T
Tongshu Ma
Researcher at Binghamton University
Publications - 31
Citations - 3357
Tongshu Ma is an academic researcher from Binghamton University. The author has contributed to research in topics: Stock exchange & Tracking error. The author has an hindex of 15, co-authored 31 publications receiving 3090 citations. Previous affiliations of Tongshu Ma include National Bureau of Economic Research & University of Utah.
Papers
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The 52-week high momentum strategy in international stock markets
Ming Liu,Qianqiu Liu,Tongshu Ma +2 more
TL;DR: In this paper, the authors studied the 52-week high momentum strategy in international stock markets and found that it is a better predictor of future returns than macroeconomic risk factors or the acquisition price.
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The economic growth of Central and Eastern Europe in comparative perspective, 1870–1989
David F. Good,Tongshu Ma +1 more
TL;DR: In this article, a consistent time series of GDP per capita for the present day states of Central and Eastern Europe over the period 1870-1989 is constructed, and the authors draw on the literature of the new growth theory in economics to assess their long-term economic performance in the wider European setting.
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Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
TL;DR: A jackknife estimator for the conditional variance of a minimum tracking error variance portfolio constructed using estimated covariances is developed and finds that it provides more precise estimates and suffers less from in-sample optimism when compared to conventional estimators.
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Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints
Tongshu Ma,Ravi Jagannathan +1 more
TL;DR: In this paper, the authors show that constraining portfolio weights to be nonnegative is equivalent to using the sample co-variance matrix after reducing its large elements and then form the optimal portfolio without any restrictions on portfolio weights.