Zhuo Chen

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , Beijing 100083

China

SCHOLARLY PAPERS

17

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386

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44

Scholarly Papers (17)

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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
Huafeng (Jason) Chen, Shaojun Jenny Chen, Shaojun Jenny Chen, Zhuo Chen and Feng Li
Fudan University - Fanhai International School of Finance (FISF), University of British Columbia (UBC)Connor, Clark, and Lunn Investment Management, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance, Shanghai Jiaotong University
Downloads 3,104 (7,063)
Citation 26

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2.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 02 Aug 2023
Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 1,109 (34,332)
Citation 3

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Factor, Beta, Characteristics, Performance Evaluation, Anomalies

3.

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

Downloads 1,000 (39,828)
Citation 110

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, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and University of TorontoTsinghua University - School of Economics and Management
Downloads 685 (65,608)
Citation 13

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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, PBCSF-NIFR Research Paper
Number of pages: 78 Posted: 04 Mar 2019 Last Revised: 14 Jan 2021
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and University of TorontoTsinghua University - School of Economics and Management
Downloads 255 (205,862)
Citation 28

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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 Last Revised: 25 Jun 2023
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and University of TorontoTsinghua University - School of Economics and Management
Downloads 60 (616,933)
Citation 33

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4.

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

Downloads 904 (45,883)
Citation 17

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

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-82, PBCSF-NIFR Research Paper, Journal of Finance, Forthcoming
Number of pages: 85 Posted: 04 Dec 2018 Last Revised: 24 Jun 2023
Hui Chen, Zhuo Chen, Zhiguo He, Jinyu Liu and Rengming Xie
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 865 (48,029)
Citation 12

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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: 86 Posted: 03 Dec 2019 Last Revised: 27 Jun 2022
Hui Chen, Zhuo Chen, Zhiguo He, Jinyu Liu and Rengming Xie
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 39 (748,518)
Citation 9

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5.

COVID-19 Vaccines and Global Stock Markets

Number of pages: 38 Posted: 16 Feb 2021 Last Revised: 05 May 2022
Kam Fong Chan, Zhuo Chen, Yuanji Wen and Tong Xu
The University of Western Australia, Tsinghua University - PBC School of Finance, The University of Western Australia - Department of Accounting and Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 709 (63,676)

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COVID-19, pandemics, stock markets, vaccines

6.

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 - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 639 (72,758)
Citation 17

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Funding Liquidity, Margin Requirements, Traded Risk Factor

7.

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 - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 435 (116,312)
Citation 4

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Momentum, Implied Volatility

8.

Investor Sentiment and the Pricing of Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 29 Oct 2020
Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 406 (126,047)
Citation 1

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Factor beta, Investor sentiment, Mispricing, Risk

9.

Assessing and Addressing the Coronavirus-Induced Economic Crisis: Evidence From 1.5 Billion Sales Invoices

PBCSF-NIFR Research Paper, 2020
Number of pages: 52 Posted: 06 Aug 2020 Last Revised: 29 Mar 2021
Zhuo Chen, Pengfei Li, Li Liao and Zhengwei Wang
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 390 (131,997)
Citation 3

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COVID-19, pandemic, invoices, firm sales, economic stimulus

10.

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 - PBC School of Finance, The University of Melbourne - Department of Finance and University of Washington - Henry. M. Jackson School of International Studies
Downloads 315 (166,471)
Citation 1

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Asset Pricing, International Political Instability, Militarization

11.

Local Political-Turnover-Induced Uncertainty and Bond Market Pricing

Number of pages: 42 Posted: 21 Dec 2020 Last Revised: 03 Jan 2022
Zhuo Chen, Andrea Lu, Huili Xiao and Xiaoquan Zhu
Tsinghua University - PBC School of Finance, The University of Melbourne - Department of Finance, Tsinghua University - PBC School of Finance and University of International Business and Economics - School of Banking and Finance
Downloads 225 (233,363)

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Political uncertainty, implicit government guarantee, mayoral turnover, municipal corporate bonds

12.

From Wall Street to Hong Kong: The Value of Dual Listing for China Concept Stocks

PBCSF-NIFR Research Paper Forthcoming
Number of pages: 45 Posted: 11 Dec 2022 Last Revised: 14 Apr 2023
Zhuo Chen, Grace Xing Hu, Ziqiong Xi and Xiaoquan Zhu
Tsinghua University - PBC School of Finance, PBC School of Finance, Tsinghua University, Tsinghua University - PBC School of Finance and University of International Business and Economics - School of Banking and Finance
Downloads 207 (253,342)

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Cross-border Regulation; China Concept Stocks; Dual listing

13.

Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets

PBCSF-NIFR Research Paper
Number of pages: 41 Posted: 10 Jan 2020 Last Revised: 03 Feb 2023
Zhuo Chen, Jinyu Liu, Andrea Lu and Libin Tao
Tsinghua University - PBC School of Finance, 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 191 (271,290)
Citation 2

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

14.

Leveraged trading and stock returns: Evidence from international stock markets

Downloads 163 (311,289)

Leveraged trading and stock returns: Evidence from international stock markets

Number of pages: 58 Posted: 18 Feb 2021 Last Revised: 28 Mar 2023
Zhuo Chen, Pengfei Li, Zhengwei Wang and Bohui Zhang
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and The Chinese University of Hong Kong, Shenzhen
Downloads 126 (383,607)

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Short selling, margin trading, future stock returns, international finance

Are Short Sellers and Margin Traders Twin Sisters or Stepsisters?

Number of pages: 64 Posted: 01 Mar 2022
Zhuo Chen, Pengfei Li, Zhengwei Wang and Bohui Zhang
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, affiliation not provided to SSRN and The Chinese University of Hong Kong, Shenzhen
Downloads 37 (763,619)

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Short selling, margin trading, future stock returns, international finance

15.

Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

PBCSF-NIFR Research Paper
Number of pages: 51 Posted: 24 Feb 2019 Last Revised: 03 Jul 2023
Zhuo Chen, Andrea Lu and Xiaoquan Zhu
Tsinghua University - PBC School of Finance, The University of Melbourne - Department of Finance and University of International Business and Economics - School of Banking and Finance
Downloads 154 (326,622)

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Hedge Funds, Macroeconomic Risks, Sentiment

16.

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 - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 154 (326,622)
Citation 9

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

17.

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
Zhuo Chen, Gregory Connor and Robert A. Korajczyk
Tsinghua University - PBC School of Finance, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University - Kellogg School of Management
Downloads 68 (569,294)
Citation 3

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