Zhuo Chen

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , Beijing 100083

China

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 7,628

in Total Papers Downloads

8,634

SSRN CITATIONS
Rank 6,097

SSRN RANKINGS

Top 6,097

in Total Papers Citations

165

CROSSREF CITATIONS

51

Scholarly Papers (16)

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 2,838 (6,584)
Citation 19

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2.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 29 Oct 2020
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 979 (33,697)
Citation 3

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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, 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 654 (57,292)
Citation 17

Abstract:

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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 210 (204,959)
Citation 28

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 Last Revised: 25 Jun 2022
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 39 (599,549)
Citation 8

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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: 13 Jun 2022
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 634 (59,648)
Citation 7

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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
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 17 (763,950)
Citation 1

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5.

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 612 (63,181)
Citation 10

Abstract:

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Funding Liquidity, Margin Requirements, Traded Risk Factor

6.

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 569 (69,331)

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COVID-19, pandemics, stock markets, vaccines

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 401 (105,402)
Citation 4

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Momentum, Implied Volatility

8.

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 380 (112,119)
Citation 3

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

9.

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
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 330 (130,909)

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Factor beta, Investor sentiment, Mispricing, Risk

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 291 (149,370)
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
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 143 (284,461)

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

12.

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 135 (297,614)
Citation 5

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

13.

Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets

PBCSF-NIFR Research Paper
Number of pages: 36 Posted: 10 Jan 2020
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 130 (306,230)
Citation 3

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

Are Short Sellers and Margin Traders Twin Sisters or Stepsisters?

Number of pages: 64 Posted: 18 Feb 2021 Last Revised: 01 Mar 2022
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 90 (396,391)

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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
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 25 (694,592)

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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: 47 Posted: 24 Feb 2019 Last Revised: 16 Sep 2022
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 113 (338,759)

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Hedge Funds, Macroeconomic Risks, Sentiment

16.

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 44 (560,716)
Citation 3

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