Prof. Peter Miu

DeGroote School of Business

McMaster University, Canada

Associate Professor of Finance



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)

  1. Charupat, N., R. Deaves, T. Derouin, M. Klotzle, and P. Miu, 2013.  Emotional Balance and Probability Weighting.Theory and Decision75(1), 17-41.
  2. 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.
  3. 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.
  4. Deaves, R., J. Liu, and P. Miu, 2013.  Pairs trading in Canadian markets: Pay attention to inattention.Canadian Investment Review, April 25, 2013.
  5. 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.
  6. 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.
  7. 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).
  8. Cheung, C.S., and P. Miu, 2011. Correlation Behavior of Emerging Markets.Research in Finance27, 283-310.
  9. 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).
  10. 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.
  11. 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.
  12. 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.
  13. Cheung, C.S., and P. Miu, 2009. Currency Instability: Regime Switching versus Volatility Clustering.Quarterly Journal of Finance and Accounting48(1), 67-81.
  14. 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.
  15. Cheung, C.S., C. Kwan, and P. Miu, 2008.  A Mean-Gini Approach to Asset Allocation Involving Hedge Funds.Research in Finance24, 197-212.
  16. 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.
  17. 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.
  18. Cheung, C.S., C. Kwan, and P. Miu, 2007. Mean-Gini Portfolio Analysis: A Pedagogic Illustration.Spreadsheets in Education2(2), 194-207.
  19. 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.
  20. Deaves, R., and P. Miu, 2007. Momentum, Reversal and Market State.Canadian Investment Review(Winter), 8-14.
  21. Miu, P., and B. Ozdemir, 2006. Basel Requirement of Downturn LGD: Modeling and Estimating PD & LGD Correlations.Journal of Credit Risk2(2), 43-68.
  22. 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.
  23. 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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