Quan Wen

McDonough School of Business, Georgetown University

Associate Professor of Finance

37th and O Street, NW

Washington D.C., DC 20057

United States

http://quan-wen.facultysite.georgetown.edu/home

SCHOLARLY PAPERS

17

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21,520

SSRN CITATIONS
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SSRN RANKINGS

Top 3,657

in Total Papers Citations

468

CROSSREF CITATIONS

27

Scholarly Papers (17)

1.

Predicting Corporate Bond Returns: Merton Meets Machine Learning

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 70 Posted: 17 Sep 2020 Last Revised: 25 Aug 2022
Georgetown University - McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and McDonough School of Business, Georgetown University
Downloads 4,259 (4,539)
Citation 20

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machine learning, big data, corporate bond returns, cross-sectional return predictability

2.

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75 Posted: 03 Oct 2016 Last Revised: 12 Feb 2018
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 2,501 (10,751)
Citation 170

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corporate bond, risk factors, downside risk, credit risk, liquidity risk

3.

Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 84 Posted: 24 Nov 2020 Last Revised: 17 Oct 2023
IESEG School of Management, Singapore Management University - Lee Kong Chian School of Business and McDonough School of Business, Georgetown University
Downloads 2,439 (11,184)
Citation 32

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Climate change, Carbon emissions, Corporate bond returns, ESG investing

4.

Crowdsourced Employer Reviews and Stock Returns

Journal of Financial Economics, Forthcoming, 8th Miami Behavioral Finance Conference 2017
Number of pages: 63 Posted: 19 Jul 2017 Last Revised: 03 Aug 2018
Emory University - Department of Finance, Moody's Corporation - San Francisco Office, McDonough School of Business, Georgetown University and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 2,068 (14,565)
Citation 103

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Glassdoor, employee satisfaction, market efficiency

5.

Which Proxy: Capturing Lottery Preference through Aggregation

Number of pages: 91 Posted: 04 Jun 2020 Last Revised: 09 Feb 2024
Kent State University, McDonough School of Business, Georgetown University, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,500 (24,062)

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Lottery preference factor, anomalies, partial least square (PLS)

6.

Why Do Mutual Funds Hold Lottery Stocks?

Georgetown McDonough School of Business Research Paper No. 3164692, Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 56 Posted: 18 Apr 2018 Last Revised: 07 Oct 2020
Vikas Agarwal, Lei Jiang and Quan Wen
Georgia State University, Kent State University and McDonough School of Business, Georgetown University
Downloads 1,084 (38,494)
Citation 40

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lottery stocks, risk shifting, fund performance, investor flows, stock mispricing

7.

Long-Term Reversals in the Corporate Bond Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 17 Mar 2019 Last Revised: 24 Dec 2019
Georgetown University - McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and McDonough School of Business, Georgetown University
Downloads 1,068 (39,322)
Citation 52

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Corporate bonds, long-term reversal

8.

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Georgetown McDonough School of Business Research Paper No. 2548562
Number of pages: 75 Posted: 14 Jan 2015 Last Revised: 11 Nov 2016
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 1,039 (40,875)
Citation 19

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Corporate Bond Returns, Volatility, Skewness, Kurtosis, Return Predictability, Risk Factors

9.

The Macroeconomic Uncertainty Premium in the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 54 Posted: 01 Jun 2017 Last Revised: 06 Apr 2020
Georgetown University - McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and McDonough School of Business, Georgetown University
Downloads 1,010 (42,622)
Citation 5

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Economic uncertainty, risk premia, corporate bond returns

10.

Asset Growth and Stock Market Returns: A Time-Series Analysis

Review of Finance, 2019, Volume 23, Issue 3, 599-628
Number of pages: 38 Posted: 06 Apr 2014 Last Revised: 09 Oct 2020
Quan Wen
McDonough School of Business, Georgetown University
Downloads 874 (52,056)

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Asset growth, return predictability, time-varying risk premium, forecast errors, extrapolation

11.

Momentum, Risk, and Underreaction

Number of pages: 37 Posted: 17 Jun 2012 Last Revised: 20 Jul 2012
Mark Rachwalski and Quan Wen
Emory University - Department of Finance and McDonough School of Business, Georgetown University
Downloads 851 (53,979)
Citation 1

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Momentum, Risk, Underreaction

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

Journal of Financial Economics, Forthcoming, Georgetown McDonough School of Business Research Paper No. 3401231
Number of pages: 73 Posted: 21 Jun 2019 Last Revised: 27 Apr 2021
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 770 (60,902)
Citation 1

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corporate bonds, systematic risk, idiosyncratic volatility, risk-return tradeoff.

Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence

NBER Working Paper No. w25995
Number of pages: 63 Posted: 26 Jun 2019 Last Revised: 13 Jul 2023
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 51 (724,505)
Citation 9

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13.

Replication of BBW Factors with WRDS Data

Georgetown McDonough School of Business Research Paper No. 4476612
Number of pages: 27 Posted: 22 Jun 2023 Last Revised: 06 Nov 2023
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads 789 (59,799)
Citation 1

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WRDS bond database, corporate bonds, BBW factors

14.

Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation

Review of Asset Pricing Studies, 2016, Volume 6, Issue 2, 303-328
Number of pages: 58 Posted: 12 May 2012 Last Revised: 09 Oct 2020
Mark Rachwalski and Quan Wen
Emory University - Department of Finance and McDonough School of Business, Georgetown University
Downloads 492 (108,737)
Citation 3

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Idiosyncratic Volatility, Idiosyncratic Risk, Cross-section, Stock Returns, Underreaction, Frictions

15.

Financial Distress Risk Innovations and the Distress Risk-Return Relation

Number of pages: 39 Posted: 04 Jun 2012 Last Revised: 20 Jul 2021
University of Alabama, McDonough School of Business, Georgetown University and Emory University - Department of Finance
Downloads 293 (194,083)
Citation 1

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Financial distress, risk innovation, investor underreaction

16.

What Drives Market Return Predictability?

Number of pages: 39 Posted: 01 May 2013 Last Revised: 21 May 2013
Quan Wen and Dexin Zhou
McDonough School of Business, Georgetown University and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 242 (235,125)
Citation 1

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predictability, risk premium, analyst

17.

Stochastic Dominance in Mutual Fund Returns

Georgetown McDonough School of Business Research Paper No. 3541062
Number of pages: 44 Posted: 12 Mar 2020 Last Revised: 10 Jul 2023
Lei Jiang, Quan Wen, Ke Wu and Mengfan Yin
Kent State University, McDonough School of Business, Georgetown University, Renmin University of China and Fudan University - Fanhai International School of Finance (FISF)
Downloads 190 (294,631)
Citation 1

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mutual fund returns, stochastic dominance, revealed preference