Zhiwu Chen

University of Hong Kong

Professor

Pokfulam Road

Hong Kong

China

Yale University - International Center for Finance

Professor of Finance

Box 208200

New Haven, CT 06520-8200

United States

Zebra Capital Management, LLC

612 Wheelers Farms Road

Milford, CT 06461

United States

  • University of Hong Kong

  • Yale University - International Center for Finance

    • Email
    • Tel: 203-432-5948
    • Fax: 203-432-6970

  • Zebra Capital Management, LLC

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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46

CROSSREF CITATIONS

129

Scholarly Papers (19)

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1.

Stock Valuation and Investment Strategies

Number of pages: 55 Posted: 26 Jul 2001
Ming Dong and Zhiwu Chen
York University - Schulich School of Business and University of Hong Kong
Downloads 10,162 (509)
Citation 5

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Stock Valuation, Book/Market, Earnings/Price, Firm Size, Price Momentum, Stock Returns, Investment Management

2.

Liquidity as an Investment Style

Downloads 3,733 ( 2,922)
Citation 7

Liquidity as an Investment Style

Yale SOM Working Paper
Number of pages: 31 Posted: 12 Sep 2010 Last Revised: 15 Sep 2010
Zhiwu Chen, Roger G. Ibbotson and Wendy Hu
University of Hong Kong, Yale School of Management and affiliation not provided to SSRN
Downloads 2,108 (7,528)
Citation 2

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Liquidity, Stocks, Investment Style

Liquidity as an Investment Style

Financial Analysts Journal, Vol. 69, No. 3, 2013
Number of pages: 34 Posted: 24 Apr 2011 Last Revised: 24 May 2013
Roger G. Ibbotson, Zhiwu Chen, Daniel Kim and Wendy Yunchun Hu
Yale School of Management, University of Hong Kong, Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads 1,625 (11,537)
Citation 6

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liquidity, investment style, size, value, momentum, turnover, stock returns, factors, Sharpe

3.

A Valuation Study of Stock-Market Seasonality and Firm Size

Journalof Portfolio Management, Vol. 36, 2010, Yale ICF Working Paper No. 00-37
Number of pages: 47 Posted: 12 Jun 2001 Last Revised: 11 Mar 2013
Zhiwu Chen and Jan Jindra
University of Hong Kong and affiliation not provided to SSRN
Downloads 2,831 (4,710)
Citation 4

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4.

Discounts on Illiquid Stocks: Evidence from China

Number of pages: 44 Posted: 14 Oct 2001
Zhiwu Chen and Peng Xiong
University of Hong Kong and Beijing University
Downloads 2,351 (6,389)
Citation 63

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5.

Stock Valuation in Dynamic Economics

Number of pages: 52 Posted: 12 Jun 2001
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business
Downloads 2,208 (7,083)
Citation 4

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6.

Price Impact Costs and the Limit of Arbitrage

EFA 2002 Berlin Meetings Presented Paper; Yale ICF Working Paper No. 00-66
Number of pages: 60 Posted: 10 Jul 2002
Zhiwu Chen, Werner Stanzl and Masahiro Watanabe
University of Hong Kong, Yale University - International Center for Finance and University of Alberta - School of Business
Downloads 2,037 (8,150)
Citation 31

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Stock market anomaly, Price-impact function, Arbitrage, Fund size limit

7.

An Alternative Valuation Model for Contingent Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 36 Posted: 29 Feb 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business
Downloads 1,102 (21,352)
Citation 8

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8.

Informational Content of Option Volume Prior to Takeovers

Number of pages: 58 Posted: 27 Oct 2003
Charles Cao, John M. Griffin and Zhiwu Chen
Pennsylvania State University, University of Texas at Austin - Department of Finance and University of Hong Kong
Downloads 899 (28,747)
Citation 7

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9.

Equilibrium Valuation of Foreign Exchange Claims

Downloads 311 (109,039)
Citation 9

Equilibrium Valuation of Foreign Exchange Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 39 Posted: 29 Feb 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business
Downloads 311 (108,415)
Citation 9

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Equilibrium Valuation of Foreign Exchange Claims

J. OF FINANCE
Posted: 12 Sep 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business

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10.

Productivity, Asset Return, and International Index Momentum

EFA 2008 Athens Meetings
Number of pages: 38 Posted: 26 Feb 2008
Zhiwu Chen, Yangru Wu and Hong Zhang
University of Hong Kong, Rutgers University, Newark - School of Business - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 157 (209,896)

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11.

Confucianism, Social Norms and Household Savings Rates in China

Lee Kuan Yew School of Public Policy Research Paper No. 17-14
Number of pages: 50 Posted: 06 Jul 2017
Yvonne Chen, Zhiwu Chen and Shijun He
ShanghaiTech University - School of Entrepreneurship and Management, University of Hong Kong and Southwestern University of Finance and Economics (SWUFE)
Downloads 126 (250,100)
Citation 3

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12.

Productivity, Asset Returns, and International Index Momentum

Number of pages: 38 Posted: 17 Mar 2008
Zhiwu Chen, Yangru Wu and Hong Zhang
University of Hong Kong, Rutgers University, Newark - School of Business - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 115 (267,610)

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13.

Banking on the Confucian Clan: Why Did China Miss the Financial Revolution?

Number of pages: 49 Posted: 25 Sep 2020
Zhiwu Chen, Chicheng Ma and Andrew Sinclair
University of Hong Kong, The University of Hong Kong and The University of Hong Kong
Downloads 31 (518,013)

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financial development, financial history, Confucianism, clan, risk sharing, resource pooling, banking

14.

Do Call Prices and the Underlying Stock Always Move in the Same Direction?

Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, Fox School of Business and Pennsylvania State University

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15.

Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies

REVIEW OF FINANCIAL STUDIES, Vol 9 No 1
Posted: 24 Aug 1998
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business

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16.

Portfolio Performance Measurement: Theory and Applications

REVIEW OF FINANCIAL STUDIES Vol. 9 No. 2
Posted: 20 May 1998
Zhiwu Chen and Peter J. Knez
University of Hong Kong and affiliation not provided to SSRN

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17.

Pricing and Hedging Long-Term Options

Journal of Econometrics, 1998
Posted: 06 May 1998
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, Fox School of Business and Pennsylvania State University

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18.

Empirical Performance of Alternative Option Pricing Models

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Empirical Performance of Alternative Option Pricing Models

J. OF FINANCE
Posted: 30 Apr 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
University of Hong Kong, Pennsylvania State University and Fox School of Business

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Empirical Performance of Alternative Option Pricing Models

Posted: 06 Mar 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
University of Hong Kong, Pennsylvania State University and Fox School of Business

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19.

Measurement of Market Integration and Arbitrage

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Measurement of Market Integration and Arbitrage

REVIEW OF FINANCIAL STUDIES, Vol 8 No 2, June 1995
Posted: 28 Jun 1995
Zhiwu Chen and Peter J. Knez
University of Hong Kong and affiliation not provided to SSRN

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Measurement of Market Integration and Arbitrage

Posted: 12 Sep 1994
Zhiwu Chen and Peter J. Knez
University of Hong Kong and affiliation not provided to SSRN

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