Zhuo Chen
Associate Professor of Finance
Tsinghua University
PBC School of Finance
43 Chengfu Road, Haidian District
Beijing China, 100083
Phone: +86 (010) 6278-1370 (Office)
Email: chenzh@pbcsf.tsinghua.edu.cn
Data:
Traded funding liquidity factor (FLS, last updated on December 31, 2022), download
Selected Publications:
1. Investor Sentiment and the Pricing of Macro Risks for Hedge Funds (with Andrea Lu and Xiaoquan Zhu), June 2023, Management Science, forthcoming
2. Pledgeability and Asset Prices: Evidence from Chinese Corporate Bond Markets (with Hui Chen, Zhiguo He, Jinyu Liu, and Rengming Xie), The Journal of Finance 78 (5), October 2023, pp. 2563-2620
Dimensional Fund Advisors Prizes for Distinguished Paper Award
Arthur Warga Award for the Best Paper in Fixed Income at the SFS Cavalcade North America
3. The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes (with Zhiguo He and Chun Liu), Appendix, Data, Journal of Financial Economics 137, July 2020, pp. 42-71
Liu Shibai Economics Award
Nominee of 2021 Masahiko Aoki Award for Economics Paper
Winner of 2017 China Financial Research Conference Best Paper Award
PwC 3535 Finance Forum Best Paper Award
4. A Market-based Funding Liquidity Measure (with Andrea Lu), Review of Asset Pricing Studies 9 (2), December 2019, pp. 356-393
The 26th Australasian Finance and Banking Conference PhD Forum (Second Prize)
5. Empirical Investigation of an Equity Pairs Trading Strategy (with Huafeng Chen, Shaojun Chen, and Feng Li), Appendix, Management Science 65 (1), January 2019, pp. 370-389
6. A Performance Comparison of Large-n Factor Estimates (with Gregory Connor and Robert A. Korajczyk), Appendix, Review of Asset Pricing Studies 8 (1), June 2018, pp. 153-182
7. Seeing the Unobservable from the Invisible: the Role of CO2 in Measuring Consumption Risk (with Andrea Lu), Review of Finance 22 (3), May 2018, pp. 977-1009
The 26th Australasian Finance and Banking Conference PhD Forum (Second Prize)
Other Publications:
1. Margin Rules and Margin Trading: Past, Present, and Implications (with Zhiguo He and Wei Wei), May 2024, Annual Review of Financial Economics, forthcoming
2. Assessing and Addressing the Coronavirus-induced Economic Crisis: Evidence from 1.5 Billion Sales Invoices (with Pengfei Li, Li Liao, Lu Liu, and Zhengwei Wang), December 2023, China Economic Review, forthcoming
3. Leverage Trading and Stock Returns: Evidence from International Stock Markets (with Pengfei Li, Zhengwei Wang, and Bohui Zhang), January 2024, Journal of Financial Markets, forthcoming
4. Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets (with Jinyu Liu, Andrea Lu, and Libin Tao), December 2023, Journal of Empirical Finance, forthcoming
5. COVID-19 Vaccines: Saving Lives and the Global Stock Markets (with Kam Fong Chan, Yuanji Wen, and Tong Xu), Finance Research Letters 47, June 2022, pp. 1-9
6. Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets (with Andrea Lu), Journal of Banking and Finance 75, February 2017, pp. 98-108
2013 Chicago Quantitative Alliance (CQA) Academic Competition (Second Prize)
2014 PanAgora Crowell Memorial Prize (Finalist)
Winner of The 9th International Conference on Asia-Pacific Financial Markets Best Paper Award
7. Growing Pains: International Instability and Equity Market Returns (with Andrea Lu and Zhuqing Yang), Financial Management 46 (1), Spring 2017, pp. 59-87
Publications in Chinese:
1. 违约风险传染的避险效应与溢出效应：隐性担保预期的视角（合作者：何治国、施展、祝小全），经济研究（2022年第11期），总第662期，174-190
2. 隐性杠杆约束、流动性风险和投资者情绪（合作者：祝小全），金融研究（2021年第10期），总第496期，171-189
3. 缓兵之计？地方债务展期与隐性违约风险——来自地方融资平台“借新还旧”的经验证据（合作者：郁芸君，张一林，蒲明），经济学（季刊），2022年5月，第22卷第3期，955-976
4. “能力”或“运气”：中国私募证券投资基金的多维择时与价值（合作者：祝小全，曹泉伟），经济学（季刊），2022年5月，第22卷第3期，843-866
5. 空气污染是否加剧了新冠病毒的传播？来自中国城市的实证研究（合作者：陈珂琪，李洁），经济学报，2021年9月，第8卷第3期，224-258
6. “常态化防疫”阶段我国经济现状与基于科技的应对之策（合作者：刘碧波，田轩）, 中国科学基金，2020年12月，第34卷，第6期 ，724-732
Working Papers:
1. Characteristics-based Factors (with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu), November 2021
2. Investor Sentiment and the Pricing of Characteristics-based Factors (with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu), December 2023
3. Local Political-Turnover-Induced Uncertainty and Bond Market Pricing (with Andrea Lu, Huili Xiao, and Xiaoquan Zhu), December 2021
4. From Wall Street to Hong Kong: The Value of Dual Listing for China Concept Stocks (with Grace Hu, Ziqiong Xi, and Xiaoquan Zhu), January 2023
Discussions:
Collateral constraints and asset prices: Evidence from structured funds (by Wei Li, Greg Phelan, and Yongqin Wang), 2023 CFRC
Labor flow shocks matter for asset pricing (by Jian Chen, Chunmian Ge, Jiaquan Yao, and Guofu Zhou), 2022 XMU Finance Workshop
State ownership and the term structure of yield spreads: Evidence from China (by Yuanzhen Lyu and Fan Yu), 2022 CICF
Financial intermediaries and contagion in market efficiency: the case of ETFs (by Claire Yurong Hong, Frank Weikai Li, and Avanidhar Subrahmanyam), 2022 ABFER Annual Conference
Understanding credit risk for Chinese companies using machine learning: a default-based approach (by Edward Altman, Xiaolu Hu, and Jing Yu), 2021 FINR Annual Conference
De facto time-varying indices-based benchmarks for mutual fund returns (by Tingting Cheng, Cheng Yan, and Yayi Yan), 2021 China International Forum on Finance and Policy
The collateral channel of monetary policy: Evidence from China (by Hanming Fang, Yongqin Wang, and Xian Wu), 2021 CICM
Third-party cookies, data sharing, and return comovement (by Si Cheng, Yupeng Lin, Ruichang Lu, and Xiaojun Zhang), 2021 China Advanced Research in Finance Conference
A Market Approach for Convergence Trades (by Isabel Figuerola-Ferretti, Ioannis Paraskevopoulos, and Tao Tang), 2020 FMA
ESG Preference and Market Efficiency: Evidence from Mispricing and Institutional Trading (by Jie Cao, Sheridan Titman, Xintong Zhan, and Weiming Zhang), 2019 Workshop on Green Finance and ESG Analysis
Political Uncertainty and Commodity Markets (by Kewei Hou, Ke Tang, and Bohui Zhang), 2019 CICF
Trend Factors in China (by Yang Liu, Guofu Zhou, and Yingzi Zhu), 2019 CICF
Borrower Ratings, Officer Incentives and Loan Contracting: Evidence from a State-Owned Bank (by Hongqi Yuan, Yiyuan Zhou, and Hong Zou), 2019 CFRC
Implicit Credit Support, Wealth Management Products, and Bank Profitability (by Kaihua Deng), 2019 SWF at RUC Hanqing
Arbitrage Portfolios (by Soohum Kim, Robert Korajczyk, and Andreas Neuhierl), 2019 Mutual Funds and Factor Investing Conference at Lancaster University
The Diversification Benefits and Policy Risks of Accessing China's Stock Market (by Chenyu Shan, Dragon Yongjun Tang, Sarah Qian Wang, and Chang Zhang), 2018 Guanghua International Symposium on Finance
The Value and Real Effects of Implicit Government Guarantees (by Shuang Jin, Wei Wang, and Zilong Zhang), 2018 SIF
Strategic Complementarities and Monitoring: A Study of Mutual FundStyles (by Yijun Zhou), 2018 CICF
Does Industry Concentration of the Money Market Funds Affect Their Risk-Taking Behavior (Chinese, by Jingjun Liu), 2018 CICF
Better Bond Indices and Liquidity Gaming the Rest (by Adriana Robertson and Matthew Spiegel), 2017 SFS Calvacade Asia-Pacific
Industry Competition, Credit Spreads, and Levered Equity Returns (by Alexandre Corhay), 2017 CICF
Prospective Book-to-Market Ratio and Expected Stock Returns (by Kewei Hou, Yan Xu, and Yuzhao Zhang), 2017 CICF
Implicit Guarantee and Shadow Banking: the Case of Trust Products (by Franklin Allen, Xian Gu, Jun "QJ" Qian, and Yiming Qian), 2017 Central University of Finance and Economics School of Finance Workshop
Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance (by Patrick Gagliardini and Diego Ronchetti), 2015 Paris December Finance Meeting
Tail Risk Hedging and Regime Switching (by Markus Huggenberger, Peter Albrecht, and Alexandr Pekelis), 2015 CICF
The Causal Effects of Margin Trading and Short Selling on Earnings Management: A Natural Experiment from China (by Zhaojing Chen, Nathan Dong, and Ming Gu), 2015 CICF
Fire Sales and Liquidity Provision in the Corporate Bond Market (by Jay Wang, Hanjiang Zhang, and Xinde Zhang), 2015 CICF
General Purpose Technologies, International Technology Diffusion, and the Cross Section of Stock Returns (by Po-Hsuan Hsu and Wei Yang), 2015 CICF
Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium (by Jieun Lee and Joseph Ogden), The 9th International Conference on Asia-Pacific Financial Markets
Institutional Investors and Stock Return Anomalies (by Roger Edelen, Ozgur Ince, and Gregory Kadlec), The 3rd Luxembourg Asset Management Summit
Jump Risk and Option Liquidity in an Incomplete Market (by Pei-Lin Hsieh and Ya-Jun Wang), The 3rd International Conference on Futures and Derivatives Markets
Funding Liquidity Risk and the Cross-Section of Stock Returns (by Jean-Sebastien Fontaine, Rene Garcia, and Sermin Gungor), 2014 Bank of Canada Conference on Collateral, Liquidity and Central Bank Operations
Measuring Liquidity Mismatch in the Banking Sector (by Jennie Bai, Arvind Krishnamurthy, and Charles-Hneri Weymuller), 2014 CICF
Systemic Risk and Market Liquidity (by Kebin Ma), 2014 CICF
Carry (by Ralph Koijen, Tobias Moskowitz, Lasse Pedersen and Evert Vrugt), 2013 EFA Meeting
Deception and Managerial Structure: A Joint Study of Portfolio Pumping and Window Dressing Practices (by Saurin Patel and Sergei Sarkissian), 2013 EFA Meeting
Long/Short Equity Hedge Funds and Systematic Ambiguity (by Rajna Gibson and Nikolay Ryabkov), 2013 MFA Meeting