Zhuo Chen

Tsinghua University

Assistant Professor

43 Chengfu Road

Beijing, 100083

China

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

12

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5,360

SSRN CITATIONS
Rank 9,297

SSRN RANKINGS

Top 9,297

in Total Papers Citations

58

CROSSREF CITATIONS

52

Scholarly Papers (12)

1.

Empirical Investigation of an Equity Pairs Trading Strategy

forthcoming, Management Science
Number of pages: 47 Posted: 17 Mar 2009 Last Revised: 09 Apr 2017
Fudan University - Fanhai International School of Finance (FISF), Connor, Clark, and Lunn Investment Management, Tsinghua University and Shanghai Advanced Institute of Finance, Shanghai Jiaotong University
Downloads 2,479 (5,286)
Citation 16

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2.

Characteristics-Based Factors

Number of pages: 65 Posted: 06 Feb 2018 Last Revised: 22 Jan 2020
Tsinghua University, Tsinghua University - PBC School of Finance, University of Melbourne, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 630 (42,889)
Citation 2

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Factor, Beta, Characteristics, Performance Evaluation, Anomalies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 78 Posted: 22 Feb 2017 Last Revised: 27 Aug 2019
Zhuo Chen, Zhiguo He and Chun Liu
Tsinghua University, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 487 (59,008)
Citation 16

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Local Government Financing Vehicles, Municipal Corporate Bonds, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-29
Number of pages: 78 Posted: 04 Mar 2019 Last Revised: 27 Aug 2019
Zhuo Chen, Zhiguo He and Chun Liu
Tsinghua University, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 85 (307,426)
Citation 10

Abstract:

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Keywords: Local Government Financing Vehicles, Municipal Corporate Bonds, Political Cycle, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

NBER Working Paper No. w23598
Number of pages: 66 Posted: 25 Jul 2017
Zhuo Chen, Zhiguo He and Chun Liu
Tsinghua University, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 13 (607,461)
Citation 2

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4.

A Market-Based Funding Liquidity Measure

PBCSF-NIFR Research Paper No. 14-01
Number of pages: 60 Posted: 24 Jan 2014 Last Revised: 08 May 2018
Zhuo Chen and Andrea Lu
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 569 (49,024)
Citation 4

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Funding Liquidity, Margin Requirements, Traded Risk Factor

5.

Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets

PBCSF-NIFR Research Paper No. 13-03
Number of pages: 39 Posted: 13 Oct 2013 Last Revised: 27 Sep 2016
Zhuo Chen and Andrea Lu
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 355 (86,870)
Citation 2

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Momentum, Implied Volatility

6.

Growing Pains: International Instability and Equity Market Returns

PBCSF-NIFR Research Paper No. 12-02
Number of pages: 47 Posted: 02 May 2012 Last Revised: 27 Sep 2016
Zhuo Chen, Andrea Lu and Clair Yang
Tsinghua University, The University of Melbourne - Department of Finance and University of Washington - Henry. M. Jackson School of International Studies
Downloads 278 (113,694)
Citation 2

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Asset Pricing, International Political Instability, Militarization

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-82
Number of pages: 72 Posted: 04 Dec 2018 Last Revised: 27 Jan 2020
Massachusetts Institute of Technology, Tsinghua University, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 229 (138,083)
Citation 11

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Pledgeability, haircut, repo, interbank and exchange markets, enterprise bonds, shadow cost of capital

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

NBER Working Paper No. w26520
Number of pages: 70 Posted: 03 Dec 2019
Massachusetts Institute of Technology, Tsinghua University, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 3 (682,665)
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8.

Seeing the Unobservable from the Invisible:The Role of CO2 in Measuring Consumption Risk

PBCSF-NIFR Research Paper No. 12-03
Number of pages: 47 Posted: 16 Aug 2012 Last Revised: 19 Feb 2016
Zhuo Chen and Andrea Lu
Tsinghua University and The University of Melbourne - Department of Finance
Downloads 121 (240,067)
Citation 4

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Consumption-Based Capital Asset Pricing Model (CCAPM), Durable Goods Service Flow, Carbon Dioxide Emissions

9.

Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

Number of pages: 52 Posted: 24 Feb 2019
Zhuo Chen, Andrea Lu and Xiaoquan Zhu
Tsinghua University, The University of Melbourne - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 55 (385,475)

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Hedge Funds, Macroeconomic Risks, Sentiment

10.

A Performance Comparison of Large-n Factor Estimators

Review of Asset Pricing Studies, Volume 8, Number 1 (2018): 153-182.
Number of pages: 110 Posted: 18 Jan 2014 Last Revised: 24 May 2018
Tsinghua University, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University
Downloads 28 (494,583)

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Factor Model, Asymptotic Principal Components, Large-Scale Factor Model

11.

Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets

Number of pages: 36 Posted: 10 Jan 2020
Zhuo Chen, Jinyu Liu, Andrea Lu and Libin Tao
Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance, The University of Melbourne - Department of Finance and University of International Business and Economics - School of Banking and Finance
Downloads 27 (499,883)

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International Asset Pricing, Consumption-Based Capital Asset Pricing Model, Carbon Dioxide Emissions

12.

Investor Sentiment and the Pricing of Characteristics-Based Factors

Number of pages: 61
Tsinghua University, Tsinghua University - PBC School of Finance, University of Melbourne, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
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Factor beta, Investor sentiment, Mispricing, Risk