个人简介

Academic QualificationsPhD in Finance, University of Macau, Macao SAR, ChinaPhD study in Finance, Arizona State University, USAMBA in Finance, St. Mary’s University, CanadaBS(eqv.) in Business Administration, Hong Kong Baptist College, Hong Kong SAR, ChinaRelated Working ExperiencesAssociate Professor in Finance, Faculty of Business Administration, University of Macau (April 2004 – present)Head of Department of Finance and Business Economics (Sept. 2006 – Aug. 2009)Coordinator of Finance (Sept. 2004 – Aug. 2006)Assistant Professor in Finance, Faculty of Business Administration, University of Macau (July 1998 – April 2004)Lecturer, Faculty of Business Administration, University of Macau (Sept. 1992 – July 1998)

研究领域

Asset PricingTrading StrategiesMarket EfficiencyBehavioral Finance

Research ProjectsLiquidity and Higher co-moment: Evidence around the world, funded by the Research Committee of University of Macau, 2017-2019, Principal Investigator (MOP$675,000).Institutional Ownership, Higher Co-moments and Expected Return: Evidence from Asian Emerging Markets, funded by the Research Committee of University of Macau, 2018-2019, Principal Investigator (MOP$160,000).The role of higher co-moments on asset pricing: Evidence from five Asian stock markets, funded by the Research Committee of University of Macau, 2015-2017, Principal Investigator (MOP$160,000).Higher co-moments and asset pricing: Evidence from China and Hong Kong stock markets, funded by the Research Committee of University of Macau, 2013-2015, Principal Investigator (MOP$160,000).Liquidity and Expected Stock Return: International Evidence, funded by the Research Committee of University of Macau, 2012-2014, Principal Investigator (MOP290,200).Growth option and fundamental determinants on equity beta, funded by the research Committee of University of Macau, 2009-2011, Principal Investigator (MOP254,200).Controlling Ownership, Adverse Selection and Equity Offering Method Choice, funded by the Research Committee of University of Macau, 2006-2007, Principal Investigator (MOP68,700).

近期论文

Dong, L., Kot, H.W., Lam, K.S.K. and Yu B., (2020), China vs. U.S.: Is co-skewness risk priced differently?, Asia-Pacific Journal of Accounting and Economics, vol. 28, no. 1, 1-21 (ABS2)Lam, K.S.K., Dong, L., and Kot, H.W., (2020), Are higher co-moments priced? A tale of two countries, Journal of Financial Studies, vol. 28, no. 1, 1-33 (FBA1)Lam, K.S.K., Tam, L.H.K., and Dong, L., (2019), Liquidity and Expected Returns in China’s Stock Markets, China Accounting and Finance Review, vol. 21, no. 4, 1-24 (FBA1)Dong, L., Yu, B. and Lam, K.S.K., (2019), Value Premium and Technical Analysis: Evidence from China’s Stock Market, Economies (Special Issue), vol. 92, no. 7, 1-25 (ABS1)Keith S.K. Lam and Zhuo Qiao , (2015), Herding and Fundamental Factors: Hong Kong Experience, Pacific-Basin Finance Journal, vol. 32, 160-188 (ABS2)Adrian C.H. Lei, Martin H.Y. Yick, and Keith S.K. Lam, 2014, The effects of tax convexity on default and investment decisions, Applied Economics, Vol. 46, No. 11, 1267-1278. (ABS2)Adrian C.H. Lei, Martin H.Y. Yick, and Keith S.K. Lam, 2013, Does tax convexity matter for risk? A dynamic study of tax asymmetry and equity beta, Review of Quantitative Finance and Accounting, 41, 131-147. (ABS3)William Cheung, Keith S.K. Lam, and Lewis H.K. Tam, 2012, Blockholding and Market Reactions to Equity Offerings in China, Pacific-Basin Finance Journal, 20, 459-482. (ABS2)Keith S.K. Lam and Lewis H.K. Tam, 2011, Liquidity and asset pricing: Evidence from the Hong Kong stock market, Journal of Banking and Finance, 35, 2217-2230. (ABS3)William Cheung, Keith S.K. Lam and HangFai Yeung, 2011, Intertemporal Profitability and the Stability of Technical Analysis: Evidences from the Hong Kong Stock Exchange, Applied Economics, Vol. 43, Issue15, 1945 – 1963. (ABS2)Zhuo Qiao and Keith S.K. Lam, 2011, Granger Causal Relations among Greater China Stock Markets: A Nonlinear Perspective, Applied Financial Economics, 21, 1437-1450. (ABS2)Keith S.K. Lam, Frank K. Li, and Simon M. S. So, 2010, On the Validity of the Augmented Fama-French (1993) Four-Factor Asset Pricing Model: Evidence from the Hong Kong Stock Market, Review of Quantitative Finance and Accounting, 35, 89-111. (ABS3)Keith S.K. Lam and Frank K. Li, 2008, The risk premiums of the four-factor asset pricing model in the Hong Kong Stock Market, Applied Financial Economics,Vol. 18, Issue 20, p. 1667 – 1680. (ABS2)Keith S.K. Lam, 2002, The Relationship between size, book-to-market equity ratio, earnings-price ratio, and return for the Hong Kong Stock Market, Global Finance Journal, Vol. 13, No. 2, p. 163-179. (ABS2)Keith S.K. Lam, December 2001, The Condition Relation between Beta and Returns in the Hong Kong Stock Market, Applied Financial Economics, 11, p. 669-680. (ABS2)Keith S.K. Lam, 1999, Some evidence on the distribution of beta in Hong Kong, Applied Financial Economics, 9, p. 251-262. (ABS2)S. S. Chan and Keith S.K. Lam, 1999, International Labour Mobility and Labour Importation Policy in Macau, Euro Asia Journal of Management, Vol. 17 (Special Issue), 111-127.Keith S.K. Lam, 1997, A Note on the Efficient Market Hypothesis, Euro Asia Journal of Management, Vol. 13 (Special Issue), 33-53.Robert H. Terpstra and Keith S.K. Lam, 1997, Ex-Dividend Price Behavior: The Hong Kong Experience, Euro Asia Journal of Management, Vol. 13 (Special Issue), p. 5-18.Keith S.K. Lam, Benjamin Wong and Robert H. Terpstra, 1996, Overreaction: A Study of the Hong Kong Stock Market, New Zealand Journal of Business, Special Issue: Trade & Investment in Asia, Vol. 18 No. 1, p.13-27.Selected Books and Book ChaptersKeith S.K. Lam, 2004, The Foreign Exchange Market, in Simon S. M. Ho, Robert Haney Scott, and Kie Ann Wong (eds.), The Hong Kong Financial System A New Age, Oxford University Press.S.S. Chan and Keith S.K. Lam, 2000, Macau: An Emerging Offshore Banking Centre?, in S. S. Chan (eds.), Leading Issues of the Macau Economy, Macau Foundation.Selected Conference PapersLiang Dong, Bo Yu and Keith S.K. Lam, December 2019, Liquidity and expected returns: Lessons from Asia-Pacific Stock Markets, Proceedings of the 32nd Australasian Finance and Banking Conference. (Sydney, Australia).Keith S.K. Lam, Liang Dong and Bo Yu, October 2019, Liquidity and Expected Returns: Cross-sectional evidence from Chinese Stock Market, Proceedings of the 2019 Cross Country Perspectives in Finance (CCPF) – Sustainable Finance Conference (Taiyuan, China).Keith S.K. Lam, and Mike Li, December 2018, Liquidity and asset pricing: Evidence from a global perspective, Proceedings of the 7th World Finance & Banking Symposium. (Taichung, Taiwan)Keith S.K. Lam, Liang Dong and Hung Wan Kot, December 2018, China vs. U.S.: Are higher co-moment risks priced differently?, Proceedings of the 31st Australasian Finance and Banking Conference. (Sydney, Australia)Keith S.K. Lam, Sophie Chan, Mike Li and Liang Dong, December 2017, Liquidity as a factor in asset pricing: Evidence from Asia-Pacific Stock Markets, Proceedings of the 6th World Finance & Banking Symposium. (Bangkok, Thailand).Keith S.K. Lam and Liang Dong, June 2017, Liquidity and Higher Co-Moments: Evidence around the world, Proceedings of the 2017 China Finance Review Conference. (Shanghai, China).Keith S.K. Lam and Liang Dong, December 2016, Higher Co-Moments and Expected Returns: Evidence from Asian Emerging Markets, Proceedings of the 29th Australasian Finance and Banking Conference. (Sydney, Australia).Keith S.K. Lam and Liang Dong, June 2016, Higher Co-moments and Expected Returns: Evidence from the China and UK Stock Markets, Proceedings of the 24th PBFEAM Conference. (Hsinchu, Taiwan).Keith S.K. Lam and Lewis Tam, December 2015, Is Liquidity risk priced in China Stock Markets? Proceedings of the 28th Australasian Finance and Banking Conference 2015 (Sydney, Australia).Keith S.K. Lam and Lewis Tam, December 2013, Asset Pricing and Liquidity Risk: Evidence from China, Proceedings of the 26th Australasian Finance and Banking Conference 2013 (Sydney, Australia).Keith S.K. Lam and Sophie Chan, December 2013, Liquidity and Stock Returns: China Evidence, Proceedings of the 21st Conference on the Theories and Practices of Securities and Financial Markets (Kaohsiung, Taiwan).Keith S.K. Lam and Zhuo Qiao, December 2012, Herding, Market Fundamentals and Short Selling: Hong Kong Evidence, Proceedings of the 20th Conference on the Theories and Practices of Securities and Financial Markets (Kaohsiung, Taiwan).Keith S.K. Lam, Adrian C.H. Lei and Martin H.Y. Yick, October 2012, Interactions of default and investment decisions: The effects of tax convexity, the FMA 2012 Annual Meeting (Atlanta, USA).Keith S.K. Lam, Adrian C.H. Lei and Martin H.Y. Yick, October 2010, Does tax convexity matters for risk? A dynamic study on tax asymmetry and equity beta, Proceedings of the FMA 2010 Annual Meeting (New York City, USA).Zhuo Qiao and Keith S.K. Lam, December 2009, Do Information Transmissions between Stock Markets of the Greater China Become Stronger? Evidence from Nonlinear Granger Causality Test, Proceedings of the 22nd Australasian Finance and Banking Conference (Sydney, Australia).Zhuo Qiao and Keith S.K. Lam, December 2009, Do Information Transmissions between Stock Markets of the Greater China Become Stronger? Evidence from Nonlinear Granger Causality Test, Proceedings of the 17th Conference on the Theories and Practices of Securities and Financial Markets (Kaohsiung , Taiwan).Keith S.K. Lam, Adrian C.H. Lei and Martin H.Y. Yick, June-July 2009, Tax Asymmetry and Equity Beta, Proceedings of the AsianFA International Conference 2009 (Brisbane, Australia).Keith S.K. Lam, M. H. Liu and N. K. Rangan, June-July 2009, Trading restrictions and the Chinese Warrant Bubble, Proceedings of the AsianFA International Conference 2009 (Brisbane, Australia).Lewis H. K. Tam, W. Cheung and Keith S.K. Lam, April-May 2009, Government Ownership and Agency Problems in Equity Offerings in China, Proceedings of the 2009 Eastern Financial Association (Washington D.C., USA).Keith S.K. Lam, Simon M.S.So, & Frank K. Li, July 2008, Are Fama-French and Momentum Factors Priced?. Proceedings of the AIB 2008 Milan Conference (Milan, Italy).Keith S.K. Lam, H. F. Yeung and W. Cheung, December 2007, The profitability of simple technical trading strategies: the case of Hong Kong. Proceedings of the 20th Australasian Finance and Banking Conference (Sydney, Australia).Lewis H. K. Tam, W. Cheung and Keith S.K. Lam, October 2007, Ownership Concentration, Adverse Selection and Equity Offering Choice, Proceedings of the 2007 Annual Meeting of the Financial Management Association International (Orlando, Florida, USA).Keith S.K. Lam and Frank K. Li, December 2006, A Four Factor Model of Stock Market Returns: Testing Corporate Decisions. Proceedings of the 4th Biennial Conference of the Hong Kong Economics Association (Hong Kong).Keith S.K. Lam and Frank K. Li, June 2006, The risk premium of the four factor asset pricing model in the Hong Kong Stock Market. Proceedings of the Journal of Banking and Finance 30th Anniversary Conference (Beijing, China).Keith S.K. Lam and Miguel Leong, December 2003, The profitable technical trading strategies in Hong Kong stock market. Proceedings of the 16th Australasian Finance & Banking Conference (Australia).Selected Working Papers and Other PublicationsDong Liang, Bo Yu, Keith S.K. Lam and Tony Qin, 2020, Liquidity and Expected Returns: Cross-sectional evidence from Chinese Stock Market, FBA, University of Macau. (Working paper)Keith S.K. Lam, Liang Dong and Bo Yu, 2020, Liquidity and Asset Pricing: Lessons from Asia-Pacific Stock Markets, FBA, University of Macau. (Working paper)Keith S.K. Lam, Hung Wan Kot, and Liang Dong, 2019, Does Co-Skewness Risk Priced in China Market?, FBA, University of Macau. (Working paper)Yu-En Lin, Yi-Wen Li, Teng Yuan Cheng and Keith S.K. Lam, 2019, Corporate Social Responsibility and Investment Efficiency: Does Business Strategy Matter?, FBA, University of Macau.(Working paper)