Yong Chen (陳 勇)

Research Interests

Asset Pricing, Investment Management, Financial Markets, Investor Behavior

Working Papers

Large Funds and Corporate Bond Market Fragility, with Mengqiao Du and Zheng Sun

March 2024

Anomalies as New Hedge Fund Factors, with Sophia Zhengzi Li, Yushan Tang, and Guofu Zhou

February 2024

Shadow of Loss: Mutual Fund Tail Behavior and Investor Flows, with Wenting Dai 

March 2024

Seeking Green? Mutual Fund Investment in ESG Stocks, with Wenting Dai

February 2024

Do Hedge Funds Hedge? Evidence from Risk Gap, with Hanjiang Zhang

November 2023

Interest in the Short Interest: The Rise of Private Sector Data, with Minjae Kim, John McInnis, and Wuyang Zhao

June 2023

A Hiding Place? Diversification, Financialization, and Return Comovement in Commodity Markets, with Wenting Dai and Sorin Sorescu

August 2022

In the Same Boat? Alignment of Interests and Delegated Investment, with Dora Horstman

September 2021

Value Added by Hedge Funds, with Wenting Dai and Dora Horstman

February 2021

Refereed Publications

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

Sentiment Trading and Hedge Fund Returns, with Bing Han and Jing Pan

Journal of Finance 76, 2001-2033, August 2021.

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

Arbitrage Trading: The Long and the Short of It, with Zhi Da and Dayong Huang

Review of Financial Studies 32, 1608–1646, April 2019.

– Net Arbitrage Trading (NAT) Data

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.

– Aggregate Illiquidity Data

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

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.

The Behavior of Investor Flows in Corporate Bond Mutual Funds, with Nan Qin

Management Science 63, 1365–1381, May 2017.

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

Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry

Journal of Financial and Quantitative Analysis 46, 1073–1106, August 2011.

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.

Do Market Timing Hedge Funds Time the Market? with Bing Liang

Journal of Financial and Quantitative Analysis 42, 827–856, December 2007.

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

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.

Last update: 3/12/2024