Prof. Peter Miu
DeGroote School
of Business
McMaster
University, Canada
Associate Professor of Finance
Email: miupete@mcmaster.ca
Qualifications
2003 Ph.D., Finance,
University of Toronto, Toronto, Canada
1995 M.B.A., Finance,
University of Toronto, Toronto, Canada
1987 B.Sc., Civil
Engineering, University of Hong Kong, Hong Kong
Publications (selected)
-
Charupat, N., R.
Deaves, T. Derouin, M. Klotzle, and P. Miu, 2013. Emotional Balance and Probability
Weighting.Theory and Decision75(1),
17-41.
-
Charupat, N., and
P. Miu, 2013. The pricing efficiency of
leveraged exchange-traded funds: Evidence from the U.S. markets.Journal
of Financial Research36(2), 253-278.
-
Charupat, N., and P. Miu, 2013. Recent Developments in Exchange-Traded Fund
Literature: Pricing Efficiency, Tracking Ability, and Effects on Underlying
Securities.Managerial Finance39(5), 427 - 443.
-
Deaves, R., J.
Liu, and P. Miu, 2013. Pairs trading in
Canadian markets: Pay attention to inattention.Canadian Investment Review,
April 25, 2013.
-
Liu, W., P. Miu,
Y. Chang, and B. Ozdemir, 2012.
Information asymmetry and bank regulation: Can the spread of debt
contracts be explained by recovery rates?Journal
of Financial Intermediation21(1), 123-150.
-
Miu, P., B.
Ozdemir, and M. Giesinger, 2011. Value Optimization in a Regulatory Constrained
Regime: A New Look at Risk vs. Return Optimization.Journal of Risk Management in Financial Institutions5(1), 10-35.
-
Charupat, N., and P. Miu, 2011. The pricing
and performance of leveraged exchange-traded funds.Journal of Banking and Finance35(4), 966-977; summarized (by Gregory G. Gocek) inthe
CFA Digest41(2), 76-78, CFA Institute (May 2011).
-
Cheung, C.S., and P. Miu, 2011. Correlation Behavior of Emerging Markets.Research in Finance27, 283-310.
-
Cheung, C.S., and P. Miu, 2010. Diversification Benefits of Commodity
Futures.Journal of International Financial Markets, Institutions &
Money20, 451-474; summarized
(by Ahmed Sule) inthe CFA Digest41(2), 1-3, CFA Institute (May 2011).
-
Li, M-Y., and P.
Miu, 2010. A Hybrid Bankruptcy
Prediction Model with Dynamic Loadings on Accounting-Ratio-Based and
Market-Based Information: A Binary Quantile Regression Approach.Journal ofEmpirical
Finance17(4), 818-833.
-
Miu, P., and B.
Ozdemir, 2010. Managing Capital Buffers
in the Pillar II Framework: Designing an Effective ICAAP/ORSA to manage
Procyclicality and to reconcile Short-Term and Long-Term Views of Capital.Journal ofRisk Model Validation4(4),
1-45.
-
Miu, P., B.
Ozdemir, and M. Giesinger, 2010. Can Basel III work? Examining the new capital
stability rules by the Basel Committee – a theoretical and empirical study of
capital buffers.Journal of Financial
Transformation29, 31-42.
-
Cheung, C.S., and P. Miu, 2009. Currency
Instability: Regime Switching versus Volatility Clustering.Quarterly
Journal of Finance and Accounting48(1), 67-81.
-
Miu, P., and B.
Ozdemir, 2009. Stress-Testing Probability of Default and Migration Rate with
respect to Basel II Requirements.Journal ofRisk
Model Validation3(4), 1-36.
-
Cheung, C.S., C. Kwan, and P. Miu,
2008. A Mean-Gini Approach to Asset
Allocation Involving Hedge Funds.Research in Finance24, 197-212.
-
Deaves, R., P. Miu, and C.B. White, 2008.
Canadian Stock Market Multiples and Their Predictive Content.International
Review of Economics & Finance17(3), 457-466.
-
Miu, P., and B. Ozdemir, 2008. Estimating and Validating Long-Run
Probability of Default with respect to Basel II Requirements.Journal
of Risk Model Validation2(2), 1-39.
-
Cheung, C.S., C. Kwan, and P. Miu, 2007.
Mean-Gini Portfolio Analysis: A Pedagogic Illustration.Spreadsheets in Education2(2), 194-207.
-
Deaves, R., and P. Miu, 2007. Refining Momentum Strategies by Conditioning
on Prior Long-Term Returns: Canadian Evidence.Canadian Journal of Administrative Sciences24(2), 135-145.
-
Deaves, R., and P. Miu, 2007. Momentum,
Reversal and Market State.Canadian
Investment Review(Winter), 8-14.
-
Miu, P., and B. Ozdemir, 2006. Basel
Requirement of Downturn LGD: Modeling and Estimating PD & LGD Correlations.Journal of Credit Risk2(2),
43-68.
-
Miu, P., and B. Ozdemir, 2005. Practical and Theoretical Challenges in
Validating Basel Parameters: Key Learnings from the Experience of a Canadian
Bank.Journal of Credit Risk1(4), 89-136.
-
Deaves, R., and P. Miu, 2004. A
Return-Enhancement Strategy for Canadian Fixed Income Portfolio.Canadian Investment Review(Summer),
10-15.
Profile Details
Last Updated: September
27, 2013.
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