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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

18

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24,027

CITATIONS
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Top 2,577

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217

Scholarly Papers (18)

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1.

Stock Valuation and Investment Strategies

Yale ICF Working Paper No. 00-46
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 8,740 (359)
Citation 5

Abstract:

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

2.

Liquidity as an Investment Style

Downloads 3,143 ( 2,572)
Citation 3

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 1,841 (6,351)
Citation 3

Abstract:

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 Y.-J. Kim and Wendy Yunchun Hu
Yale School of Management, University of Hong Kong, Zebra Capital Management, LLC and Zebra Capital Management, LLC
Downloads 1,302 (11,318)
Citation 3

Abstract:

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 U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis
Downloads 2,629 (3,336)
Citation 5

Abstract:

4.

Discounts On Illiquid Stocks: Evidence From China

Yale ICF Working Paper No. 00-56
Number of pages: 44 Posted: 14 Oct 2001
Zhiwu Chen and Peng Xiong
University of Hong Kong and Beijing University
Downloads 2,139 (4,665)
Citation 35

Abstract:

5.

Stock Valuation in Dynamic Economics

Yale ICF Working Paper No. 00-36
Number of pages: 52 Posted: 12 Jun 2001
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and University of Maryland - Robert H. Smith School of Business
Downloads 2,096 (4,998)
Citation 23

Abstract:

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 1,849 (6,025)
Citation 20

Abstract:

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 University of Maryland - Robert H. Smith School of Business
Downloads 1,018 (16,057)
Citation 30

Abstract:

8.

Informational Content of Option Volume Prior to Takeovers

Yale SOM Working Paper No. ES-31
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 746 (22,671)
Citation 68

Abstract:

9.

Equilibrium Valuation of Foreign Exchange Claims

Downloads 297 ( 84,701)

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 University of Maryland - Robert H. Smith School of Business
Downloads 297 (84,219)
Citation 28

Abstract:

Equilibrium Valuation of Foreign Exchange Claims

J. OF FINANCE
Posted: 12 Sep 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and University of Maryland - Robert H. Smith School of Business

Abstract:

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 144 (162,972)

Abstract:

11.

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 100 (215,771)

Abstract:

12.

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 Jie Chen, Zhiwu Chen and Shijun He
National University of Singapore (NUS) - Lee Kuan Yew School of Public Policy, University of Hong Kong and Southwestern University of Finance and Economics (SWUFE) - Southwestern University of Finance and Economics
Downloads 0 (485,985)

Abstract:

13.

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

Review of Financial Studies
Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, University of Maryland - Robert H. Smith School of Business and Pennsylvania State University

Abstract:

14.

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 University of Maryland - Robert H. Smith School of Business

Abstract:

15.

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

Abstract:

16.

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, University of Maryland - Robert H. Smith School of Business and Pennsylvania State University

Abstract:

17.

Empirical Performance of Alternative Option Pricing Models

Downloads 0 (565,991)

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 University of Maryland - Robert H. Smith School of Business

Abstract:

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 University of Maryland - Robert H. Smith School of Business

Abstract:

18.

Measurement of Market Integration and Arbitrage

Downloads 0 (565,991)

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

Abstract:

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

Abstract:

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