Yong Chen
Professor of Finance
David R. Norcom '73 Endowed Professor
Mays Business School
Texas A&M University
Email: ychen@mays.tamu.edu
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Research Interests
Asset Pricing, Investment Management, Financial Markets, Investor Behavior
Refereed Academic Publications
1. Interest in the Short Interest: The Rise of Private Sector Data, with Minjae Kim, John McInnis, and Wuyang Zhao
Contemporary Accounting Research, forthcoming.
2. Anomalies as New Hedge Fund Factors, with Sophia Li, Yushan Tang, and Guofu Zhou
Journal of Financial and Quantitative Analysis, forthcoming.
– Data: Hedge Fund 9 Factors (HF9)
3. Short Selling Efficiency, with Zhi Da and Dayong Huang
Journal of Financial Economics 145, 387-408, August 2022.
– Winner of Global Association of Risk Professionals (GARP) Research Excellence Award
4. Sentiment Trading and Hedge Fund Returns, with Bing Han and Jing Pan
Journal of Finance 76, 2001-2033, August 2021.
5. Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment, with Bryan Kelly and Wei Wu
Journal of Financial Economics 138, 316–341, November 2020.
– Winner of Best Paper Award at the 25th Finance Forum
6. Arbitrage Trading: The Long and the Short of It, with Zhi Da and Dayong Huang
Review of Financial Studies 32, 1608–1646, April 2019.
– Data: Net Arbitrage Trading (NAT)
7. Micro(structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity, with Gregory Eaton and Bradley Paye
Journal of Financial Economics 130, 48–73, October 2018.
– Data: Aggregate Illiquidity
8. Hedge Funds: The Good, the Bad, and the Lucky, with Michael Cliff and Haibei Zhao
Journal of Financial and Quantitative Analysis 52, 1081–1109, June 2017.
9. The Behavior of Investor Flows in Corporate Bond Mutual Funds, with Nan Qin
Management Science 63, 1365–1381, May 2017.
10. Can Hedge Funds Time Market Liquidity? with Charles Cao, Bing Liang, and Andrew Lo
Journal of Financial Economics 109, 493–516, August 2013.
– Winner of Q-Group Research Grant
11. Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry
Journal of Financial and Quantitative Analysis 46, 1073–1106, August 2011.
12. Measuring the Timing Ability and Performance of Bond Mutual Funds, with Wayne Ferson and Helen Peters
Journal of Financial Economics 98, 72–89, October 2010.
13. Do Market Timing Hedge Funds Time the Market? with Bing Liang
Journal of Financial and Quantitative Analysis 42, 827–856, December 2007.
Refereed Practitioner Publications
14. Hedge Funds and Stock Price Formation, with Charles Cao, William Goetzmann, and Bing Liang
Financial Analysts Journal 74, 54–69, Third Quarter 2018.
– Winner of Graham and Dodd Scroll Award
15 Timing Ability in the Focus Market of Hedge Funds
Journal of Investment Management 5, 66–98, Second Quarter 2007.
– Winner of Foundation for Managed Derivatives Research Grant
Non-Refereed Publications
16. How Many Good and Bad Fund Managers are There, Really? with Wayne Ferson
Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Vol. 4, C.F. Lee and J. Lee, ed., World Scientific Publishing. pp. 3753–3827, September 2020.
Working Papers
1. Large Funds and Corporate Bond Market Fragility, with Mengqiao Du and Zheng Sun
November 2024
2. The Economics of Greenwashing Funds, with Sean Cao, Han Xiao, Alan Zhang
May 2025
3. Shadow of Loss: Mutual Fund Tail Behavior and Investor Flows, with Wenting Dai
December 2024
4. Seeking Green? Mutual Fund Investment in ESG Stocks, with Wenting Dai
September 2024
5. Do Hedge Funds Hedge? Evidence from Risk Gap, with Hanjiang Zhang
April 2024
6. Mispricing and Firm Investment, with Dora Horstman
September 2024
7. A Hiding Place? Diversification, Financialization, and Return Comovement in Commodity Markets, with Wenting Dai and Sorin Sorescu
August 2022
8. In the Same Boat? Alignment of Interests and Delegated Investment, with Dora Horstman
September 2021
9. Value Added by Hedge Funds, with Wenting Dai and Dora Horstman
February 2021
Last update: 5/26/2025
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