Zhe Chen

University of New South Wales (UNSW)

Postdoctoral Researcher

Kensington

High St

Sydney , NSW 2052

Australia

Acadian Asset Management

260 Franklin Street

Boston, MA 02110

United States

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

10

DOWNLOADS

863

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

The Effect of Data Availability in Measuring Fund Managers’ After-Tax Alpha

CIFR Paper No. 100/2016
Number of pages: 35 Posted: 24 Mar 2016 Last Revised: 18 Mar 2017
Zhe Chen, Zhe Chen, David R. Gallagher and Geoff Warren
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 161 (255,105)
Citation 1

Abstract:

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active fund management, performance evaluation, data sources, trading, taxation

2.

Which Institutional Investor Types Are the Most Informed?

Number of pages: 42 Posted: 21 Sep 2016 Last Revised: 01 Apr 2018
Zhe Chen, Zhe Chen, David Forsberg and David R. Gallagher
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and Rozetta Institute
Downloads 146 (276,074)

Abstract:

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Institutional Investor Types, Hedge Funds, Portfolio Holdings, Stock Selection

3.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 54 Posted: 22 Feb 2016 Last Revised: 02 Feb 2018
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 124 (312,776)
Citation 1

Abstract:

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after-tax fund performance, active management, portfolio holdings, trades

4.

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
University of New South Wales (UNSW)Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 109 (342,378)

Abstract:

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multi-manager, fund-of-funds, transaction costs, emulation funds

5.

Are Funds True to Label? Matching Qualitative and Quantitative Information

CIFR Paper No.042/2015
Number of pages: 40 Posted: 24 Oct 2014 Last Revised: 01 Oct 2015
Zhe Chen, Zhe Chen, David R. Gallagher and Camille Schmidt
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 100 (362,640)

Abstract:

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Asset consultants; concentration; fund managers; tracking error; turnover

6.

Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

CIFR Paper No. 019/2014
Number of pages: 32 Posted: 23 May 2014 Last Revised: 12 Mar 2015
Zhe Chen, Zhe Chen, David R. Gallagher and Adrian D. Lee
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 97 (369,772)

Abstract:

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Managed funds, portfolio holdings disclosure, copycat funds

Does Portfolio Emulation Outperform its Target Funds?

Number of pages: 40 Posted: 01 Sep 2012
University of New South Wales (UNSW)Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 92 (385,486)
Citation 1

Abstract:

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Portfolio emulation, multi-manager, fund-of-funds, offsetting trades, market impact, brokerage

Does Portfolio Emulation Outperform Its Target Funds?

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
University of New South Wales (UNSW)Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)

Abstract:

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Brokerage, fund-of-funds, market impact, multi-manager, offsetting trades, portfolio emulation

8.

Are Funds True to Label? Matching Qualitative and Quantitative Information – Internet Appendix

CIFR Paper No. 042(a)/2015
Number of pages: 19 Posted: 30 Sep 2015
Zhe Chen, Zhe Chen, David R. Gallagher and Camille Schmidt
University of New South Wales (UNSW)Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 34 (605,683)

Abstract:

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9.

A Bayesian Multinomial Probit Model for the Analysis of Panel Choice Data

Psychometrika, Volume 81, Issue 1, pp 161–183, 2016
Posted: 18 Jun 2016
Pennsylvania State University, Pennsylvania State University, University of New South Wales (UNSW)Acadian Asset Management and Pennsylvania State University

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Bayesian analysis, heterogeneity, multinomial probit model, panel data, parameter expansion, marketing, consumer psychology

10.

A Bayesian Vector Multidimensional Scaling Procedure Incorporating Dimension Reparameterization with Variable Selection

Psychometrika, Volume 80, Issue 4, pp 1043–1065, 2015
Posted: 18 Jun 2016
Duncan K. H. Fong, Wayne S. DeSarbo, Zhe Chen, Zhe Chen and Zhuying Xu
Pennsylvania State University, Pennsylvania State University, University of New South Wales (UNSW)Acadian Asset Management and Pennsylvania State University

Abstract:

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bayesian analysis, multidimensional scaling, vector model, variable selection, QR decomposition, reparameterization, consumer psychology