Zhe Chen

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

University of New South Wales (UNSW)

Postdoctoral Researcher

Sydney , NSW 2052

Australia

SCHOLARLY PAPERS

10

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Top 47,584

in Total Papers Downloads

621

CITATIONS

0

Scholarly Papers (10)

1.
Downloads 89 (228,900)

A Model of Emulation Funds

FIRN Research Paper
Number of pages: 47 Posted: 19 Sep 2013
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 89 (230,652)

Abstract:

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
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 0

Abstract:

Multimanager, Fund‐of‐funds, Transaction costs, Emulation funds

2.

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 71 (244,526)

Abstract:

Managed funds, portfolio holdings disclosure, copycat funds

Does Portfolio Emulation Outperform its Target Funds?

Number of pages: 40 Posted: 01 Sep 2012
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group
Downloads 71 (264,905)

Abstract:

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
Centre for International Finance and Regulation (CIFR), The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Technology, Sydney - Finance Discipline Group

Abstract:

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

4.

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Centre for International Finance and Regulation (CIFR)
Downloads 64 (230,544)

Abstract:

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

5.

Which Institutional Investor Types Are the Most Informed?

Number of pages: 35 Posted: 21 Sep 2016 Last Revised: 24 Oct 2016
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Macquarie Graduate School of Management
Downloads 0 (277,350)

Abstract:

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

6.

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, Centre for International Finance and Regulation (CIFR) and Pennsylvania State University

Abstract:

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

7.

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, Centre for International Finance and Regulation (CIFR) and Pennsylvania State University

Abstract:

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

8.

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: 12 Sep 2016
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 0 (177,877)

Abstract:

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

9.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 48 Posted: 22 Feb 2016 Last Revised: 12 Oct 2016
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 0 (239,073)

Abstract:

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

10.

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
Centre for International Finance and Regulation (CIFR), Macquarie Graduate School of Management and Centre for International Finance and Regulation (CIFR)
Downloads 0 (430,543)

Abstract: