Zhuo Chen

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , Beijing 100083

China

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 7,887

SSRN RANKINGS

Top 7,887

in Total Papers Downloads

11,202

SSRN CITATIONS
Rank 3,352

SSRN RANKINGS

Top 3,352

in Total Papers Citations

512

CROSSREF CITATIONS

44

Scholarly Papers (17)

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), 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 3,314 (7,236)
Citation 29

Abstract:

Loading...

2.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 02 Aug 2023
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 1,223 (33,981)
Citation 3

Abstract:

Loading...

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, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center and University of TorontoTsinghua University - School of Economics and Management
Downloads 714 (70,540)
Citation 13

Abstract:

Loading...

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, Stanford University - Knight Management Center and University of TorontoTsinghua University - School of Economics and Management
Downloads 288 (205,788)
Citation 28

Abstract:

Loading...

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, Stanford University - Knight Management Center and University of TorontoTsinghua University - School of Economics and Management
Downloads 74 (627,353)
Citation 49

Abstract:

Loading...

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
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 956 (47,530)
Citation 13

Abstract:

Loading...

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
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 47 (782,981)
Citation 23

Abstract:

Loading...

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 760 (65,909)

Abstract:

Loading...

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 670 (77,478)
Citation 18

Abstract:

Loading...

Funding Liquidity, Margin Requirements, Traded Risk Factor

7.

Investor Sentiment and the Pricing of Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 68 Posted: 25 Feb 2020 Last Revised: 29 Dec 2023
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 478 (117,896)
Citation 1

Abstract:

Loading...

Factor beta, Investor sentiment, Mispricing, Risk

8.

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 454 (125,297)
Citation 4

Abstract:

Loading...

Momentum, Implied Volatility

9.

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

China Economic Review, Forthcoming
Number of pages: 63 Posted: 06 Aug 2020 Last Revised: 15 Mar 2024
Tsinghua University - PBC School of Finance, 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 418 (138,096)
Citation 3

Abstract:

Loading...

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 332 (178,291)
Citation 1

Abstract:

Loading...

Asset Pricing, International Political Instability, Militarization

11.

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
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 330 (179,447)

Abstract:

Loading...

Cross-border Regulation; China Concept Stocks; Dual listing

12.

Local Political-Turnover-Induced Uncertainty and Bond Market Pricing

Number of pages: 42 Posted: 21 Dec 2020 Last Revised: 03 Jan 2022
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 261 (228,782)

Abstract:

Loading...

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

Leveraged trading and stock returns: Evidence from international stock markets

Number of pages: 54 Posted: 18 Feb 2021 Last Revised: 03 Jan 2024
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 179 (325,840)

Abstract:

Loading...

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
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 50 (762,561)

Abstract:

Loading...

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

14.

Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets

PBCSF-NIFR Research Paper
Number of pages: 45 Posted: 10 Jan 2020 Last Revised: 29 Dec 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 214 (277,141)
Citation 2

Abstract:

Loading...

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

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 Apr 2024
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 195 (301,938)
Citation 1

Abstract:

Loading...

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 162 (355,766)
Citation 9

Abstract:

Loading...

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
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 83 (578,878)
Citation 3

Abstract:

Loading...

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