Zhe Chen

Acadian Asset Management

260 Franklin Street

Boston, MA 02110

United States

University of New South Wales (UNSW)

Postdoctoral Researcher

Kensington

High St

Sydney , NSW 2052

Australia

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

10

DOWNLOADS

804

SSRN CITATIONS

2

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
Acadian Asset Management, Rozetta Institute and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 150 (205,078)
Citation 1

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

Which Institutional Investor Types Are the Most Informed?

Number of pages: 42 Posted: 21 Sep 2016 Last Revised: 01 Apr 2018
Acadian Asset Management, Rozetta Institute and Rozetta Institute
Downloads 136 (222,636)

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

Which Institutional Investor Types are the Most Informed?

Accounting & Finance, Vol. 59, pp. 449-480, 2019
Number of pages: 32 Posted: 10 Apr 2019
Acadian Asset Management, Rozetta Institute and Rozetta Institute
Downloads 1 (714,340)
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Portfolio holdings, Institutional investors, Holdings informativeness, Stock picking, Market timing

3.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 54 Posted: 22 Feb 2016 Last Revised: 02 Feb 2018
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 111 (258,394)

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

4.
Downloads 104 (270,404)

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 104 (272,044)

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

A Model of Emulation Funds

Accounting & Finance, Vol. 55, Issue 3, pp. 717-748, 2015
Number of pages: 32 Posted: 03 Sep 2015
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
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Multimanager, 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
Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 96 (285,377)

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

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
Acadian Asset Management, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 92 (295,500)

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Managed funds, portfolio holdings disclosure, copycat funds

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

Accounting & Finance, Vol. 57, pp. 101-116, 2017
Number of pages: 16 Posted: 05 Apr 2017
Acadian Asset Management, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 1 (714,340)
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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
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)
Downloads 85 (310,786)
Citation 1

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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
Acadian Asset Management, The University of Sydney - Discipline of Finance, Rozetta Institute and Deakin University - Department of Finance (Property and Real Estate)

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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
Acadian Asset Management, Rozetta Institute and SuperRatings
Downloads 28 (499,670)

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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, 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
Pennsylvania State University, Pennsylvania State University, Acadian Asset Management and Pennsylvania State University

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