Ming Dong

Fisher Hall, Room 700
Ohio State University
2100 Neil Avenue
Columbus, OH 43210

Phone: (614) 292-8708
E-mail: Dong.18@osu.edu


Research:  Stock Valuation, Return Predictability, Asset Pricing
Teaching: Investments, Business Finance, Continuous-Time Finance, Options and Futures
 
  Topic: Theory and Applications of a Stock Valuation Model

Advisors: Zhiwu Chen and David Hirshleifer

Abstract: The Bakshi-Chen (1998) stock valuation model (hereafter the BC model) features a closed form solution of the stock price by modeling the earnings and earnings growth processes explicitly in the general martingale measure framework. However, the BC model cannot be applied to stocks with negative earnings per share, because earnings are assumed to follow a geometric Brownian motion. My dissertation generalizes the BC model so that the model can price stocks with negative earnings. By introducing the adjusted-earnings and adjusted-earnings growth concept to the original BC model, the singularity at zero-earnings is removed. The new model prices stocks with much improved pricing precision and return predictive power. The new model is then applied to a number of asset pricing problems, including industry momentum, pairs trading, and market efficiency.
 
 

“A General Model of Stock Valuation,” 2000

“Investing with a Stock Valuation Model,” 1999, with Chia-Yu Chang and Zhiwu Chen
(Presented at AFA annual meetings, Boston, January 2000)

“Option Pricing with a Shifting Bound of Stock Price,” 1999

 “Free Cash Flow versus Reputation: A Study of Multiple Bidders,” 1997

“Industry Momentum, Individual Momentum and Stock Mispricing,” in progress.

“A Dynamic Model of Real House Price,” with Qinghai Wang,  in progress.
 
 

Ph.D. (Expected August 2000), Finance, Ohio State University

M.S. 1995, Physics, New York University

B.S. 1988, Physics, Fudan University, China Heng Tong Magnetic Head Co., Shanghai, China, 1988-92
Did engineering work in manufacturing magnetic heads for computer floppy drives
 
  Instructor, Finance 722 “ Investment Management ,” Ohio State University, Summer 1999 (1 section, student evaluation 4.4/5.0, exceeds university mean) and Spring 2000 (expected, 2 sections)

Instructor, Finance 620 “Business Finance,” Ohio State University,  Summer 1998

Teaching Assistant, Various Graduate and Undergraduate Physics Classes, New York University, 1992-95
 
 

Referee: Journal of Finance, Pacific Basin Finance Journal
 
  Zhiwu Chen , Professor of Finance,  Yale University (at Ohio State before September 1999)
Tel: (203) 432-5948          E-mail: zhiwu.chen@yale.edu

David Hirshleifer, Ralph M. Kurtz Chair in Finance, Ohio State University
Tel: (614) 292-5174          E-mail: hirshlei@cob.ohio-state.edu

Andrew Karolyi, Associate Professor of Finance, Ohio State University
Tel: (614) 292-0229          E-mail: karolyi@cob.ohio-state.edu

Anil Makhija, Associate Professor of Finance, Ohio State University
Tel: (614) 292-1899          E-mail: makhijaa@cob.ohio-state.edu


Last updated July 18, 2000