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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5,739

SSRN CITATIONS
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SSRN RANKINGS

Top 10,095

in Total Papers Citations

63

CROSSREF CITATIONS

47

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 2,531 (5,438)
Citation 18

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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, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 684 (40,501)
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 and Chun Liu
Tsinghua University, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 526 (56,317)
Citation 15

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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 125 (245,758)
Citation 11

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 14 (625,338)
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 578 (50,598)
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 362 (89,280)
Citation 2

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Momentum, Implied Volatility

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 288 (114,260)
Citation 8

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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 (711,027)
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7.

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 280 (118,419)
Citation 1

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Asset Pricing, International Political Instability, Militarization

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 126 (243,361)
Citation 3

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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 Characteristics-Based Factors

Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 27 Feb 2020
Tsinghua University, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 89 (309,104)

Abstract:

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Factor beta, Investor sentiment, Mispricing, Risk

10.

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 63 (376,146)

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Hedge Funds, Macroeconomic Risks, Sentiment

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 41 (454,103)

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

12.

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 29 (509,857)
Citation 1

Abstract:

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