cycle.
Recent years have witnessed the advancement of automated algorithmic trading systems as instituti... more Recent years have witnessed the advancement of automated algorithmic trading systems as institutional solutions in the form of autobots, black box or expert advisors. However, little research has been done in this area with sufficient evidence to show the efficiency of these systems. This paper builds an automated trading system which implements an optimized genetic-algorithm neural-network (GANN) model with cybernetic concepts and evaluates the success using a modified value-at-risk (MVaR) framework. The cybernetic engine includes a circular causal feedback control feature and a developed golden-ratio estimator, which can be applied to any form of market data in the development of risk-pricing models. The paper applies the Euro and Yen forex rates as data inputs. It is shown that the technique is useful as a trading and volatility control system for institutions including central bank monetary policy as a risk-minimizing strategy. Furthermore, the results are achieved within a 30-s...
Journal of Retailing and Consumer Services, 2014
ABSTRACT This paper aims at examining the sustainability of smartcard payment in retailing and co... more ABSTRACT This paper aims at examining the sustainability of smartcard payment in retailing and consumer services. The analytical results of our survey data suggest that usefulness, ease of use, convenience, automatic add-value service, security, reliability, and participation of popular service providers have considerable effects on continuous use of smartcard payment. The present work empirically identifies and justifies the key determinants of sustainable smartcard payment from the consumer perspective. The findings provide managerial insights for the implementation of cutting-edge technology to enhance sales and service operations and make important contributions to research and practice in technology-based service innovation and service operations management.
Communications in Statistics - Simulation and Computation, 1998
Three-moment chi-square and four moment F approximations are given which can be used for testing ... more Three-moment chi-square and four moment F approximations are given which can be used for testing a unit root in an AR(1) model when the innovations have one of a very wide family of symmetric distributions (Student's t).
SSRN Electronic Journal, 2000