Kam Fong Chan
@ University of Western Australia
Updated in August 2022
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Career
Associate Professor of Finance, University of Western Australia Business School
PhD program coordinator for the Department of Accounting and Finance, UWA Business School
Director of Trading Room, UWA Business School (2021)
Senior lecturer, University of Queensland Business School (2015-2019)
Lecturer, University of Queensland Business School (2010-2014)
Assistant Vice President at Risk Analytics, United Overseas Bank, Singapore (2008-2010)
Lecturer, University of Auckland Business School (2005-2008)
Tutor, University of Queensland Business School (2002-2005)
Personal details
Qualifications:
PhD (University of Queensland, Australia), 2006
Master in Commerce and Management (Lincoln University, NZ), 2002
BCom Hons (Lincoln University, NZ), 2001
Achievements
Awards
Winner of the 2022 UWA Business School Mid-Career Researcher Award
Nominated for 2021 UWA Business School Teaching and Learning Award
Premier journal publications
Summary: Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days are times when influential firms disclose quarterly earnings news early in the earnings season.
Main story: We show that the market beta-return relation is linear and strongly positive across securities when an aggregate of large influential S&P 500 companies disclose corporate earnings news early in the earnings seasons. These leading earnings announcement days (LEADs) also happen to be times when institutional investors’ attention is high. On days other than LEADs, the market beta-return relation is flat.
Key figure
Summary: Over the past 150 years, stock market had significantly outperformed in months following U.S. midterm elections than in other months.
Main story: We show that US equity premiums over the last 145 years average 15.41% annualized in months following midterm elections, yet only 2.98% in other months. The 12.43% annualized premium difference is both statistically and economically significant. Also, in post-midterm months, real investment growth rates are notably stronger, and average Treasury premiums are countercyclical at –1.72% annualized, some 8.69% below their pre-midterm level.
Key figure
Other notable journal publications
What can we learn from firm-level jump-induced tail risk around earnings announcements? (with Maggie Liu and Robert Faff, 2022). Journal of Banking and Finance
Main story: Firm-level jump-induced tail risk predicts stock returns around earnings announcements.
Political uncertainty, market anomalies and Presidential honeymoons (with Philip Gray, Steve Gray and Angel Zhong, 2020). Journal of Banking and Finance
Main story: Stock market generally outperforms when an incoming US President assumes office in the first 100 days post-inauguration.
Asset market linkages: evidence from financial, commodity and real estate assets (with Sirimon Treepongkaruna, Steve Gray and Robert Brooks, 2010). Journal of Banking and Finance
Main story: Using a multivariate regime-switching model, we show that the financial market has two regimes: crisis regime and tranquil regime.
Current working papers
Climate policy uncertainty and cross-section of stock returns (with Ihtisham Malik, 2022) SSRN link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4075528
Main story: Stocks with low exposure to climate policy uncertainty (CPU) outperform stocks with high exposure. Low CPU-beta firms are also green stocks with low price crash risk and low growth potentials, and they are aligned more with the Democrats. The opposite high-CPU beta firms are brown stocks with high price crash risk and high growth potentials, and they lean towards the Republicans.
Featured in: Callaway Climate Insights https://www.callawayclimateinsights.com/p/proof-that-wall-street-does-pay-attention?s=r
Other journal publications
Chan, K., Chen, Z., Wen Y., and Xu, T., (2022) COVID-19 vaccines and global stock markets. Finance Research Letters
Chan, K., Gray, P., and Pan, Z., (2021). The profitability of trading on large Levy jumps. International Review of Finance
Malik, I., Faff, R., and Chan, K., (2020). Market response of U.S. equities to domestic natural disasters: industry-based evidence. Accounting and Finance 60, 3875–3904.
Chan, K., and Gray, P., (2018). Volatility jumps and macroeconomic news announcements. Journal of Futures Markets 38, 881–897.
Chan, K., Powell, J., Shi, J., and Smith, T., (2018). Dividend persistence and dividend behaviour. Accounting and Finance 58, 127–147.
Pan, Z., and Chan, K., (2018). A new government bond volatility index predictor for the U.S. equity premium. Pacific Basin Finance Journal 50, 200–215.
Chan, K., Bowman, R., and Neely, C., (2017). Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. Journal of Empirical Finance 43, 43–58.
Chan, K., Bowman, R., and Neely, C., (2017). Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. Federal Reserve Bank of St Louis working paper No. 2017–11.
Chan, K., Chhagan, M., and Marsden, A., (2017). Cross-border scheduled macroeconomic news impacts: Evidence from high-frequency Asia Pacific currencies. Pacific Basin Finance Journal 43, 37–54.
Chan, K., and Gray, P., (2017). Do scheduled macroeconomic announcements influence energy price jumps? Journal of Futures Markets 37, 71–89.
Chan, K., and Gray, P., (2016). Extreme value theory and risk management in electricity market. Book chapter in Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications (Longin, F., editor) John Wiley Finance.
Chan, K., Powell, G., and Treepongkaruna, S., (2014). Currency jumps and crises: Do developed and emerging market currencies jump together? Pacific Basin Finance Journal 30, 132–157
Chan, K., and Marsden, A., (2014). Macro risk factors of credit default swap indices in a regime switching framework. Journal of International Financial Markets, Institutions and Money 29, 285–308.
Chan, K., and Marsden, A., (2013). Modeling the time-series evolution of the credit default swap indices. La Revue du Financier 35, 35–48.
Bowman, R., Chan, K., and Comer, M., (2010). Diversification, rationality and the Asian economic crisis. Pacific Basin Finance Journal 18, 1–23.
Chan, K., (2010). The Mathematics of Finance: Modeling and Hedging (Book reviewer). Pacific Accounting Review 22, 172–173.
Chan, K., Gray, P., and van Campen, B., (2008). A new approach to characterizing and forecasting electricity price volatility. International Journal of Forecasting 24, 728–743.
Chan, K., and Gray, P., (2007). Using extreme value theory to measure Value-at-Risk for daily electricity spot prices. International Journal of Forecasting 22, 283–300.
Chan, K., (2005). Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates. Accounting and Finance 45, 537–552.
Chan, K., Gan, C., and McGraw, P., (2003). A hedging strategy for New Zealand’s exporter in transaction exposure to currency risk. Multinational Finance Journal 7, 25–54.
Media coverage
Wall Street Journal & Barron's
Wall Street Journal & Barron's
September's stock market woes may bode well for October (2022) Wall Street Journal
Why the midterm elections could mark the market's bottom (2022) Barron's
A strong stock-market rally could be coming later this year (2022) Barron's
A summer stock-market strategy: invest defensively (2021) Wall Street Journal
The right time to buy high-beta stocks (2020) Wall Street Journal
Don’t count on a summer rally for the stock market (2020) Barron's
October is the stock market’s most volatile month. But why? (2019) Wall Street Journal
Why stocks can’t wait for the midterms to be over (2018) Wall Street Journal
The truth behind the ‘presidential cycle’ for stocks (2017) Wall Street Journal
Sell in May and go Away: Mostly a myth, but not entirely (2017) Wall Street Journal
Other news outlets
Other news outlets
A strong market rally could be just weeks away if the U.S. midterm elections can put anxious stock investors at ease (2022) marketwatch.com
A strong market rally could be just weeks away if the U.S. midterm elections can put anxious stock investors at ease (2022) Morningstar
A strong market rally could be just weeks away if the US midterm elections can reassure fearful stock investors (2022) AU Times
History suggests post-midterm election bounce for stocks (2022) Indianapolis Business Journal
Proof that Wall Street does pay attention to the climate (2022) Callaway Climate Insights
Why stocks could lose popularity as the market’s presidential election cycle enters its second year (2021) marketwatch.com
Market’s presidential cycle points to weaker stock prices through late 2022 (2021) marketwatch.com
The asset markets and the coronavirus pandemic (2020) VOXEU/CEPR
Stay and play rather than sell and go away (2019) The Street
The stock market’s Halloween indicator is more trick and treat (2019) marketwatch.com
Why stocks may not rise in the third year of President Trump’s term (2018) marketwatch.com
These two stock market patterns add up to trouble for investors through election day (2018) marketwatch.com
Here’s the real story behind ‘sell in May and go away’ (2017) marketwatch.com
Popular investing advice that you should ignore (2017) USA Today
Teaching
Data analytics in portfolio investment (micro credential unit, UWA)
Advanced investment (Honours level, UWA)
Research methods (Honours level, UWA)
Risk management and financial instruments (postgraduate level, UWA)
Quantitative methods in finance (postgraduate level, UWA)
Trading and markets (postgraduate level, UWA)
Financial risk management (postgraduate level, UQ)
Financial modelling (undergraduate level, UQ)
Derivatives and risk management (undergraduate level, UQ)
Introduction to investment (undergraduate level, UQ)
Principle of financial management (undergraduate level, UQ)
Refereeing
Referee activities for key peer-reviewed journals
Referee activities for key peer-reviewed journals
Journal of Financial and Quantitative Analysis
Journal of Banking and Finance
Journal of Corporate Finance
International Journal of Forecasting
Journal of Forecasting
Journal of Empirical Finance
European Finance Journal
Referee activities for other journals
Referee activities for other journals
Journal of Futures Markets
Quantitative Finance
Pacific Basin Finance Journal
Accounting and Finance
Empirical Economics
Quantitative Finance
International Review of Finance
Journal of Risk
Journal of Multinational Finance Management
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