BIO
Wing Wah Tham is an Associate Professor of Finance in the School of Banking and Finance of University of New South Wales. Previously, he was an Associate Professor of Financial Econometrics at Econometric Institute, Erasmus School of Economics. Professor Tham’s research focuses on econometrics, market microstructure, asset pricing and innovation. Professor Tham’s research has been published in top tier journals, including Review of Financial Studies, Management Science, Journal of Econometrics, Journal of International Business Studies, Journal of Financial and Quantitative Analysis. His works are also presented at various prestigious finance and economic conferences such as American Finance Association Meeting, European Finance Association Meeting, Econometric Society World Congress. He has won the PanAngora Crowell second prize, Midwest Finance Association best paper award and the Literati Network Awards for Excellence for his work. He is currently an EU Marie Skłodowska-Curie Fellow, UNSW Scientia Fellow and Tinbergen Institute Fellow. He was a visiting scholar to the Haas Business School, UC Berkeley and National University of Singapore. He loves running marathons and ocean swims. He was previously a naval diving commander in the underwater demolition team.
RESEARCH
"COVID-19 restrictions and age-specific mental health-U.S. probability-based panel evidence" 2021 w/ Elvira Sojli, Richard Bryant, Michael McAleer, Translational Psychiatry - Nature, 11, Article 418
“The Equity Volatility-Volume Ratio and Treasury Bond Returns”, w/ Stefanie Schraeder, Elvira Sojli and Avanidhar Subrahmanyam - PanAngora’s 2014 Crowell Second Prize, Journal of Financial and Quantitative Analysis, Conditionally Accepted
“Deleting Unreported R&D” w/ Ping-Sheng Koh, David Reeb, Elvira Sojli and Wendun Wang Journal of Financial and Quantitative Analysis, Forthcoming
“Quotes, Trades, and the Cost of Capital”, 2020 w/ Ioanid Rosu and Elvira Sojli, Journal of Financial and Quantitative Analysis, Forthcoming
“Cross-sided Liquidity Externalities”, 2018 w/ Johannes Skjeltorp and Elvira Sojli, Management Science, Vol. 64 (6), pg. 2473-2972
“Toxic Arbitrage”, 2017 w/ Thierry Foucault and Roman Kozhan, Review of Financial Studies, Vol. 30 (4), pg. 1053-1094 (Lead article and RFS Editor's Choice)
“Foreign Political Connection”, 2017 w/ Elvira Sojli, Journal of International Business Studies, Vol. 48 (2), pg. 244-266
“Flashes of Trading Intent at the NASDAQ” 2016 w/ Johannes Skjeltorp and Elvira Sojli, - Journal of Financial and Quantitative Analysis, Vol. 51 (1), pg. 165-196
“Divided Government and Stock Futures Prices” 2015 w/ Elvira Sojli, Journal of Econometrics, Vol. 187 (2), pg. 622-633
“Execution Risk in High-frequency Arbitrage” 2012 w/ Roman Kozhan, Management Science, Vol. 58 (11), pg. 2131-2149
Other Publications
Non-Standard Errors, 2023, w/ 342 co-authors from 34 countries and 207 institutions (mostly universities), Journal of Finance (forthcoming)
“Economic Valuation of Liquidity Timing”, 2012 w/ Dennis Karstanje, Elvira Sojli and Michel van der Wel, Journal of Banking and Finance, Vol. 37 (12), pg. 5073-5087
“Managing Systemic Risk in the Netherlands” 2015 w/ Elvira Sojli and Shuyu Liao, International Review of Economics and Finance, Vol. 40, pg. 231-245
“A Practical Approach to Constructing Price-based Funding Liquidity Factors” 2015, w/ Kees Bouwman, Boyd Buis, and Mary Pieterse-Bloem, International Review of Economics and Finance, Vol. 40, pg. 90-97
"The Impact of Foreign Government Investments: Sovereign Wealth Fund Investments in the U.S.”, 2011 In J. Cosset & N Boubakri (Eds.), Institutional Investors in Global Capital Markets (International Finance Review, 12). U.K.: Emerald Group Publishing Limited. (w/ Elvira Sojli)
Surface Profile Measurement using CD Optical Pickup Head”, 2001 w/ ZhaoWei Zhong, Proceedings of SPIE, The International Society for Optical Engineering, Advanced Photonic Sensors and Applications II, Vol 4496, 48
Selected Publications
WORKING PAPERS
“The Renaissance Women in Science”, w/ David Reeb and Elvira Sojli
"Time-varying Group Unobserved Heterogeneity in Finance" w/ Elvira Sojli and Wendun Wang
"Firm Growth, Survival, and Productivity: The Role of Process Innovation" w/ Leo Liu and Elvira Sojli
SCIENTIA FELLOW UNIVERSITY OF NEW SOUTH WALES BUSINESS SCHOOL
ASSOCIATE PROFESSOR, SCHOOL OF BANKING AND FINANCE, UNIVERSITY OF NEW SOUTH WALES BUSINESS SCHOOL
January 2018 - present
SENIOR LECTURER, SCHOOL OF BANKING AND FINANCE, UNIVERSITY OF NEW SOUTH WALES BUSINESS SCHOOL
July 2016 - present
ASSOCIATE PROFESSOR OF FINANCIAL ECONOMETRICS, ECONOMETRICS INSTITUTE, ERASMUS SCHOOL OF ECONOMICS ROTTERDAM
2014 - 2016
ASSISTANT PROFESSOR OF FINANCIAL ECONOMETRICS, ECONOMETRICS INSTITUTE, ERASMUS SCHOOL OF ECONOMICS ROTTERDAM
2009 - 2014
MARIE CURIE RESEARCH FELLOW
2010 - 2012
“Have no fear of perfection, you’ll never reach it”
Salvador Dali
GET IN TOUCH
Got questions of my work, media interviews or something you’d like me to work on? Contact me today.
Address: School of Banking & Finance
UNSW Business School
Sydney, NSW 2052 AUSTRALIA
Email: w.tham@unsw.edu.au
Phone: +61 (2) 93855484
